Selected Publications

  • Bayesian bandwidth estimation for local linear fitting in nonparametric regression models (with H. Shang), Studies in Nonlinear Dynamics & Econometrics, 2022, 26(1), 55-71.

  • A panel data model of length of stay in hospitals for hip replacements (with Y. Meng, J. Gao and X. Zhao), Econometric Reviews, 2021, 40(7), 688-707.

  • Bayesian bandwidth estimation for local linear fitting in nonparametric regression models (with H. Shang), Studies in Nonlinear Dynamics & Econometrics, forthcoming.

  • Bayesian estimation for a semiparametric nonlinear volatility model (with S. Hu and D.S. Poskitt), Economic Modelling, 2021, 98, 361-370.

  • Bayesian bandwidth selection in nonparametric time-varying coefficient models (with Tingting Cheng and Jiti Gao), Journal of Business & Economic Statistics, 2019, 37(1), 1-12.

  • Estimation of inefficiency in stochastic frontier models: A Bayesian kernel approach (with G. Feng and C. Wang), Journal of Productivity Analysis, 2019, 51(1), 1-19.

  • Nonparametric localized bandwidth selection for kernel density estimation (with Tingting Cheng and Jiti Gao), Econometric Reviews, 2019, 38(7), 733-762.

  • A Bayesian sampling approach to measuring the price responsiveness of gasoline demand using a constrained partially linear model (with H. Chen and R. Smyth), Energy Economics, 2017, 67, 346-354.

  • Bayesian bandwidth selection for a nonparametric regression model with mixed types of regressors (with Max King and H.L. Shang), Econometrics, 2016, 4(2), 24.

  • Bayesian estimation of a discrete response model with double rules of sample selection (with Rong Zhang and Brett Inder), Computational Statistics & Data Analysis, 2015, 86(1), 81-96.

  • Bayesian approaches to nonparametric estimation of densities on the unit interval (with Song Li, Mervyn Silvapulle and Param Silvapulle), Econometric Reviews, 2015, 34(3), 394-412.

  • A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density (with Max King and H.L. Shang), Computational Statistics & Data Analysis, 2014, 78, 218-234.

  • Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions (with Shuowen Hu and Don Poskitt), Computational Statistics & Data Analysis, 2012, 56, 732-740.

  • A Bayesian approach to parameter estimation for kernel density estimation via transformations (with Qing Liu, David Pitt and Xueyuan Wu), Annals of Actuarial Science, 2011, 5(2), 181-193 [download].

  • A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation (with Robert Brooks and Max King), Journal of Econometrics, 2009, 153, 21-32 [R Package].

  • Box-Cox stochastic volatility models with heavy-tails and correlated errors (with Max King), Journal of Empirical Finance, 2008, 15, 549-566.

  • A class of nonlinear stochastic volatility models and its implications for pricing currency options (with J. Yu and Z. Yang), Computational Statistics & Data Analysis,, 2006, 51, 2218-2231.

  • A Bayesian approach to bandwidth selection for multivariate kernel density estimation (with Max King and Rob Hyndman), Computational Statistics & Data Analysis, 2006, 50, 3009-3031.

  • Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method (with Y.K. Tse and J. Yu), Quantitative Finance, 2004, 4, 158-169.

Papers submitted or work in progress