Publications

• Testing specification of distribution in stochastic frontier analysis (with M.-Y. Cheng, S. Wang and L. Xia), Journal of Econometrics, 2024, 105280.

• A nonparametric panel data model for examining the contribution of tourism to economic growth (with Ergun Dogan), Economic Modelling, 2023, 128, 106487

• A flexible method for estimating luminosity functions via kernel density estimation - II. Generalization and Python code (with Z. Yuan, J. Wang and X. Cheng), Astrophysical Journal Supplement Series, 2022, 260(10).

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

• Hypothesis testing based on a vector of statistics (with M.L. King and M. Akram), Journal of Econometrics, 2020, 219(2), 425-455 [Free Access][Online supplementary document].

• Time-varying income and price elasticities for energy demand: Evidence from a middle-income panel (with B. Liddle and R. Smyth), Energy Economics, 2020, 86, 104681.

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

• Oil prices and economic policy uncertainty: Evidence from a nonparametric panel data model (with A. Hailemariam and R. Smyth), Energy Economics, 2019, 83, 40-51.

• 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.

• R&D intensity and carbon emissions in the G7: 1870-2014 (with S. Awaworyi Churchill, J. Inekwe and R. Smyth), Energy Economics, 2019, 80, 30-37.

• 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.

• Nonparametric panel data model for crude oil and stock market prices in net oil importing countries (with P. Silvapulle, R. Smyth and J.-P. Fenech), Energy Economics, 2017, 67, 255-267.

• 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.

• A semiparametric approach to mortality modeling (with H. Li and C. O'Hare), Insurance: Mathematics and Economics, 2015, 61, 264-270.

• A new semiparametric test for superior predictive ability (with Zongwu Cai, Jiancheng Jiang and J. Zhang), Empirical Economics, 2015, 48(1), 389-405.

• Bayesian estimation of a discrete response model with double rules of sample selection (with Rong Zhang and Brett Inder), Computational Statistics and 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 and Data Analysis, 2014, 78, 218-234.

• Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions (with Shuowen Hu and Don Poskitt), Computational Statistics and 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.

• Influence diagnostics for multivariate GARCH processes (with Jon Dark and N. Qu), Journal of Time Series Analysis, 2010, 31, 278-291.

• 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.

• The size and power of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions (with H.-H. Lean and W.-K. Wong), Mathematics and Computers in Simulation, 2008, 79, 30-48.

• Assessing dependence changes using nonparametric methods (with Param Silvapulle), Applied Financial Economics Letters [incorporated into Applied Economics Letters since 2009], 3, 397-401.

• Country risk and the estimation of asset return distributions (with Robert Brooks and E. Bissoondoyal-Bheenick), Quantitative Finance, 2007, 7, 261-265.

• A class of nonlinear stochastic volatility models and its implications for pricing currency options (with J. Yu and Z. Yang), Computational Statistics and 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 and Data Analysis, 2006, 50, 3009-3031.

• Smoothing spline based tests for non-linearity in a partially linear model (with Ivet Pitrun and Max King), Journal of Statistical Planning and Inference, 2006, 136, 2446-2469.

• Influence diagnostics in generalized autoregressive conditional heteroskedasticity processes (with Max King), Journal of Business and Economic Statistics, 2005, 23, 118-129 [Errata].

• Assessment of local influence in GARCH processes, Journal of Time Series Analysis, 2004, 25, 301-313.

• A small-sample overlapping variance-ratio test (with Y.K. Tse and K.W. Ng), Journal of Time Series Analysis, 2004, 25, 127-135.

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

• A Monte Carlo investigation of some tests for stochastic dominance (with Y.K. Tse), Journal of Statistical Computation and Simulation, 2004, 74, 361-378.

• Structural change and lead-lag relationship between the Nikkei spot index and futures price: A genetic programming approach (with Don Lien and Y.K. Tse), Quantitative Finance, 2003, 3, 136-144.

• The variance ratio test with Stable Paretian errors (with Y.K. Tse), Journal of Time Series Analysis, 2002, 23, 117-126 [download the extended tables and graphs here].

• Local influence on bandwidth estimation for kernel smoothing (with Y.K. Tse), Journal of Statistical Computation and Simulation, 2001, 70, 349-370.

• Detecting structural changes using genetic programming with an application to the Greater-China stock market (with Y.K. Tse and W.-S. Chan), in W.-S. Chan, W.K. Li and H. Tong (eds.), Statistics and Finance: An Interface, 370-384, Imperial College Press: London.