Wang, D., Zhang, X., Li, G. & Tsay, R. S. (2023+). High-dimensional vector autoregression with common response and predictor factors. Revised and resubmitted.arXiv:2203.15170

Publications

Wang, D., Zheng, Y. & Li, G. (2023+). High-dimensional low-rank tensor autoregressive time series modeling.Journal of Econometrics. Forthcoming.

Wang, D.& Tsay, R. S. (2023). Rate-optimal robust estimation of high-dimensional vector autoregressive models. TheAnnals of Statistics, 51, 846-877.

Zhang, X.,Wang, D., Lian, H. & Li, G. (2023). Nonparametric quantile regression for homogeneity pursuit in panel data models.Journal of Business and Economic Statistics, 41, 1238-1250.

Wang, D., Zheng, Y., Lian, H. & Li, G. (2022). High-dimensional vector autoregressive time series modeling via tensor decomposition.Journal of the American Statistical Association.117:539, 1338-1356.