Yang, Bingduo; Cai, Zongwu; Hafner, Christian; Liu, Guannan Time-varying mixture copula models with copula selection. (English) Zbl 1524.62518 Stat. Sin. 32, No. 2, 1049-1077 (2022). MSC: 62P05 62H05 62M10 PDFBibTeX XMLCite \textit{B. Yang} et al., Stat. Sin. 32, No. 2, 1049--1077 (2022; Zbl 1524.62518) Full Text: DOI
Xu, Qiuhua; Cai, Zongwu; Fang, Ying Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation. (English) Zbl 1490.62491 Econom. Rev. 40, No. 10, 919-943 (2021). MSC: 62P20 62G05 62G08 62G10 62G20 62M10 PDFBibTeX XMLCite \textit{Q. Xu} et al., Econom. Rev. 40, No. 10, 919--943 (2021; Zbl 1490.62491) Full Text: DOI
Liu, Ze-qin; Cai, Zong-wu; Fang, Ying; Lin, Ming Statistical analysis and evaluation of macroeconomic policies: a selective review. (English) Zbl 1449.62269 Appl. Math., Ser. B (Engl. Ed.) 35, No. 1, 57-83 (2020). MSC: 62P20 91B84 62M10 PDFBibTeX XMLCite \textit{Z.-q. Liu} et al., Appl. Math., Ser. B (Engl. Ed.) 35, No. 1, 57--83 (2020; Zbl 1449.62269) Full Text: DOI Link
Tian, Ding-shi; Cai, Zong-wu; Fang, Ying Econometric modeling of risk measures: a selective review of the recent literature. (English) Zbl 1438.62159 Appl. Math., Ser. B (Engl. Ed.) 34, No. 2, 205-228 (2019). MSC: 62M10 62-02 62G08 91B84 91B05 PDFBibTeX XMLCite \textit{D.-s. Tian} et al., Appl. Math., Ser. B (Engl. Ed.) 34, No. 2, 205--228 (2019; Zbl 1438.62159) Full Text: DOI Link
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang A unified test for predictability of asset returns regardless of properties of predicting variables. (English) Zbl 1452.62779 J. Econom. 208, No. 1, 141-159 (2019). MSC: 62P05 62M10 62P20 PDFBibTeX XMLCite \textit{X. Liu} et al., J. Econom. 208, No. 1, 141--159 (2019; Zbl 1452.62779) Full Text: DOI
Liao, Xiao-Sai; Cai, Zong-Wu; Chen, Hai-Qiang A perspective on recent methods on testing predictability of asset returns. (English) Zbl 1399.62145 Appl. Math., Ser. B (Engl. Ed.) 33, No. 2, 127-144 (2018). MSC: 62M20 62M10 62G35 62G08 62P20 PDFBibTeX XMLCite \textit{X.-S. Liao} et al., Appl. Math., Ser. B (Engl. Ed.) 33, No. 2, 127--144 (2018; Zbl 1399.62145) Full Text: DOI
Cai, Zongwu; Jing, Bingyi; Kong, Xinbing; Liu, Zhi Nonparametric regression with nearly integrated regressors under long-run dependence. (English) Zbl 1521.62142 Econom. J. 20, No. 1, 118-138 (2017). MSC: 62M10 60G22 62G05 62G08 62G20 PDFBibTeX XMLCite \textit{Z. Cai} et al., Econom. J. 20, No. 1, 118--138 (2017; Zbl 1521.62142) Full Text: DOI
Xu, Qiuhua; Cai, Zongwu; Fang, Ying Panel data models with cross-sectional dependence: a selective review. (English) Zbl 1363.62110 Appl. Math., Ser. B (Engl. Ed.) 31, No. 2, 127-147 (2016). MSC: 62M10 62G08 62J02 62-02 PDFBibTeX XMLCite \textit{Q. Xu} et al., Appl. Math., Ser. B (Engl. Ed.) 31, No. 2, 127--147 (2016; Zbl 1363.62110) Full Text: DOI
Sun, Yiguo; Cai, Zongwu; Li, Qi A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series. (English) Zbl 1441.62878 Econom. Theory 32, No. 4, 988-1022 (2016). MSC: 62P20 62M10 62G10 62G20 PDFBibTeX XMLCite \textit{Y. Sun} et al., Econom. Theory 32, No. 4, 988--1022 (2016; Zbl 1441.62878) Full Text: DOI
Cai, Zongwu; Chen, Linna; Fang, Ying Semiparametric estimation of partially varying-coefficient dynamic panel data models. (English) Zbl 1491.62187 Econom. Rev. 34, No. 6-10, 695-719 (2015). MSC: 62P20 62M10 62G05 62G08 PDFBibTeX XMLCite \textit{Z. Cai} et al., Econom. Rev. 34, No. 6--10, 695--719 (2015; Zbl 1491.62187) Full Text: DOI
Liu, Xialu; Cai, Zongwu; Chen, Rong Functional coefficient seasonal time series models with an application of Hawaii tourism data. (English) Zbl 1342.65043 Comput. Stat. 30, No. 3, 719-744 (2015). MSC: 62-08 62M10 62P20 PDFBibTeX XMLCite \textit{X. Liu} et al., Comput. Stat. 30, No. 3, 719--744 (2015; Zbl 1342.65043) Full Text: DOI
Cai, Zongwu; Wang, Yunfei; Wang, Yonggang Testing instability in a predictive regression model with nonstationary regressors. (English) Zbl 1441.62622 Econom. Theory 31, No. 5, 953-980 (2015). MSC: 62P20 62M10 62G10 62E20 60F05 PDFBibTeX XMLCite \textit{Z. Cai} et al., Econom. Theory 31, No. 5, 953--980 (2015; Zbl 1441.62622) Full Text: DOI
Cai, Zongwu; Juhl, Ted; Yang, Bingduo Functional index coefficient models with variable selection. (English) Zbl 1337.62245 J. Econom. 189, No. 2, 272-284 (2015). MSC: 62M10 62G08 62J12 65C60 91B84 PDFBibTeX XMLCite \textit{Z. Cai} et al., J. Econom. 189, No. 2, 272--284 (2015; Zbl 1337.62245) Full Text: DOI
Cai, Zongwu; Ren, Yu; Sun, Linman Pricing kernel estimation: a local estimating equation approach. (English) Zbl 1441.62259 Econom. Theory 31, No. 3, 560-580 (2015). MSC: 62P05 62M10 62G05 62F12 PDFBibTeX XMLCite \textit{Z. Cai} et al., Econom. Theory 31, No. 3, 560--580 (2015; Zbl 1441.62259) Full Text: DOI
Cai, Zongwu; Wang, Yunfei Testing predictive regression models with nonstationary regressors. (English) Zbl 1293.62178 J. Econom. 178, Part 1, 4-14 (2014); corrigendum ibid. 181, No. 2, 194 (2014). MSC: 62M10 62F03 62F10 62F12 PDFBibTeX XMLCite \textit{Z. Cai} and \textit{Y. Wang}, J. Econom. 178, Part 1, 4--14 (2014; Zbl 1293.62178) Full Text: DOI
Cai, Zongwu (ed.); Hong, Yongmiao (ed.); Li, Qi (ed.) Editorial: Misspecification test methods in econometrics. (English) Zbl 1293.00022 J. Econom. 178, Part 1, 1-3 (2014). MSC: 00B25 62-06 62P20 62F03 62G10 62M10 PDFBibTeX XMLCite \textit{Z. Cai} (ed.) et al., J. Econom. 178, Part 1, 1--3 (2014; Zbl 1293.00022) Full Text: DOI
Zhu, Fukang; Cai, Zongwu; Peng, Liang Predictive regressions for macroeconomic data. (English) Zbl 1454.62494 Ann. Appl. Stat. 8, No. 1, 577-594 (2014). MSC: 62P20 62G05 62M10 PDFBibTeX XMLCite \textit{F. Zhu} et al., Ann. Appl. Stat. 8, No. 1, 577--594 (2014; Zbl 1454.62494) Full Text: DOI arXiv Euclid
Cai, Zongwu; Wang, Yunfei Corrigendum to “Testing predictive regression models with nonstationary regressors”. (English) Zbl 1298.62149 J. Econom. 181, No. 2, 194 (2014). MSC: 62M10 62F03 62F10 62F12 PDFBibTeX XMLCite \textit{Z. Cai} and \textit{Y. Wang}, J. Econom. 181, No. 2, 194 (2014; Zbl 1298.62149) Full Text: DOI
Cai, Nan; Cai, Zongwu; Fang, Ying A new nonparametric stability test with an application to major Chinese macroeconomic time series. (English) Zbl 1289.62045 Appl. Math., Ser. B (Engl. Ed.) 28, No. 1, 1-16 (2013). MSC: 62G10 62J07 62G05 62G09 62P20 91B84 PDFBibTeX XMLCite \textit{N. Cai} et al., Appl. Math., Ser. B (Engl. Ed.) 28, No. 1, 1--16 (2013; Zbl 1289.62045) Full Text: DOI
Cai, Zongwu; Xiao, Zhijie Semiparametric quantile regression estimation in dynamic models with partially varying coefficients. (English) Zbl 1441.62623 J. Econom. 167, No. 2, 413-425 (2012). MSC: 62P20 62G08 62M10 62G20 PDFBibTeX XMLCite \textit{Z. Cai} and \textit{Z. Xiao}, J. Econom. 167, No. 2, 413--425 (2012; Zbl 1441.62623) Full Text: DOI
Cai, Zongwu; Li, Qi; Park, Joon Y. Functional-coefficient models for nonstationary time series data. (English) Zbl 1429.62384 J. Econom. 148, No. 2, 101-113 (2009). MSC: 62M10 62G08 62G05 62E20 60F05 PDFBibTeX XMLCite \textit{Z. Cai} et al., J. Econom. 148, No. 2, 101--113 (2009; Zbl 1429.62384) Full Text: DOI
Cai, Zongwu; Xu, Xiaoping Nonparametric quantile estimations for dynamic smooth coefficient models. (English) Zbl 1375.62003 J. Am. Stat. Assoc. 104, No. 485, 371-383 (2009); Corection 106, No. 494, 773 (2011). MSC: 62G05 62G08 62M10 PDFBibTeX XMLCite \textit{Z. Cai} and \textit{X. Xu}, J. Am. Stat. Assoc. 104, No. 485, 371--383 (2009; Zbl 1375.62003) Full Text: DOI DOI Link
Cai, Zongwu; Wang, Xian Nonparametric estimation of conditional VaR and expected shortfall. (English) Zbl 1429.62385 J. Econom. 147, No. 1, 120-130 (2008). MSC: 62M10 62G05 62G07 62P05 62G20 91G70 PDFBibTeX XMLCite \textit{Z. Cai} and \textit{X. Wang}, J. Econom. 147, No. 1, 120--130 (2008; Zbl 1429.62385) Full Text: DOI
Cai, Zongwu; Xu, Xiaoping Nonparametric quantile estimations for dynamic smooth coefficient models. (English) Zbl 1286.62029 J. Am. Stat. Assoc. 103, No. 484, 1595-1608 (2008). MSC: 62G05 62G08 62M10 PDFBibTeX XMLCite \textit{Z. Cai} and \textit{X. Xu}, J. Am. Stat. Assoc. 103, No. 484, 1595--1608 (2008; Zbl 1286.62029) Full Text: DOI Link
Cai, Zongwu Trending time-varying coefficient time series models with serially correlated errors. (English) Zbl 1418.62306 J. Econom. 136, No. 1, 163-188 (2007). MSC: 62M10 62G08 62G05 62G20 62P20 PDFBibTeX XMLCite \textit{Z. Cai}, J. Econom. 136, No. 1, 163--188 (2007; Zbl 1418.62306) Full Text: DOI
Cai, Zongwu; Chen, Rong Flexible seasonal time series models. (English) Zbl 1190.91149 Fomby, Thomas B. (ed.) et al., Econometric analysis of financial and economic time series. Part B. Amsterdam: Elsevier/JAI (ISBN 978-0-76-231273-3). Advances in Econometrics 20B, Article ID 1771284, 63-87 (2006). MSC: 91G70 62M10 62P05 PDFBibTeX XMLCite \textit{Z. Cai} and \textit{R. Chen}, Adv. Econom. 20, Article ID 1771284, 63--87 (2006; Zbl 1190.91149) Full Text: DOI
Cai, Zongwu Local quasi-likelihood approach to varying-coefficient discrete-valued time series models. (English) Zbl 1054.62101 J. Nonparametric Stat. 15, No. 6, 693-711 (2003). MSC: 62M10 62M05 62F12 62G08 PDFBibTeX XMLCite \textit{Z. Cai}, J. Nonparametric Stat. 15, No. 6, 693--711 (2003; Zbl 1054.62101) Full Text: DOI
Cai, Zongwu Nonparametric estimation equations for time series data. (English) Zbl 1104.62324 Stat. Probab. Lett. 62, No. 4, 379-390 (2003). MSC: 62M10 62G08 62G20 PDFBibTeX XMLCite \textit{Z. Cai}, Stat. Probab. Lett. 62, No. 4, 379--390 (2003; Zbl 1104.62324) Full Text: DOI
Cai, Zongwu; Ould-Saïd, Elias Local M-estimator for nonparametric time series. (English) Zbl 1116.62390 Stat. Probab. Lett. 65, No. 4, 433-449 (2003). MSC: 62M10 62G05 62G20 PDFBibTeX XMLCite \textit{Z. Cai} and \textit{E. Ould-Saïd}, Stat. Probab. Lett. 65, No. 4, 433--449 (2003; Zbl 1116.62390) Full Text: DOI
Cai, Zongwu A two-stage approach to additive time series models. (English) Zbl 1090.62553 Stat. Neerl. 56, No. 4, 415-433 (2002). MSC: 62M10 62G08 PDFBibTeX XMLCite \textit{Z. Cai}, Stat. Neerl. 56, No. 4, 415--433 (2002; Zbl 1090.62553) Full Text: DOI
Cai, Zongwu Regression quantiles for time series. (English) Zbl 1181.62124 Econom. Theory 18, No. 1, 169-192 (2002). MSC: 62M10 62G05 PDFBibTeX XMLCite \textit{Z. Cai}, Econom. Theory 18, No. 1, 169--192 (2002; Zbl 1181.62124) Full Text: DOI
Cai, Zongwu Estimating a distribution function for censored time series data. (English) Zbl 1057.62068 J. Multivariate Anal. 78, No. 2, 299-318 (2001). MSC: 62M10 62G07 60F05 62G05 62M09 PDFBibTeX XMLCite \textit{Z. Cai}, J. Multivariate Anal. 78, No. 2, 299--318 (2001; Zbl 1057.62068) Full Text: DOI
Cai, Zongwu; Yao, Qiwei; Zhang, Wenyang Smoothing for discrete-valued time series. (English) Zbl 0972.62072 J. R. Stat. Soc., Ser. B, Stat. Methodol. 63, No. 2, 357-375 (2001). MSC: 62M10 62G08 62G05 62G20 PDFBibTeX XMLCite \textit{Z. Cai} et al., J. R. Stat. Soc., Ser. B, Stat. Methodol. 63, No. 2, 357--375 (2001; Zbl 0972.62072) Full Text: DOI Link
Cai, Zongwu Weighted Nadaraya-Watson regression estimation. (English) Zbl 0967.62024 Stat. Probab. Lett. 51, No. 3, 307-318 (2001). MSC: 62G08 62M10 62F35 62G20 PDFBibTeX XMLCite \textit{Z. Cai}, Stat. Probab. Lett. 51, No. 3, 307--318 (2001; Zbl 0967.62024) Full Text: DOI
Cai, Zongwu; Fan, Jianqing; Yao, Qiwei Functional-coefficient regression models for nonlinear time series. (English) Zbl 0996.62078 J. Am. Stat. Assoc. 95, No. 451, 941-956 (2000). MSC: 62M10 62G08 62J02 PDFBibTeX XMLCite \textit{Z. Cai} et al., J. Am. Stat. Assoc. 95, No. 451, 941--956 (2000; Zbl 0996.62078) Full Text: DOI Link
Cai, Zongwu; Fan, Jianqing Average regression surface for dependent data. (English) Zbl 0960.62096 J. Multivariate Anal. 75, No. 1, 112-142 (2000). MSC: 62M10 62G08 62H10 60F05 62G07 PDFBibTeX XMLCite \textit{Z. Cai} and \textit{J. Fan}, J. Multivariate Anal. 75, No. 1, 112--142 (2000; Zbl 0960.62096)
Cai, Zongwu; Masry, Elias Nonparametric estimation of additive nonlinear ARX time series: Local linear fitting and projections. (English) Zbl 0997.62065 Econom. Theory 16, No. 4, 465-501 (2000). MSC: 62M10 62G20 62G05 62P20 PDFBibTeX XMLCite \textit{Z. Cai} and \textit{E. Masry}, Econom. Theory 16, No. 4, 465--501 (2000; Zbl 0997.62065) Full Text: DOI