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Yuan Liao - Publications

Affiliations: 
Mathematics University of Maryland, College Park, College Park, MD 
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14 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Fan J, Ke Y, Liao Y. Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia Journal of Econometrics. DOI: 10.1016/J.Jeconom.2020.07.002  0.354
2019 Hansen C, Liao Y. The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications Econometric Theory. 35: 465-509. DOI: 10.1017/S0266466618000245  0.325
2018 Lee S, Liao Y, Seo MH, Shin Y. Oracle Estimation of a Change Point in High Dimensional Quantile Regression Journal of the American Statistical Association. 113: 1184-1194. DOI: 10.1080/01621459.2017.1319840  0.35
2017 Bai J, Liao Y. Inferences in panel data with interactive effects using large covariance matrices Journal of Econometrics. 200: 59-78. DOI: 10.1016/J.Jeconom.2017.05.014  0.365
2016 Fan J, Liao Y, Wang W. PROJECTED PRINCIPAL COMPONENT ANALYSIS IN FACTOR MODELS. Annals of Statistics. 44: 219-254. PMID 26783374 DOI: 10.1214/15-Aos1364  0.322
2016 Bai J, Liao Y. Efficient estimation of approximate factor models via penalized maximum likelihood Journal of Econometrics. 191: 1-18. DOI: 10.2139/Ssrn.2152416  0.374
2016 Fan J, Liao Y, Liu H. An overview of the estimation of large covariance and precision matrices The Econometrics Journal. 19: C1-C32. DOI: 10.1111/Ectj.12061  0.354
2015 Fan J, Liao Y, Shi X. Risks of Large Portfolios. Journal of Econometrics. 186: 367-387. PMID 26195851 DOI: 10.1016/J.Jeconom.2015.02.015  0.33
2015 Chernozhukov V, Hansen C, Liao Y. A lava attack on the recovery of sums of dense and sparse signals Annals of Statistics. 45: 39-76. DOI: 10.1920/Wp.Cem.2015.5615  0.35
2014 Fan J, Liao Y. Endogeneity in High Dimensions. Annals of Statistics. 42: 872-917. PMID 25580040 DOI: 10.1214/13-Aos1202  0.357
2013 Fan J, Liao Y, Mincheva M. Large Covariance Estimation by Thresholding Principal Orthogonal Complements. Journal of the Royal Statistical Society. Series B, Statistical Methodology. 75. PMID 24348088 DOI: 10.1111/Rssb.12016  0.382
2011 Fan J, Liao Y, Mincheva M. HIGH DIMENSIONAL COVARIANCE MATRIX ESTIMATION IN APPROXIMATE FACTOR MODELS. Annals of Statistics. 39: 3320-3356. PMID 22661790 DOI: 10.1214/11-Aos944  0.38
2011 Liao Y, Jiang W. Posterior consistency of nonparametric conditional moment restricted models The Annals of Statistics. 39: 3003-3031. DOI: 10.1214/11-Aos930  0.35
2010 Liao Y, Jiang W. Bayesian Analysis in Moment Inequality Models Annals of Statistics. 38: 275-316. DOI: 10.2139/Ssrn.2028118  0.312
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