Publications


Papers Submitted and Revised and Re-submitted (R&R) by April 11, 2022:


135. Liu, X., H. Liu and Z. Cai (2022). Time-varying relative risk aversion: Mechanism and evidence. Submitted.
134. Cai, Z. and X. Liu (2022). A nonparametric dynamic network via multivariate quantile autoregressions. Submitted.
133. Cai, Z. and S.Y. Chang (2022). A new test for testing predictability of asset returns with structural breaks. Submitted.
132. Cai, Z., Y. Fang, M. Lin and M. Zhan (2022). Estimating quantile treatment effects for panel data. Submitted.
131. Cai, Z., J. Chen and L. Niu (2022). A functional affine arbitrage-free term structure model with life cycle fundamental. Submitted.
130. Cai, Z., M. Shi, W. Wu and Y. Zhao (2022). A panel data quantile model with correlated random effects. Submitted.
129. Cai, Z., Fang, Y, M. Lin and S. Tang (2022). Testing conditional independence in casual inference for time series data. Submitted.
128. Cai, Z., Fang, Y, M. Lin and S. Tang (2021). A nonparametric test for testing heterogeneity in conditional quantile treatment effects. Submitted.
127. Yuan, J., Y. Dong, W. Zhai and Z. Cai (2021). Economic policy uncertainty: Cross-country linkages and spillover effects on economic development in some Belt and Road countries. R&R for Journal of Systems Science and Complexity.
126. Cai, Z. and T. Juhl (2021). The distribution of rolling regression estimators. R&R for Journal of Econometrics.
125. Yuan, J., W. Zhai, Y. Dong and Z. Cai (2021). Economic policy uncertainty and macroeconomic forecasting under policy uncertainty - Based on text mining method. Submitted.
124. Yuan, J., Q. Zhang, Z. Xu and Z. Cai (2020). Macroeconomic recession and recovery under the impact of economic policy uncertainty - On the impact of COVID-19 pandemic. Submitted.

Papers Accepted or Forthcoming:


123. Liu, Z., Z. Cai and Y. Fang (2019). Policy evaluation of monetary policy and macro-prudential policy in China. Accepted by Economic Research Journal.
122. Zhu, F., M. Liu, S. Ling and Z. Cai (2020). Testing for structural change of predictive regression model to threshold predictive regression model. Accepted by Journal of Business & Economic Statistics.
121. Cai, Z., H. Chen and X. Liao (2020). A new robust inference for predictive quantile regression. Accepted by Journal of Econometrics.

Papers Published:


120. Liu, G., W. Long, B. Yang and Z. Cai (2022). Semiparametric estimation and model selection for conditional mixture copula models. Scandinavian Journal of Statistics, 49, 287-330. DOWNLOAD .
119. Yang, B., Z. Cai, C. Hafner and G. Liu (2022). Time-varying mixture copula models with copula selection. Statistica Sinica, 32, 1049-1077. DOWNLOAD
118. Cai, Z., Y. Fang and Q. Xu (2022). Testing capital asset pricing models using functional coefficient panel data models with cross-sectional dependence. Journal of Econometrics, 227, 114-133. DOWNLOAD
117. Duan, H., De. Yuan, Z. Cai and S. Wang (2022). Valuing the impacts of climate change on China's economic growth. Economic Analysis and Policy, 74, 155-174. DOWNLOAD
116. Zhan, M., Z. Cai, Y. Fang and M. Lin (2022). Recent advances in statistical methodologies in evaluating program for high-dimensional data. Applied Mathematics - A Journal Of Chinese Universities, Series B, 37, 131-146.DOWNLOAD
115. Tang, S., Cai, Z., Y. Fang and M. Lin (2021). A new quantile treatment effect model to study smoking effect on birth weight during mother's pregnancy. Journal of Management Science and Engineering, 6, 336-343. DOWNLOAD
114. Cai, Z., Y. Fang and Y. Qi (2021). Forty's years of quantitative research in China: Retrospectives and perspectives. Journal of Management Science and Engineering, 6, 247-248. DOWNLOAD
113. Cai, Z., Y. Fang, M. Lin and S. Tang (2021). Estimation of partially conditional quantile treatment effects. China Journal of Econometrics, 1, 741-762. DOWNLOAD
112. Fan, J., M. Zhan, Z. Cai, Y. Fang and M. Lin (2021). Covariate balancing propensity score estimation with variable selection based on GMM-LASSO approach. Systems Engineering: Theory & Practice, 40, 2631-2639. DOWNLOAD
111. Xu, Q., Z. Cai and Y. Fang (2021). Semiparametric inferences on fixed effects panel data models via nearest neighbor difference transformation. Econometric Reviews, 40, 919-943. DOWNLOAD
110. Wu, W., W. Zhen, J. Yang and Z. Cai (2021). Corporate risk information disclosure and bond risk premium based on text analysis of bond prospectus. Systems Engineering: Theory & Practice, 41, 1650-1671. DOWNLOAD
109. Yang, B., X. Liu, L. Peng and Z. Cai (2021). Unified tests for a dynamic predictive regression. Journal of Business & Economic Statistics, 39, 684-699. DOWNLOAD
108. Cai, Z. (2021). Recent developments in estimating treatment effects for panel data. China Journal of Econometrics, 2, 233-249. DOWNLOAD
107. Duan, H., Q. Bao, K. Tian, S. Wang, C. Yang and Z. Cai (2021). The hit of the novel coronavirus outbreak to China economy. China Economic Review, 67, 101606:1-17. DOWNLOAD
106. Hong, S., Z. Zhang and Z. Cai (2021). Testing heteroskedasticity for predictive regressions with nonstationary regressors. Economics Letters, 201, 109781: 1-4. DOWNLOAD
105. Yang, B., W. Long, L. Peng and Z. Cai (2020). Testing predictability of US housing price index returns based on an IVX-AR model. Journal of The American Statistical Association, 115, 1598-1619. DOWNLOAD
104. Fang, Y., S. Tang, Z. Cai and M. Lin (2020). An alternative testing for conditional unconfoundedness using auxiliary variables. Economics Letters, 194, 109310:1-5. DOWNLOAD
103. Ma, C., X. Mi and Z. Cai (2020). Nonlinear and time-varying risk premia. China Economic Review, 62, 101467: 1-30. DOWNLOAD
102 Xu, G., C. Ma, Z. Cai and Y. Jia (2020). A Study on how information-based profits to make an impact on moral hazard and institutional investors - bids. System Engineering: Theory & Practice, 40, 817-830. DOWNLOAD
101. Liu, Z., Z. Cai, Y. Fang and M. Lin (2020). Statistical analysis and evaluation of macroeconomic policies: A selective review. Applied Mathematics - A Journal Of Chinese Universities, Series B, 35, 57-83. DOWNLOAD
100. Tian, D., Z. Cai and Y. Fang (2019). Econometric modeling for risk measures: A selective review of the recent literature. Applied Mathematics - A Journal Of Chinese Universities, Series B, 34, 205-228. DOWNLOAD
99. Yang, J., W. Wu and Z. Cai (2019). A study on impact of corporate social responsibility on the value of cash holdings. System Engineering: Theory & Practice, 39, 893-905. DOWNLOAD
98. Yang, J., W. Wu, X. Mao and Z. Cai (2019). Quantile analysis of investment in private participation in infrastructure projects. Annals of Financial Economics, 14, 1950005 (26 pages). DOWNLOAD
97. Liu, X., B. Yang, Z. Cai and L. Peng (2019). A unified test for predictability of asset returns regardless of properties of predicting variables. Journal of Econometrics, 208, 141-159. DOWNLOAD
96. Cai, Z., Y. Fang, M. Lin and J. Su (2019). Inferences for a partially varying coefficient model with endogenous regressors. Journal of Business & Economic Statistics, 37, 158-170. DOWNLOAD
95. Zheng, J., W. Gu, B. Xu and Z. Cai (2018). The estimation for Levy processes in high frequency data. Econometric Reviews, 37, 1051-1066. DOWNLOAD
94. Cai, Z., Y. Fang and D. Tian (2018). Assessing tail risk using expectile models with partially varying coefficients. Journal of Management Science and Engineering, 3, 179-209. DOWNLOAD
93. Cai, Z., Y. Hong and S. Wang (2018). Econometric modeling and economic forecasting. Journal of Management Science and Engineering, 3, 211-214. DOWNLOAD
92. Duan, H. and Z. Cai (2018). Innovation, endogenous growth and climate change: Comments on works of the 2018 Nobel Prize winners in economic sciences. Management Review, 30(10), 1-13. DOWNLOAD
91. Cai, Z., L. Chen and Y. Fang (2018). Quantile panel data models with partially varying coefficients with an application to the growth effect of FDI. Journal of Econometrics, 206, 531-553. DOWNLOAD
90. Cai, Z., C. Hsiao and Y. Hong (2018). Advance in theoretical econometrics - essays in honor of Takeshi Amemiya. Journal of Econometrics, 206, 279-281. DOWNLOAD
89. Liao, X., Z. Cai and H. Chen (2018). A perspective on recent models for testing predictability of asset returns. Applied Mathematics - A Journal Of Chinese Universities, Series B, 33, 127-144. DOWNLOAD
88. Yang, J., W. Wu, M. Zhong and Z. Cai (2017). Earnings management and liquidity risk. Journal of Systems Engineering, 32, 346-359. DOWNLOAD
87. Cai, Z., B.-Y. Jing, X.-B. Kong and Z. Liu (2017). Nonparametric regression with nearly integrated regressors under long run dependence. Econometrics Journal, 20, 118-138. DOWNLOAD
86. Sun, Y., Z. Cai and Q. Li (2016). A consistent nonparametric test on parametric smooth coefficient model with nonstationary data. Econometric Theory, 32, 988-1022. DOWNLOAD
85. Liu, X., F. Yang and Z. Cai (2016). Does relative risk aversion vary with wealth? Evidence from households - portfolio choice data. Journal of Economic Dynamics and Control, 69, 229-248. DOWNLOAD
84. Xu, Q., Z. Cai and Y. Fang (2016). Panel data models with cross-sectional dependence. Applied Mathematics - A Journal Of Chinese Universities, Series B, 31, 127-148. DOWNLOAD
83. Cai, Z., T. Juhl and B. Yang (2015). Functional index coefficient models with variable selection. Journal of Econometrics, 189, 272-284. DOWNLOAD
82. Cai, Z., Y. Ren and B. Yang (2015). A semiparametric conditional capital asset pricing model. of Banking and Finance, 61, 117-126. DOWNLOAD
81. Liu, X., Z. Cai and R. Chen (2015). Functional coefficient seasonal time series models with an application of Hawaii tourism data. Computational Statistics, 30, 719-744. DOWNLOAD
80. Lin, W., Z. Cai, Z. Li and L. Su (2015). Optimal smoothing in nonparametric conditional quantile derivative function estimation. Journal of Econometrics, 188, 502-513. DOWNLOAD
79. Cai, Z., Y. Wang and Y. Wang (2015). Testing instability in predictive regression model with nonstationary regressors. Econometric Theory, 31, 953-980. DOWNLOAD
78. Cai, Z., Y. Ren and L. Sun (2015). Pricing kernel estimation: Local estimating equation approach. Econometric Theory, 31, 560-580. DOWNLOAD
77. Li, X., Z. Cai and Y. Ren (2015). A new test on the conditional capital asset pricing model. Applied Mathematics - A Journal Of Chinese Universities, Series B, 30, 163-186. DOWNLOAD
76. Cai, Z., J. Su and Sufianti (2015). A regression analysis of expected shortfall. Statistics and Its Interface, 8, 295-303. DOWNLOAD
75. Cai, N., Z. Cai, Y. Fang and Q. Xu (2015). Forecasting major Asian exchange rates using a new semiparametric STAR model. Empirical Economics, 48, 407-426. DOWNLOAD
74. Cai, Z., J. Jiang, J. Zhang and X. Zhang (2015). A new semiparametric test for superior predictive ability. Empirical Economics, 48, 389-405. DOWNLOAD
73. Cai, Z., L. Chen and F. Fang (2015). Semiparametric estimation of partially varying coefficient dynamic panel data models. Econometric Reviews, 34, 694-718. DOWNLOAD
72. Cai, Z. and Y. Wang (2014). Corrigendum to "Testing predictive regression models with nonstationary regressors" [J. Econometrics 178 (2014) 4-14], Journal of Econometrics, 181, 194. DOWNLOAD
71. Cai, Z. and X. Wang (2014). Selection of mixed copula model via penalized likelihood. Journal of The American Statistical Association, 109, 788-801. DOWNLOAD
70. Zhu, F., Z. Cai and L. Peng (2014). Predictive regressions for macroeconomics data. Annals of Applied Statistics, 8, 577-594. DOWNLOAD
69. Cai, Z. and Y. Wang (2014). Testing predictive regression models with nonstationary regressors. Journal of Econometrics, 178, 4-14. DOWNLOAD

68. Sun, Y. Z. Cai and Q. Li (2013). Semiparametric functional coefficient models with integrated covariates. Econometric Theory, 29, 659-672.
67. Cai, N., Z. Cai and Y. Fang (2013). A new nonparametric stability test with an application to major Chinese macroeconomic time series. Applied Mathematics - A Journal Of Chinese Universities, Series B, 28, 1-16.
66. Cai, Z., L. Chen and Y. Fang (2013). A new forecasting model for USD/CNY exchange rate. Studies in Nonlinear Dynamics and Econometrics, 16, No.3, Article 4, 1-18.
65. Cai, Z. and H. Xiong (2012). Partially varying-coefficient instrumental variables models. Statistica Neerlandica, 66, 85-110.
64. Cai, Z., L. Chen and Y. Fang (2012). Semiparametric forecasting model for USD/CNY exchange rate. System Engineering: Theory & Practice, 32, 685-692.
63. Cai, Z. and Z. Xiao (2012). Semiparametric quantile regression estimation in dynamic models with partially varying coefficients. Journal of Econometrics, 167, 413-425.
62. Cai, Z., Y. Fang, and H. Li (2012). Weak instrumental variables models for longitudinal data. Econometric Reviews, 31, 361-389.
61. Cai, Z., Y. Fang and J. Su (2012). Reducing the asymptotic bias of weak instruments estimation using independently repeated cross-sectional information. Statistics and Probability Letters, 82, 180-185.
60. Cai, Z. (2011). Nonparametric regression models with integrated covariates. Nonparametric Statistical Methods and Related Topics (Eds: J. Jiang, G.G. Roussas and F.J. Samaniego): A Festschrift in Honor of Professor P.K. Bhattacharya on his 80th Birthday, pp.257-275.
59. Yang, B., S. Wang and Z. Cai (2011). Nonparametric approach to calculate seasonal factors for AADT estimation. The Proceeding of The 18th International Federation of Automatic Control World Congress 2011, August 28 - September 2, 2011, 10727-10732.
58. Cai, Z. (2010). Functional coefficient models for economic and financial data. In Oxford Handbook of Functional Data Analysis (Eds: F. Ferraty and Y. Romain). Oxford University Press, Oxford, UK, pp.166-186.
57. Ma, Y, M. Chen, Z. Cai and M. Zhang (2010). Mean-reverting jump diffusion model of China stock warrants. System Engineering: Theory & Practice, 30, 14-21.
56. Cai, Z. and Y. Hong (2009). Some recent developments in nonparametric finance. Advances in Econometrics, 25, 379-432.
55. Cai, Z., J. Gu and Q. Li (2009). Recent developments in nonparametric econometrics. Advances in Econometrics, 25, 495-549.
54. Chen, R., Z. Cai and M. Chen (2009). The minimum-LPM hedge ratio based on the mixed copula method. Journal of Xiamen University: Arts & Social Sciences, 193, 34-40.
53. Cai, Z., Q. Li and Y. Park (2009). Functional-coefficient models for nonstationary time series data. Journal of Econometrics, 148, 101-113.
52. Cai, Z. and X. Xu (2008). Nonparametric quantile estimations for dynamic smooth coefficient models. Journal of the American Statistical Association, 103, 1596-1608.
51. Cai, Z. and H. Li (2008). Convergency and divergency of functional coefficient weak instrumental variables models. Statistics and Its Interface, 1, 333-346.
50. Cai, Z. and X. Wang (2008). Nonparametric methods for estimating conditional value-at-risk and expected shortfall. Journal of Econometrics, 147, 120-130.
49. Cai, Z. and Q. Li (2008). Nonparametric estimation of varying coefficient dynamic panel models. Econometric Theory, 24, 1321-1342.
48. Cai, Z. (2007). Trending time varying coefficient time series models with serially correlated errors. Journal of Econometrics, 136, 163-188.
47. Cai, Z., M. Das, H. Xiong and X. Wu (2006). Functional coefficient instrumental variables models. Journal of Econometrics, 133, 207-241.
46. Cai, Z. and R. Chen (2006). Flexible seasonal time series models. Advances in Econometrics(T. Fomby and D. Terrell, eds.),20B, 63-87.
45. Ould-Said, E. and Z. Cai (2005). Strong uniform consistency of nonparametric estimation of the censored conditional mode function. Journal of Nonparametric Statistics, 17, 797-806.
44. Cai, Z. (2003). Local quasi-likelihood approach to varying-coefficient discrete-valued time series models. Journal of Nonparametric Statistics, 15, 693-711.
43. Cai, Z. and E. Ould-Said (2003). Local M-estimator for nonparametric time series. Statistics and Probability Letters, 65, 433-449.
42. Cai, Z. (2003). Weighted local linear approach to censored nonparametric regression. In Recent Advances and Trends in Nonparametric Statistics (M.G. Akritas and D.M. Politis, eds.), 217-231.
41. Cai, Z. and Y. Hong (2003). Nonparametric methods in continuous-time finance: A selective review. In Recent Advances and Trends in Nonparametric Statistics (M.G. Akritas and D.M. Politis, eds.), 283-302.
40. Cai, Z. (2003). Nonparametric estimation equations for time series data. Statistics and Probability Letters, 62, 379-390.
39. Cai, Z. and Y. Sun (2003). Local linear estimation for time-dependent coefficients in Cox's regression models. Scandinavian Journal of Statistics, 30, 93-111.
38. Fan, J., Q. Yao and Z. Cai (2003). Adaptive varying-coefficient linear models. Journal of the Royal Statistical Society, series B, 65, 57-80.
37. Cai, Z. (2002). A two-stage approach to additive time series models. Statistica Neerlandica, 56, 415-433.
36. Cai, Z. (2002). Two-step likelihood estimation procedure for varying-coefficient models. Journal of Multivariate Analysis, 82, 189-209.
35. Cai, Z. (2002). Regression quantiles for time series. Econometric Theory, 18, 169-192.
34. Cai, Z. (2002). Estimating a distribution for censored time series data. Journal of Multivariate Analysis, 78, 299-318.
33. Cai, Z., Q. Yao and W. Zhang (2001). Smoothing for discrete-value time series. Journal of the Royal Statistical Society, series B, 63, 357-375.
32. Cai, Z. (2001). Weighted Nadaraya-Watson regression estimation. Statistics and Probability Letters, 51, 307-318.
31. Cai, Z. and L. Qian (2000). Local estimation of a biometric function with covariate effects. In Asymptotics in Statistics and Probability (M. Puri, ed), 47-70.
30. Cai, Z. and J. Fan (2000). Average regression surface for dependent data. Journal of Multivariate Analysis, 75, 112-142.
29. Cai, Z., P.A. Naik and C.L. Tsai (2000). Denoised least squares estimators: An application to estimating advertising effectiveness. Statistica Sinica, 10, 1231-1241.
28. Cai, Z., J. Fan and Q. Yao (2000). Functional-coefficient regression models for nonlinear time series. Journal of the American Statistical Association, 95, 941-956.
27. Cai, Z., J. Fan and R. Li (2000). Efficient estimation and inferences for varying coefficient models. Journal of the American Statistical Association, 95, 888-902.
26. Cai, Z. and E. Masry (2000). Nonparametric estimation in nonlinear ARX time series models: Local linear fitting and projections. Econometric Theory, 16, 465-501.
25. Cai, Z. and R.C. Tiwari (2000). Application of a local linear autoregressive model to BOD time series. Environmetrics, 11, 341-350.
24. Cai, Z. and G.G. Roussas (1999). Berry-Esseen bounds for smooth estimate of a distribution function under association. Journal of Nonparametric Statistics, 11, 79-106.
23. Cai, Z. and G.G. Roussas (1999). Weak convergence for smooth estimator of a distribution function under negative association. Journal of Stochastic Analysis and Applications, 17, 145-168.
22. Cai, Z. and C.L. Tsai (1999). Diagnostics for nonlinearity in generalized linear models. Journal of Statistical Computation and Simulation, 29, 445-469.
21. Cai, Z. and G.G. Roussas (1998). Kaplan-Meier estimator under association. Journal of Multivariate Analysis, 67, 318-348.
20. Cai, Z. (1998). Kernel density and hazard rate estimation for censored dependent data. Journal of Multivariate Analysis, 67, 23-34.
19. Tsai, C.-L., Z. Cai and X.Z. Wu (1998). The examination of residual plots. Statistica Sinica, 8, 445-465.
18. Cai, Z. and G.G. Roussas (1998). Efficient estimation of a distribution function under quadrant dependence. Scandinavian Journal of Statistics, 25, 211-224.
17. Cai, Z. (1998). Asymptotic properties of Kaplan-Meier estimator for censored dependent data. Statistics and Probability Letters, 37, 381-389.
16. Cai, Z., C.M. Hurvich and C.L. Tsai (1998). Score tests for heteroscedasticity in wavelet regression models. Biometrika, 85, 229-234.
15. Cai, Z. and G.G. Roussas (1997). Smooth estimate of quantiles under association. Statistics and Probability Letters, 36, 275-287.
** Cai, Z. (1995). Statistical Inference under Dependence. Ph.D. Dissertation (1995), Department of Statistics, University of California, Davis.
14. Cai, Z. (1993). Uniform strong convergence and rates for the kernel estimator of a distribution function and a regression function under weakly dependent observations. Journal of Applied Probability and Statistics, 9, 11-17.
13. Cai, Z. (1993). Asymptotic normality of recursive kernel density estimator under dependent assumptions. Journal of Applied Probability and Statistics, 9, 123 - 129.
12. Cai, Z. and G.G. Roussas (1992). Uniform strong estimation under alpha-mixing, with rates. Statistics and Probability Letters, 15, 47-55.
11. Cai, Z. (1992). On complete convergence of nonparametric regression M-quantiles. Journal of System Sciences and Mathematics, 5, 227 - 232.
10. Cai, Z. (1992). Moderate deviations and large deviations for generalized L-statistics. Annals of Chinese Mathematics, 13A, 364-372.
9. Cai, Z. (1992). Strong approximation and Erdos-Renyi type laws of sum for independently but non-identically random variables. Journal of Hangzhou University, 19, 240-246.
8. Cai, Z. (1991). Strong consistency and rates for recursive nonparametric conditional probability density estimator under (alpha-beta)-mixing conditions. Stochastic Processes and Their Applications, 38, 323-333.
7. Cai, Z. (1991). Some remarks on the strong convergence of weighted sums for independent random variables. Applied Mathematics - A Journal for Chinese Universities, Series A, 6, 44-51.
6. Cai, Z. (1991). On Chernoff type large deviations for trimmed U-statistics. Journal of Hangzhou University, 18, 21-26.
5. Cai, Z. (1991). Convergence properties for stochastic measures of the accuracy of double kernel estimator of conditional probability density. Journal of Hangzhou University, 18, 390-401.
4. Cai, Z. (1990). Strong consistency and rates for estimator of probability density for weakly dependent random variables. Journal of System Sciences and Mathematics, 10, 360-370.
3. Cai, Z. (1989). Rate of convergence in the SLLN for dependent random variables. Journal of Applied Probability and Statistics, 5, 256-264.
2. Cai, Z. (1989). Central limit theorem for integrated square error of double kernel estimator of conditional density. Journal of Hangzhou University, 16, 123-131.
1. Cai, Z. (1988). A strong law for linear functions of order statistics under dependent assumptions. Journal of Hangzhou University, 15, 378-383.


Working Papers:


1. Functional coefficient stochastic volatility model. Working paper, The Wang Yanan Institute for Studies in Economics, Xiamen University (2008) (with Zhuo Zhong).
2. Testing for discontinuous diffusion models versus jump diffusion models. Working paper, The Wang Yanan Institute for Studies in Economics, Xiamen University (2008) (with Longqing Zhang).
3. Information effect for different firm-size - via the nonparametric jump-diffusion model. Working paper, The Wang Yanan Institute for Studies in Economics, Xiamen University (2008) (with Longqing Zhang).
4. Local quasi-likelihood method for generalized random curve models with longitudinal data. Working paper, Department of Mathematics and Statistics, University of North Carolina at Charlotte (2002) (with H. Wu)