Xu Han

Qualifications

PhD - Economics (North Carolina State University)

Publications

Journal Publications and Reviews

CHENG, Xu; HAN, Xu; INOUE, Atsushi / INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY. December 2020; In: Econometric Theory.

Bai, Jushan; Han, Xu; Shi, Yutang / Estimation and inference of change points in high-dimensional factor models. November 2020; In: Journal of Econometrics. Vol. 219, No. 1, pp. 66-100

Caner, Mehmet; Han, Xu / An upper bound for functions of estimators in high dimensions. August 2020; In: Econometric Reviews.

Han, Xu / Shrinkage Estimation of Factor Models with Global and Group-Specific Factors. May 2019; In: Journal of Business and Economic Statistics.

Han, Xu / Estimation and inference of dynamic structural factor models with over-identifying restrictions. February 2018; In: Journal of Econometrics. Vol. 202, No. 2, pp. 125-147

CANER, Mehmet; HAN, Xu; LEE, Yoonseok / Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection. January 2018; In: Journal of Business and Economic Statistics. Vol. 36, No. 1, pp. 24-46

Han, Xu; Caner, Mehmet / Determining the number of factors with potentially strong within-block correlations in error terms. October 2017; In: Econometric Reviews. Vol. 36, No. 6-9, pp. 946-969

Bai, Jushan; Han, Xu / Structural Changes in High Dimensional Factor Models. March 2016; In: Frontiers of Economics in China. Vol. 11, No. 1, pp. 9-39

Han, Xu; Inoue, Atsushi / Tests for parameter instability in dynamic factor models. October 2015; In: Econometric Theory. Vol. 31, No. 5, pp. 1117-1152

Han, Xu / Tests for overidentifying restrictions in Factor-Augmented VAR models. February 2015; In: Journal of Econometrics. Vol. 184, No. 2, pp. 394-419

Caner, Mehmet; Han, Xu / Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators. July 2014; In: Journal of Business and Economic Statistics. Vol. 32, No. 3, pp. 359-374

Dong, Zhiyong; Gu, Qingyang; Han, Xu / Ambiguity aversion and rational herd behaviour. February 2010; In: Applied Financial Economics. Vol. 20, No. 4, pp. 331-343

Conference Papers

HAN, Xu; BAI, Jushan; Shi, Yutang / Estimation and Inference of Structural Changes in High Dimensional Factor Models. June 2017; 10th Annual Society for Financial Econometrics (SoFiE) Conference, 20/06/2017 - 23/06/2017, New York, United States.

HAN, Xu / Estimation and Inference of Dynamic Structural Factor Models with Over-identifying Restrictions. June 2017; 2017 Asian Meeting of the Econometric Society (2017 AMES), 03/06/2017 - 05/06/2017, Hong Kong, China.

HAN, Xu / Shrinkage Estimation of Factor Models with Global and Group-Specific Factors. June 2016; Tsinghua International Conference in Econometrics, 28/06/2016 - 29/06/2016, , China.

HAN, Xu / Estimation and Inference in Over-identified Structural Factor-Augmented VAR Models. June 2016; 9th Annual SoFiE Conference 2016, 15/06/2016 - 17/06/2016, Hong Kong , Hong Kong.

Caner, Mehmet; HAN, Xu; Lee, Yoonseok / Adaptive Elastic-Net GMM Estimator with Many Invalid Moment Conditions: A Simultaneous Model and Moment Selection. June 2014; China Meeting Econometric Society, 25/06/2014 - 27/06/2014, , China.

HAN, Xu / Tests for Overidentifying Restrictions in Factor-Augmented VAR Models. May 2014; Tsinghua International Conference in Econometrics, 21/05/2014 - 22/05/2014, Beijing, China.

HAN, Xu; INOUE, Atsushi / Tests for parameter instability in dynamic factor models. August 2013; asian meeting of the econometric society, 02/08/2013 - 04/08/2013, , Singapore.

CANER, Mehmet; HAN, Xu / Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case with Group-Bridge Estimators. June 2013; North American Summer Meeting of Econometric Society, 13/06/2013 - 16/06/2013, , United States.

CANER, Mehmet; HAN, Xu / Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case with Group Bridge Estimators. May 2013; CIREQ Econometrics Conference: Time Series and Financial Econometrics, 03/05/2013 - 04/05/2013, , Canada.

CANER, Mehmet; HAN, Xu; LEE, Yoonseok / Adaptive Elastic Net GMM Estimator with Many Invalid Moment Conditions: An Application to Dynamic Panel Data Models (previous title: Semiparametrically efficient high-dimensional GMM estimator with many invalid moment conditions: an application to dynamic panel data models):. September 2012; Midwest Econometrics Group Meeting, 28/09/2012 - 29/09/2012, , United States.

Research Areas

• Econometrics
• Applied macroeconomics