Yong Bao's Research

Refereed Publications

1. Bao, Y. (2024). Estimating Spatial Autoregressions under Heteroskedasticity without Searching for Instruments, Regional Science and Urban Economics, forthcoming.
2. Bao, Y., G. Li, and X. Liu (2024). A Spatial Sample Selection Model, Oxford Bulletin of Economics and Statistics, forthcoming.
3. Bao, Y. (2024). Estimating Linear Dynamic Panels with Recentered Moments, Econometrics, 12(1), 3.
4. Bao, Y. and X. Yu (2023). Indirect Inference Estimation of Dynamic Panel Data Models, Journal of Econometrics 235(2), 1027-1053.
5. Bao, Y. (2023). Indirect Inference Estimation of Higher-order Spatial Autoregressive Models, Econometric Reviews 42(3), 247-280. (Working paper version)
6. Bao, Y. and X. Zhou (2023). Heterogeneous Spatial Dynamic Panel Models with an Application to US Housing Data, Spatial Economic Analysis 18(2), 259-285.
7. Bao, Y. (2021). Indirect Inference Estimation of A First-Order Dynamic Panel Data Model, Journal of Quantitative Economics 19(S), 79-98.
8. Bao, Y. and X. Liu (2021). Estimating a Spatial Autoregressive Model with Autoregressive Disturbances Based on the Indirect Inference Principle, Spatial Economic Analysis 16(4), 506-529. (Working paper version)
9. Bao, Y., X. Liu and L. Yang (2020), Indirect Inference Estimation of Spatial Autoregressions, Econometrics 8(3), 34. (Working paper version)
10. Bao, Y. (2018). A General Result on the Estimation Bias of ARMA Models, Journal of Statistical Planning and Inference, 197, 107-125.
11. Bao, Y. (2018). The Asymptotic Covariance Matrix of the QMLE in ARMA Models, Econometric Reviews 37(4), 309-324.
12. Bao, Y., A. Ullah and Y. Wang (2017). Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process, Econometric Reviews 36(6-9), 1039-1056.
13. Bao, Y. (2016). Finite-Sample Bias of the Conditional Gaussian Maximum Likelihood Estimator in ARMA Models, Advances in Econometrics 36, 207-244.
14. Lo, M. and Y. Bao (2016). Are Overall Journal Rankings a Good Mapping for Article Quality in Specialty Fields? Journal of Business & Economic Statistics 34(1), 62-67.
15. Bao, Y., A. Ullah, Y. Wang, and J. Yu (2015). Bias in the Estimation of Mean Reversion in Continuous-Time Lévy Processes, Economics Letters 134, 16-19.
16. Bao, Y. (2015). Should We Demean the Data? Annals of Economics and Finance 16(1), 163-171.
17. Bao, Y., A. Ullah, and R. Zhang (2014). Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors, Advances in Econometrics 33, 65-92.
18. Bao, Y. and Y. Hua (2014). On the Fisher Information Matrix of a Vector ARMA Process, Economics Letters 123(1), 14-16.
19. Bao, Y. and R. Zhang (2013). Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model, Journal of Time Series Econometrics 6(1), 63-80.
20. Bao, Y., A. Ullah, and V. Zinde-Walsh (2013). On Existence of Moment of Mean Reversion Estimator in Linear Diffusion Models, Economics Letters 120(2), 146-148.
21. Bao, Y. and R. Kan (2013). On the Moments of Ratio of Quadratic Forms in Normal Random Variables, Journal of Multivariate Analysis 117, 229-245.
22. Bao, Y. (2013). On Sample Skewness and Kurtosis, Econometric Reviews 32(4), 415-448.
23. Bao, Y. (2013). Finite Sample Bias of the QMLE in Spatial Autoregressive Models, Econometric Theory 29(1), 68-88. (Erratum at Econometric Theory 29(1), 89.) (Appendix)
24. Tooley, J., Y. Bao, P. Dixon, and J. Merrifield (2011). School Choice and Academic Performance: Some Evidence from Developing Countries, Journal of School Choice 5(1), 1-39.
25. Bao, Y., M. Lo, and F.G. Mixon Jr. (2010). General-Interest versus Specialty Journals: Using Intellectual Influence of Econometrics Research to Rank Economics Journals and Articles, Journal of Applied Econometrics 25(2), 345-353.
26. Bao, Y. and A. Ullah (2010). Expectation of Quadratic Forms in Normal and Nonnormal Variables with Applications, Journal of Statistical Planning and Inference 140(5), 1193-1205. (Erratum)
27. Bao, Y., T.M. Fullerton Jr., and D. Lien (2009). Borderplex Menu Evidence for the Law of One Price: A Convergence Approach, Applied Economics Letters 16, 1717-1720.
28. Bao, Y. and A. Ullah (2009). Higher-Order Bias and MSE of Nonlinear Estimators, Pakistan Journal of Statistics 25(4), 587-594.
29. Bao, Y. and A. Ullah (2009). On Skewness and Kurtosis of Econometric Estimators, The Econometrics Journal 12(2), 232-247.
30. Bao, Y. (2009). Estimation Risk Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution, Journal of Financial Econometrics 7(2), 152-173.
31. Bao, Y. and S. Dhongde (2009). Testing Convergence in Income Distribution, Oxford Bulletin of Economics and Statistics 71(2), 295-302.
32. Bao, Y. (2009). Finite Sample Moments of the Coefficient of Variation, Econometric Theory 25(1), 291-297. (Erratum.)
33. Bao, Y., F. Firoozi, and M. Lo (2008). A Monte Carlo Power Comparison of the Classical and One-Sided Procedures for Testing Linear Inequalities, Journal of Quantitative Economics 6(1-2), 233-239.
34. Bao, Y. (2007). The Approximate Moments of the Least Squares Estimator for the Stationary Autoregressive Model under a General Error Distribution, Econometric Theory 23(5), 1013-1021.
35. Bao, Y. and A. Ullah (2007). The Second-Order Bias and Mean Squared Error of Estimators in Time Series Models, Journal of Econometrics 140(2), 650-669.
36. Bao, Y. (2007). Finite Sample Properties of Forecasts from the Stationary First-Order Autoregressive Model under a General Error Distribution, Econometric Theory 23(4), 767-773.
37. Bao, Y. and A. Ullah (2007). Finite Sample Properties of Maximum Likelihood Estimator in Spatial Models, Journal of Econometrics 137(2), 396-413.
38. Bao, Y., T.-H. Lee, and B. Saltoğlu (2007). Comparing Density Forecast Models, Journal of Forecasting 26(3), 203-225.
39. Bao, Y., T.-H. Lee, and B. Saltoğlu (2006). Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check, Journal of Forecasting 25(2), 101-128.
40. Bao, Y. and A. Ullah (2006). Moments of the Estimated Sharpe Ratio when the Observations are not IID, Finance Research Letters 3(1), 49-56. (Erratum)
41. Bao, Y. and T.-H. Lee (2006). Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison, Advances in Econometrics 20(B), 41-62.
42. Bao, Y. and A. Ullah (2004). Bias of a Value-at-Risk Estimator, Finance Research Letters 1(4), 241-249.
43. Bao, Y. and J.-T. Guo (2004). Reexamination of Economic Growth, Tax Policy, and Distributive Politics, Review of Development Economics 8(3), 474-482.

Book Chapters and Editorial

44. Bao, Y. and A. Ullah (2021), Analytical Finite Sample Econometrics: From A. L. Nagar to Now, Journal of Quantitative Economics 19(S), 17-37.
45. Bao, Y. and A. Ullah (2021), The Special Issue in Honor of Anirudh Lal Nagar: An Introduction, Journal of Quantitative Economics 19(S), 1-8.
46. Bao, Y., X. Liu and A. Ullah (2021), On the Exact Statistical Distribution of Econometric Estimators and Test Statistics, Advances in Statistics - Theory and Applications (Eds.: I. Ghosh, N. Balakrishnan, and T. Ng ), 119-131.
47. Bao, Y., Y. Fan, L. Su, and V. Zinde-Walsh (2016). A Selective Review of Aman Ullah’s Contributions to Econometrics, Advances in Econometrics 36 (Eds.: G. González-Rivera, R. C. Hill, and T.-H. Lee), 3-43.
48. Bao, Y., R. Florax, and J. Le Gallo (2014). Contributions to Spatial Econometrics, International Regional Science Review 37(3), 247-250.