Jiti Gao
Selected Publications
High dimensional semiparametric moment restriction models
We consider nonlinear moment restriction semiparametric models where both the dimension of the parameter vector and […]
Previous version
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and […]
High dimensional semiparametric moment restriction models
Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are […]
Latest version
Inference on a semiparametric model with global power law and local nonparametric trends
This paper studies a model with both a parametric global trend and a nonparametric local trend. […]
Estimation in semiparametric quantile factor models
We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for […]