Ke-Li Xu

Assistant Professor

Department of Economics, Texas A&M University
3063 Allen (Mail Stop: 4228 TAMU)   Map (Allen Building)
College Station, TX 77843-4228, USA.
           
Email: keli.xu@econmail.tamu.edu
Personal Website: http://econweb.tamu.edu/keli/
Departmental Website: http://econweb.tamu.edu/people/faculty.htm?id=58
Voice: 979-845-7352
Fax: 979-847-8757.
 
Texas Camp Econometrics 2011

Education

Ph.D. Yale University, 2007

Specialized in Econometrics (Dissertation Committee: Peter C.B. Phillips, Donald W.K. Andrews, Yuichi Kitamura)

M.Phil. Yale University, 2004

M.S. University of Science and Technology of China, 2002

B.S. Wuhan University, 2000.

Curriculum Vitae

Courses

ECMT 679: Time Series Econometrics (Fall 2011)

ECMT 676: Econometrics II (Spring 2011)

Evaluations

Publications

Xu, K.-L. and Phillips, P.C.B. (2011+). Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications. Journal of Business and Economic Statistics (Forthcoming). DOI: 10.1198/jbes.2011.09012.

Xu, K.-L. (2011+). Robustifying Multivariate Trend Tests to Nonstationary Volatility. Journal of Econometrics (forthcoming).

Xu, K.-L. (2010). Re-weighted Functional Estimation of Diffusion Models. Econometric Theory 26 (2), April 2010, 541-563.

Xu, K.-L. (2009). Empirical Likelihood Based Inference for Recurrent Nonparametric Diffusions. Journal of Econometrics 153, 65-82.

Xu, K.-L. and Phillips, P.C.B. (2008). Adaptive Estimation of Autoregressive Models with Time-Varying Variances. Journal of Econometrics 142, 265-280. 

Xu, K.-L. (2008). Testing Against Nonstationary Volatility in Time Series. Economics Letters 101, 288-292.  

Xu, K.-L. (2008). Bootstrapping Autoregression under Nonstationary Volatility. Econometrics Journal 11, 1-26.

Phillips, P.C.B. and Xu, K.-L. (2006). Inference in Autoregression under Heteroskedasticity. Journal of Time Series Analysis 27, 289-308. 

Working Papers

Estimation and Inference of Discontinuity in Density (with Taisuke Otsu). Abstract

Model-Free Inference for Financial Risk Measures. Abstract

Nonparametric Inference of the Conditional Quantiles of Time Series. Abstract

Empirical Likelihood for Regression Discontinuity Design (with Taisuke Otsu). Abstract

Multivariate Trend Function Testing with Stationary and Integrated Errors.

Powerful Tests of Structural Changes in Volatility.

Improved Inference for Realized Volatility (with Taisuke Otsu).

Additive Nonparametric Censored Quantile Regression (with Dawit Zerom).