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Miscellaneous

Xuewen Yu (俞学文)

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Assistant Professor
Department of Applied Economics, School of Management
Fudan University
Room 315, Siyuan Building, 670 Guoshun Road,
Shanghai, China, 200433
E-mail: xuewenyu@fudan.edu.cn

About me

I obtained a Ph.D. in Economics from Mitchell E. Daniels, Jr. School of Business at Purdue University in August 2022, an M.S. in Statistics and a B.S. in Finance from University of Science and Technology of China in June 2016 and June 2014, respectively. My academic field is Econometrics. I am also interested in Finance and Macroeconomics, where flexible and powerful time series/panel data tools can be applied to answer empirical research questions. I have been awarded the Denis Sargan Econometrics Prize in 2021 by the Royal Economic Society [link].

Research

My research topics include:

  • Nonstationary Time Series: Structural Breaks, Unit Roots, Robust Inference, etc.

  • Large Vector Autoregressions (VARs).

  • Dynamic Panel Data Models​.

  • Model Averaging.

Publications

  1. "Large Order-Invariant Bayesian VARs with Stochastic Volatility", ​with Joshua Chan and Gary Koop, 2024, Journal of Business and Economic Statistics, Volume 42, Issue 2, 825–837. [pdf]

  2. "Multistep Forecast Averaging with Stochastic and Deterministic Trends", ​with Mohitosh Kejriwal and Linh Nguyen, 2023, Econometrics, Volume 11, Issue 4, 1-43. [link]

  3. "Indirect Inference Estimation of Dynamic Panel Data Models", ​with Yong Bao, 2023, Journal of Econometrics, Volume 235, Issue 2, 1027-1053. [pdf]

  4. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility", ​with Joshua Chan, 2022, Journal of Economic Dynamics and Control, Vol 143, 104505. [pdf][code]

  5. "A Two-Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models", ​with Mohitosh Kejriwal and Pierre Perron, 2022, Journal of Time Series Analysis, 43, 219–237. [pdf][code]

  6. "Generalized Forecast Averaging in Autoregressions with a Near Unit Root", ​with Mohitosh Kejriwal, 2021, Econometrics Journal, 24, 83-102. [pdf][code]

  7. "Bootstrap Procedures for Detecting Multiple Persistence Shifts in a Heteroskedastic Time Series", ​with Mohitosh Kejriwal and Pierre Perron, 2020, Journal of Time Series Analysis, 41, 676-690. [pdf][code]

Working Papers

  1. "Inference in Mildly Explosive Autoregressions under Unconditional Heteroskedasticity", ​with Mohitosh Kejriwal, 2021, Econometric Theory, Conditionally Accepted. [pdf]

  2. "Large Structural VARs with Multiple Sign and Ranking Restrictions", ​with Joshua Chan and Christian Matthes, 2023, Quantitative Economics, R&R. [pdf]

  3. "VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis", ​with Joshua Chan and Eric Eisenstat, 2023. [pdf]

Work in Progress

  1. "Testing for Multiple Bubbles in Time Series under Nonstationary Volatility", ​with Mohitosh Kejriwal and Pierre Perron.

  2. "Complete Subset Averaging Methods for Program Evaluation by Panel Data Approach", ​with Xinyu Zhang.

  3. "A Test of Test Horizon in Convergence Studies", ​with Yong Bao and Xiaotian Liu.

Teaching

Fudan University, School of Management

  • Econometrics II (Ph.D.)

  • Applied Econometrics (Ph.D.)

  • Principles of Economics (undergraduate)

Purdue University, Daniels School of Business

  • Econometrics (Summer 2018, evaluation 4.5/5.0)

  • TA for: Principles of Economics (undergraduate, recitation instructor), International Economics (undergraduate), Microeconomics (M.B.A.), Macroeconomic Policy (M.B.A.), Financial Econometrics (master), Probability and Statistics (Ph.D.), Econometrics II (Ph.D.), Time Series Econometrics (Ph.D.), Advanced Panel Data Econometrics (Ph.D.).