Wendun Wang

Erasmus University Rotterdam (EUR) - Department of Econometrics

P.O. Box 1738

3000 DR Rotterdam

Netherlands

SCHOLARLY PAPERS

12

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17

CROSSREF CITATIONS

6

Scholarly Papers (12)

1.

Heterogeneous Structural Breaks in Panel Data Models

Number of pages: 53 Posted: 08 Sep 2017 Last Revised: 11 Oct 2019
Ryo Okui and Wendun Wang
Seoul National University and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 264 (141,463)
Citation 3

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panel data, grouped pattern, structural break, grouped fixed effects, fused Lasso

2.

Time-varying Group Unobserved Heterogeneity in Finance

Number of pages: 62 Posted: 08 Oct 2018 Last Revised: 23 Feb 2021
Elvira Sojli, Wing Wah Tham and Wendun Wang
UNSW Australia Business School, School of Banking and Finance, University of New South Wales (UNSW) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 225 (165,453)

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Time-varying unobserved heterogeneity; clustering; common shocks; group fixed effects; fixed effects; heterogeneity bias

The Forecast Combination Puzzle: A Simple Theoretical Explanation

Number of pages: 22 Posted: 05 Mar 2016
KU Leuven - Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics, University of Sydney and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 24 (613,567)
Citation 8

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forecast combination, optimal weights

4.

Deleting Unreported Innovation

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 62 Posted: 04 Mar 2021
ESSEC Business School, National University of Singapore, UNSW Australia Business School, School of Banking and Finance, University of New South Wales (UNSW) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 136 (256,283)
Citation 1

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Bias, Listwise Deletion, Innovation, Measuring Innovation, Multiple Imputation, Non-patenting Firms, Unreported R&D, Patents

5.

Optimal Model Averaging Estimation for Partially Linear Models

Number of pages: 32 Posted: 08 Apr 2017
Xinyu Zhang and Wendun Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 111 (297,139)
Citation 1

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Asymptotic optimality, Heteroscedasticity, Model averaging, Partially linear model

6.

Estimation of Panel Group Structure Models with Structural Breaks in Group Memberships and Coefficients

Number of pages: 61 Posted: 25 Jun 2020 Last Revised: 01 Feb 2021
Robin L. Lumsdaine, Ryo Okui and Wendun Wang
American University - Department of Finance and Real Estate, Seoul National University and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 110 (301,036)

Abstract:

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Panel data, grouped patterns, structural breaks, group membership change

7.

Testing for Stock Market Contagion: A Quantile Regression Approach

Tinbergen Institute Discussion Paper 15-040/III
Number of pages: 57 Posted: 27 Mar 2015
Sungyong Park, Wendun Wang and Naijing Huang
Chung-Ang University, Erasmus University Rotterdam (EUR) - Department of Econometrics and Boston College Department of Economics
Downloads 104 (310,835)
Citation 1

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Financial contagion, Quantile regression, One-sided score test

8.

Resource Abundance and Resource Dependence in China

CentER Discussion Paper Series No. 2010-109
Number of pages: 43 Posted: 14 Oct 2010
J.R. Magnus, Kan Ji and Wendun Wang
Vrije Universiteit Amsterdam, School of Business and Economics, affiliation not provided to SSRN and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 85 (353,332)
Citation 2

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Natural resource curse, Economic growth, China, Institutional quality, Resource abundance, Resource dependence, Regional differences, Policy change

9.

To Pool or Not to Pool: What Is a Good Strategy for Parameter Estimation and Forecasting in Panel Regressions?

Number of pages: 35 Posted: 24 Feb 2018 Last Revised: 25 Nov 2018
Wendun Wang, Xinyu Zhang and Richard Paap
Erasmus University Rotterdam (EUR) - Department of Econometrics, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 80 (366,385)
Citation 5

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Credit default swap spreads; Heterogeneous panel; Model screening; Panel data forecasting; Pooling averaging

10.

WALS Prediction

CentER Discussion Paper Series No. 2012-043
Number of pages: 38 Posted: 01 Jun 2012
J.R. Magnus, Wendun Wang and Xinyu Zhang
Vrije Universiteit Amsterdam, School of Business and Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 57 (438,212)

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Model averaging, Model uncertainty, Bayesian analysis, Prediction

Concept-Based Bayesian Model Averaging and Growth Empirics

CentER Discussion Paper Series No. 2012-017
Number of pages: 39 Posted: 17 Feb 2012
J.R. Magnus and Wendun Wang
Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 48 (481,101)
Citation 2

Abstract:

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Hierarchical model averaging, Growth determinants, Measurement

Concept‐Based Bayesian Model Averaging and Growth Empirics

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 6, pp. 874-897, 2014
Number of pages: 24 Posted: 28 Oct 2014
J.R. Magnus and Wendun Wang
Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 1 (806,699)
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12.

Multi-dimensional Latent Group Structures with Heterogeneous Distributions

Number of pages: 33 Posted: 08 Jul 2020 Last Revised: 20 May 2021
Xuan Leng, Heng Chen and Wendun Wang
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Government of Canada - Research Department and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 34 (536,910)

Abstract:

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Composite quantile estimation, distributional heterogeneity, latent groups, panel quantile regressions, two-way fixed effects