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Daniels School Faculty

Yong Bao

Yong Bao

Professor of Economics

Education

Ph.D., Economics, Univ. of California, Riverside, 2004
M.A., Economics, Univ. of California, Riverside, 2002
B.A., Economics, University of International Business and Economics, 1998

CV

Professor Bao's research and teaching interests are in econometrics, including finite-sample theory, time series, and financial econometrics. He has published more than forty articles in peer-reviewed academic journals. 

Journal Articles

  • Bao, Y. & Zhou, X. (2025). "Selection of Spillover Channels in Spatial Dynamic Panel Models Using Heterogeneous Shrinkage on Spatial Parameters." Spatial Economic Analysis vol. 20 (1), 72-106. | Related Website |
  • Bao, Y., Bond, T., Sun, R., & Xiong, X. (2025). "Voluntary Retirement Savings in China: A Spatial Ordered Probit Approach." Regional Science and Urban Economics vol. 111 104090. | Related Website |
  • Bao, Y., Li, G., & Liu, X. (2024). "A Spatial Sample Selection Model." Oxford Bulletin of Economics and Statistics vol. 86 (4), 928-950. | Related Website |
  • Bao, Y. (2024). "Estimating Linear Dynamic Panels with Recentered Moments." Econometrics vol. 12 (1), | Related Website |
  • Bao, Y. (2024). "Estimating Spatial Autoregressions under Heteroskedasticity without Searching for Instruments." Regional Science and Urban Economics vol. 106 104011. | Related Website |
  • Bao, Y. & Zhou, X. (2023). "Heterogeneous Spatial Dynamic Panel Models with an Application to US Housing Data." Spatial Economic Analysis vol. 18 (2), 259-285. | Related Website |
  • Bao, Y. & Yu, X. (2023). "Indirect Inference Estimation of Dynamic Panel Data Models." Journal of Econometrics vol. 235 (2), 1027-1053. | Related Website |
  • Bao, Y. (2023). "Indirect Inference Estimation of Higher-order Spatial Autoregressive Models." Econometric Reviews vol. 42 (3), 247-280. | Related Website |
  • Bao, Y. & Liu, X. (2021). "Estimating a Spatial Autoregressive Model with Autoregressive Disturbances Based on the Indirect Inference Principle." Spatial Economic Analysis vol. 16 (4), 506-529. | Related Website |
  • Bao, Y. (2021). "Indirect Inference Estimation of A First-Order Dynamic Panel Data Model." Journal of Quantitative Economics vol. 19 (S), 79-98. | Related Website |
  • Bao, Y., Liu, X., & Yang, L. (2020). "Indirect Inference Estimation of Spatial Autoregressions." Econometrics vol. 8 (3), | Related Website |
  • Bao, Y. (2018). "A General Result on the Estimation Bias of ARMA Models." Journal of Statistical Planning and Inference vol. 197 107-125. | Related Website |
  • Bao, Y. (2018). "The Asymptotic Covariance Matrix of the QMLE in ARMA Models." Econometric Reviews vol. 37 (4), 309-324. | Related Website |
  • Bao, Y., Ullah, A., & Wang, Y. (2017). "Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process." Econometric Reviews vol. 36 (6-9), 1039-1056. | Related Website |
  • Lo, M. & Bao, Y. (2016). "Are Overall Journal Rankings a Good Mapping for Article Quality in Specialty Fields?" Journal of Business & Economic Statistics vol. 34 (1), 62-67. | Related Website |
  • Bao, Y. (2016). "Finite-Sample Bias of the Conditional Gaussian Maximum Likelihood Estimator in ARMA Models." Advances in Econometrics vol. 36 207-244. | Related Website |
  • Bao, Y., Ullah, A., Wang, Y., & Yu, J. (2015). "Bias in the Estimation of Mean Reversion in Continuous-Time Levy Processes." Economics Letters vol. 134 16-19. | Related Website |
  • Bao, Y. (2015). "Should We Demean the Data?" Annals of Economics and Finance vol. 16 (1), 163-171. | Related Website |
  • Bao, Y., Florax, R., & Le Gallo, J. (2014). "Contributions to Spatial Econometrics." International Regional Science Review vol. 37(3) 247-250. | Related Website |
  • Bao, Y. & Zhang, R. (2014). "Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model." Journal of Time Series Econometrics vol. 6 (1), 63-80. | Related Website |
  • Bao, Y., Ullah, A., Zhang, R. (2014). "Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors." Advances in Econometrics vol. 33 65-92. | Related Website |
  • Bao, Y. & Hua, Y. (2014). "On the Fisher Information Matrix of a Vector ARMA Process." Economics Letters vol. 123 (1), 14-16. | Related Website |
  • Bao, Y (2013). "Finite Sample Bias of the QMLE in Spatial Autoregressive Models." Econometric Theory vol. 29 (1), 68-88. | Related Website |
  • Bao, Y., Ullah, A., & Zinde-Walsh, V. (2013). "On Existence of Moment of Mean Reversion Estimator in Linear Diffusion Models." Economics Letters vol. 120 (2), 146-148. | Related Website |
  • Bao, Y (2013). "On Sample Skewness and Kurtosis." Econometric Reviews vol. 32 (4), 415-448. | Related Website |
  • Bao, Y. & Kan, R. (2013). "On the Moments of Ratio of Quadratic Forms in Normal Random Variables." Journal of Multivariate Analysis vol. 117 229-245. | Related Website |
  • James, T., Bao, Y., Dixon, P., & Merrifield, J. (2011). "School Choice and Academic Performance: Some Evidence from Developing Countries." Journal of School Choice vol. 5 (1), 1-39. | Related Website |
  • Bao, Y. & Ullah, A. (2010). "Expectation of Quadratic Forms in Normal and Nonnormal Variables with Applications." Journal of Statistical Planning and Inference vol. 140 (5), 1193-1205. | Related Website |
  • Bao, Y., Lo, M., & Mixon, F. (2010). "General-Interest versus Specialty Journals: Using Intellectual Influence of Econometrics Research to Rank Economics Journals and Articles." Journal of Applied Econometrics vol. 25 (2), 345-353. | Related Website |
  • Bao, Y., Fullerton, T, & Lien, D. (2009). "Borderplex Menu Evidence for the Law of One Price: A Convergence Approach." Applied Economics Letters vol. 16 (17), 1717-1720. | Related Website |
  • Bao, Y. (2009). "Estimation Risk Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution." Journal of Financial Econometrics vol. 7 (2), 152-173. | Related Website |
  • Bao, Y. (2009). "Finite Sample Moments of the Coefficient of Variation." Econometric Theory vol. 25 (1), 291-297. | Related Website |
  • Bao, Y. & Ullah, A. (2009). "Higher-Order Bias and MSE of Nonlinear Estimators." Pakistan Journal of Statistics vol. 25 (4), 587-594. | Related Website |
  • Bao, Y. & Ullah, A. (2009). "On Skewness and Kurtosis of Econometric Estimators." The Econometrics Journal vol. 12 (2), 232-247. | Related Website |
  • Bao, Y. & Dhongde, S. (2009). "Testing Convergence in Income Distribution." Oxford Bulletin of Economics and Statistics vol. 71 (2), 295-302. | Related Website |
  • Bao, Y., Firoozi, F., & Lo, M. (2008). "A Monte Carlo Power Comparison of the Classical and One-Sided Procedures for Testing Linear Inequalities." Journal of Quantitative Economics vol. 6 (1), 233-239. | Related Website |
  • Bao, Y., Lee, T.-H., & Saltoglu, B. (2007). "Comparing Density Forecast Models." Journal of Forecasting vol. 26 (3), 203-225. | Related Website |
  • Bao, Y. & Ullah, A. (2007). "Finite Sample Moments of Maximum Likelihood Estimator in Spatial Models." Journal of Econometrics vol. 137 (2), 396-413. | Related Website |
  • Bao, Y. (2007). "Finite Sample Properties of Forecasts from the Stationary First-Order Autoregressive Model under a General Error Distribution." Econometric Theory vol. 23 (4), 767-773. | Related Website |
  • Bao, Y. (2007). "The Approximate Moments of the Least Squares Estimator for the Stationary Autoregressive Model Under a General Error Distribution." Econometric Theory vol. 23 (5), 1013-1021. | Related Website |
  • Bao, Y. & Ullah, A. (2007). "The Second-Order Bias and Mean Squared Error of Estimators in Time Series Models." Journal of Econometrics vol. 140 (2), 650-669. | Related Website |
  • Bao, Y. & Lee, T.-H. (2006). "Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison." Advances in Econometrics vol. 20(B) 41-62. | Related Website |
  • Bao, Y., Lee, T.-H., & Saltoglu, B. (2006). "Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check." Journal of Forecasting vol. 25 (2), 101-128. | Related Website |
  • Bao, Y. & Ullah, A. (2006). "Moments of the Estimated Sharpe Ratio when the Observations are not IID." Finance Research Letters vol. 3 (1), 49-56. | Related Website |
  • Bao, Y. & Ullah, A. (2004). "Bias of a Value-at-Risk Estimator." Finance Research Letters vol. 1 (4), 241-249. | Related Website |
  • Bao, Y. & Guo, J.-T. (2004). "Reexamination of Economic Growth, Tax Policy, and Distributive Politics." Review of Development Economics vol. 8 (3), 474-482. | Related Website |

Book Chapters

  • Bao, Y., Liu, X., & Ullah, A. (2021). "On the Exact Statistical Distribution of Econometric Estimators and Test Statistics." Advances in Statistics - Theory and Applications 119-131. | Related Website |
  • Bao, Y., Fan, Y., Su, L., & Zinde-Walsh, V. (2016). "A Selective Review of Aman Ullah’s Contributions to Econometrics." Advances in Econometrics 3-43. | Related Website |

Contact

ybao@purdue.edu
Phone: (765) 496-2313
Office: RAWL 4041

Quick links

Personal website

Area(s) of Expertise

Econometrics