Skip to Content

Daniels School Faculty

Yong Bao

Yong Bao

Professor of Economics
Director of Graduate Studies in Economics

Education

Ph.D., Economics, Univ. of California, Riverside
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 thirty articles in the fields of econometrics and empirical finance. 

Journal Articles

  • 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. (2022). Indirect Inference Estimation of Dynamic Panel Data Models. Journal of Econometrics, | 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. & Hua, Y. (2014). On the Fisher Information Matrix of a Vector ARMA Process. Economics Letters, vol. 123 (1), 14-16. | 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., 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. & 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 |
  • Bao, Y (2013). Finite Sample Bias of the QMLE in Spatial Autoregressive Models. Econometric Theory, vol. 29 (1), 68-88. | Related Website |
  • Bao, Y (2013). On Sample Skewness and Kurtosis. Econometric Reviews, vol. 32 (4), 415-448. | 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., 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. & 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., 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. & 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. (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. & 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. & 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., 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). 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. (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. (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. & Lee, T. (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. & 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., 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. (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 |

Forthcoming Publications

  • Bao, Y. Indirect Inference Estimation of Higher-order Spatial Autoregressive Models. Econometric Reviews, | Related Website |

Book Chapters

  • Bao, Y., X. Liu and A. Ullah (2021). On the Exact Statistical Distribution of Econometric Estimators and Test Statistics. Advances in Statistics - Theory and Applications, 119-131. | Related Website | Download |
  • 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