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 |