Journal Articles

• Bao, Y. (2024). "Estimating Linear Dynamic Panels with Recentered Moments." Econometrics vol. 12 (1), | 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 |