Department of Economics and Finance | Staff List

Prof. HAN Xu (韓旭教授)

PhD - Economics (North Carolina State University)

Associate Professor

Contact Information

E-mail:
Address:	9-252, Lau Ming Wai Academic Building City University of Hong Kong
Phone:	+852 34426130
xuhan25@cityu.edu.hk
Personal Web:
https://xhan20.wixsite.com/mysite
Public CV:	Download

Research Areas

Econometrics
Applied macroeconomics

Selected Publications

Journal Publications and Reviews
Duan, Jiangtao; Bai, Jushan; Han, Xu / Quasi-maximum likelihood estimation of break point in high-dimensional factor models. March 2023; In: Journal of Econometrics. Vol. 233, No. 1, pp. 209-236 CHENG, Xu; HAN, Xu; INOUE, Atsushi / Instrumental Variable Estimation of Structural Var Models Robust to Possible Nonstationarity. October 2022; In: Econometric Theory. Vol. 38, No. 5, pp. 845-874 Han, Xu / Shrinkage Estimation of Factor Models With Global and Group-Specific Factors. January 2021; In: Journal of Business and Economic Statistics. Vol. 39, No. 1, pp. 1-17 Caner, Mehmet; Han, Xu / An upper bound for functions of estimators in high dimensions. 2021; In: Econometric Reviews. Vol. 40, No. 1, pp. 1-13 Bai, Jushan; Han, Xu; Shi, Yutang / Estimation and inference of change points in high-dimensional factor models. November 2020; In: Journal of Econometrics. Vol. 219, No. 1, pp. 66-100 Han, Xu / Estimation and inference of dynamic structural factor models with over-identifying restrictions. February 2018; In: Journal of Econometrics. Vol. 202, No. 2, pp. 125-147 CANER, Mehmet; HAN, Xu; LEE, Yoonseok / Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection. January 2018; In: Journal of Business and Economic Statistics. Vol. 36, No. 1, pp. 24-46 Han, Xu; Caner, Mehmet / Determining the number of factors with potentially strong within-block correlations in error terms. October 2017; In: Econometric Reviews. Vol. 36, No. 6-9, pp. 946-969 Bai, Jushan; Han, Xu / Structural Changes in High Dimensional Factor Models. March 2016; In: Frontiers of Economics in China. Vol. 11, No. 1, pp. 9-39 Han, Xu; Inoue, Atsushi / Tests for parameter instability in dynamic factor models. October 2015; In: Econometric Theory. Vol. 31, No. 5, pp. 1117-1152 Han, Xu / Tests for overidentifying restrictions in Factor-Augmented VAR models. February 2015; In: Journal of Econometrics. Vol. 184, No. 2, pp. 394-419 Caner, Mehmet; Han, Xu / Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators. July 2014; In: Journal of Business & Economic Statistics . Vol. 32, No. 3, pp. 359-374 Dong, Zhiyong; Gu, Qingyang; Han, Xu / Ambiguity aversion and rational herd behaviour. February 2010; In: Applied Financial Economics. Vol. 20, No. 4, pp. 331-343

Journal Publications and Reviews

Duan, Jiangtao; Bai, Jushan; Han, Xu / Quasi-maximum likelihood estimation of break point in high-dimensional factor models. March 2023; In: Journal of Econometrics. Vol. 233, No. 1, pp. 209-236
CHENG, Xu; HAN, Xu; INOUE, Atsushi / Instrumental Variable Estimation of Structural Var Models Robust to Possible Nonstationarity. October 2022; In: Econometric Theory. Vol. 38, No. 5, pp. 845-874
Han, Xu / Shrinkage Estimation of Factor Models With Global and Group-Specific Factors. January 2021; In: Journal of Business and Economic Statistics. Vol. 39, No. 1, pp. 1-17
Caner, Mehmet; Han, Xu / An upper bound for functions of estimators in high dimensions. 2021; In: Econometric Reviews. Vol. 40, No. 1, pp. 1-13
Bai, Jushan; Han, Xu; Shi, Yutang / Estimation and inference of change points in high-dimensional factor models. November 2020; In: Journal of Econometrics. Vol. 219, No. 1, pp. 66-100
Han, Xu / Estimation and inference of dynamic structural factor models with over-identifying restrictions. February 2018; In: Journal of Econometrics. Vol. 202, No. 2, pp. 125-147
CANER, Mehmet; HAN, Xu; LEE, Yoonseok / Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection. January 2018; In: Journal of Business and Economic Statistics. Vol. 36, No. 1, pp. 24-46
Han, Xu; Caner, Mehmet / Determining the number of factors with potentially strong within-block correlations in error terms. October 2017; In: Econometric Reviews. Vol. 36, No. 6-9, pp. 946-969
Bai, Jushan; Han, Xu / Structural Changes in High Dimensional Factor Models. March 2016; In: Frontiers of Economics in China. Vol. 11, No. 1, pp. 9-39
Han, Xu; Inoue, Atsushi / Tests for parameter instability in dynamic factor models. October 2015; In: Econometric Theory. Vol. 31, No. 5, pp. 1117-1152
Han, Xu / Tests for overidentifying restrictions in Factor-Augmented VAR models. February 2015; In: Journal of Econometrics. Vol. 184, No. 2, pp. 394-419
Caner, Mehmet; Han, Xu / Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators. July 2014; In: Journal of Business & Economic Statistics . Vol. 32, No. 3, pp. 359-374
Dong, Zhiyong; Gu, Qingyang; Han, Xu / Ambiguity aversion and rational herd behaviour. February 2010; In: Applied Financial Economics. Vol. 20, No. 4, pp. 331-343

Conference Papers
Bai, Jushan; Duan, Jiangtao; Han, Xu / Likelihood Ratio Test for Structural Changes in Factor Models. September 2022; 2022 NBER-NSF Time Series Conference, 23/09/2022 - 24/09/2022, Boston, United States.