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Su,Liangjun

C.V. Starr Chair Professor

Professor, Department of Economics

Curriculum Vitae


Phone            (86) (10) 62789506
Email         sulj@sem.tsinghua.edu.cn
Office            227H Shunde Building
Office Hours   by appointment

 

Liangjun Su is Chair Professor of Economics in the School of Economics and Management, Tsinghua University. He earned his PhD in economics at the University of California, San Diego in 2004 and spent his first four years as assistant and associate professor in the Guanghua School of Management, Peking University before moving to the Singapore Management University (SMU) in 2008. He became a full professor of economics at SMU in July 2012 and one of the first named chair professors of economics at SMU in July 2016. He decided to move back to China and join Tsinghua University in 2020.

Professor Su’s main research interests include econometric theory, nonparametric econometrics, panel data models, factor models, big data analysis, and machine learning. He has published more than 70 papers on top international economics, statistics and informatics journals such as Econometrica, Econometric Theory, IEEE Transactions on Information Theory, Journal of Machine Learning Research, Journal of Applied Econometrics, Journal of Econometrics, Journal of the American Statistical Association, Journal of Business & Economic Statistics, and Quantitative Economics. His works have been cited in various textbooks including Li and Racine (2006, Nonparametric Econometrics, Princeton University Press), Hsiao (2014, Analysis of Panel Data, Cambridge University Press), Pesaran (2015, Time Series and Panel Data Econometrics, Oxford University Press),  Henderson and Parmeter (2015, Applied Nonparametric Econometrics, Cambridge University Press) and Racine (2019, An Introduction to the Advanced Theory and Practice of Nonparametric Econometrics).  He won the Multa Scripsit award from Econometric Theory and was elected as a fellow of Journal of Econometrics in 2014. He is a senior fellow of Rimini Centre for Economic Analysis (RCEA).

Currently, Professor Su is a co-editor for Econometric Theory and an associate editor for Journal of Econometrics, Journal of Business & Economic Statistics and Econometric Reviews. He also serves on the editorial board of Entropy and Journal of Systems Science and Complexity.


JOURNAL PUBLICATIONS (in English)

1.        Ma, S., L. Su, and Y. Zhang, 2020. Determining the Number of Communities in Stochastic Block Models. Journal of Machine Learning Research, conditionally accepted. ( paper)

2.        Jin, S., K. Miao and L. Su, 2020. On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation, Journal of Econometrics, forthcoming papersupplement).

3.        Miao, K, K. Li, and L. Su, 2020. “Panel Threshold Regressions with Interactive Fixed Effects,” Journal of Econometrics, forthcoming.

4.        Huang, W., S. Jin, P. C.B. Phillips, and L. Su, 2020. “Nonstationary Panels with Latent Group Structures and Cross-Section Dependence,” Journal of Econometrics, forthcoming.

5.        Lu, X., K. Miao, and L. Su, 2020. “Specification of Fixed Effects in Three-Dimensional Panels,” Econometric Reviews, forthcoming. (paper)

6.        Su, L. and X. Wang, 2020. “Testing for Structural Changes in Factor Models via a Nonparametric Regression,” Econometric Theory, forthcoming.

7.        Wang, W., and L. Su, 2020. “Identifying Latent Group Structures in Nonlinear Panels,” Journal of Econometrics, forthcoming.

8.        Huang, W., S. Jin, and L. Su, 2020. “Panel Cointegration with Latent Group Structures and an Application to the PPP Theory,” Econometric Theory 36, 410-456.

9.        Lu, X. and L. Su, 2020. “Determining Individual or Time Fixed Effects in Panel Data Models,” Journal of Econometrics 215, 60-83.

10.     Miao, K., L. Su, and W. Wang, 2020. “Panel Threshold Regression with Latent Group Structures,” Journal of Econometrics 214, 451-481.

11.     Su, L., W. Wang, and Y. Zhang, 2020. “Strong Consistency of Spectral Clustering for Stochastic Block Models,” IEEE Transactions on Information Theory 66, 324-338. 

12.     Ma, S., W. Lan, L. Su, and C-L Tsai, 2020. “Testing Alphas in Conditional Time-Varying Factor Models with High Dimensional Assets,” Journal of Business & Economic Statistics 38, 214-227.

13.     Su, L., T. Ura, and Y. Zhang, 2019. “Non-separable Models with High-dimensional Data,” Journal of Econometrics 212, 646-677.

14.     Feng, G., B. Peng, L. Su, and T.T. Yang, 2019. “Semiparametric Single-Index Panel Data Models with Interactive Fixed Effects: Theory and Practice,” Journal of Econometrics 212, 607-622.

15.     Su, L., X. Wang, and S. Jin, 2019. “Sieve Estimation of Time-Varying Panel Data Models with Latent Structures,” Journal of Business & Economic Statistics 37, 334-349.

16.     Su, L. and P. Xu, 2019. “Common Threshold in Quantile Regressions with an Application to Pricing for Reputation,” Econometric Reviews 38, 417-450. 

17.     Fan, Y., M. He, L. Su, and A. Zhou, 2019. “Smoothed Q-learning Estimators in Dynamic Regimes,” Scandinavian Journal of Statistics 46, 446-469.

18.     Wang, W., P. C.B. Phillips, and L. Su, 2019. “The Heterogeneous Effects of the Minimum Wage on Employment Across States,” Economics Letters 174, 179-185.

19.     Wang, W., P. C.B. Phillips, and L. Su, 2018. “Homogeneity Pursuit in Panel Data Models: Theory and Applications,” Journal of Applied Econometrics 33, 797-815.

20.     Ma, S., and L. Su, 2018. “Estimation of Large Dimensional Factor Models with an Unknown Number of Breaks,” Journal of Econometrics 207, 1-29.

21.     Su, L. and G. Ju, 2018. “Identifying Latent Grouped Patterns in Panel Data Models with Interactive Fixed Effects,” Journal of Econometrics 206, 554-573.

22.     Su, L. and Z. Yang, 2018. Asymptotics and Bootstrap for Random-Effects Panel Data Transformation Models,” Econometric Reviews 37, 602-625.

23.     Lu, X., and L. Su, 2017. “Determining the Number of Groups in Latent Panel Structures with an Application to Income and Democracy,” Quantitative Economics 8, 729-760.

24.     Su, L., and X. Qu, 2017. “Specification Test for Spatial Autoregressive Models,” Journal of Business & Economic Statistics 35, 572-584.

25.     Su, L. and X. Zheng, 2017. “A Martingale-Difference-Divergence-Based Test for Specification,” Economics Letters 156, 162-167.

26.     Su, L., and X. Wang, 2017. “On Time-varying Factor Models: Estimation and Testing,” Journal of Econometrics 198, 84-101. ( Corrigendum)

27.     Lu, X., L. Su, and H. White, 2017. “Granger Causality and Structural Causality in Cross-Section and Panel Data,” Econometric Theory 33, 263-291.

28.     Li, D., J. Qian, and L. Su, 2016. “Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks,” Journal of the American Statistical Association 111, 1804-1819.

29.     Su, L., Y. Zhang, and J. Wei, 2016, “A Practical Test for Strict Exogeneity in Linear Panel Data Models with Fixed Effects,” Economics Letters 147, 27-31.

30.     Su, L., Z. Shi, and P. C. B. Phillips, 2016. “Identifying Latent Structures in Panel Data,” Econometrica 84, 2215-2264.

31.     Qian, J. and L. Su, 2016. “Shrinkage Estimation of Regression Models with Multiple Structural Changes,” Econometric Theory 32, 1376-1433.

32.     Hoderlein, S., L. Su, H. White, and T. Yang, 2016. “Testing for Monotonicity in Unobservables under Unconfoundednesss,” Journal of Econometrics 193, 183-202.

33.     Su, L. and T. Hoshino, 2016. “Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models,” Journal of Econometrics 191, 231-254.

34.     Su, L., and Y. Zhang, 2016. “Semiparametric Estimation of Partially Linear Dynamic Panel Data Models with Fixed Effects,” Advances in Econometrics 36, 137-204.

35.     Qian, J., and L. Su, 2016. “Shrinkage Estimation of Common Breaks in Panel Data Models via Adaptive Group Fused Lasso,” Journal of Econometrics 191, 86–109.

36.     Lu, X. and L. Su, 2016. “Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects,” Journal of Econometrics 190, 148-175.

37.     Jin, S., L. Su, and Z. Xiao, 2015. “Adaptive Nonparametric Regression with Conditional Heteroskedasticity,” Econometric Theory 31, 1153-1191.

38.     Lu, X. and L. Su, 2015. “Jackknife Model Averaging for Quantile Regressions,” Journal of Econometrics 188, 40-58.

39.     Li, Y., L. Su, and Y. Xu, 2015. “A Combined Approach to the Inference of Conditional Factor Models,” Journal of Business & Economic Statistics 33, 203-220.

40.     Su, L., S. Jin, and Y. Zhang, 2015. “Specification Test for Panel Data Models with Interactive Fixed Effects,” Journal of Econometrics 186, 222-244.

41.     Jin, S., L. Su, and Y. Zhang, 2015.  “Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models,” Empirical Economics 48, 9-36.

42.     Su, L., Y. Tu, and A. Ullah, 2015. “Testing Additive Separability of Error Term in Nonparametric Structural Models,” Econometric Reviews 34, 1056-1087.

43.     Su, L. and Z. Yang, 2015. “QML Estimation of Dynamic Panel Data Models with Spatial Errors,” Journal of Econometrics 185, 230-258.

44.     Lewbel, A., X. Lu, and L. Su, 2015. “Specification Testing for Transformation Models with Applications to Generalized Accelerated Failure-time Models,” Journal of Econometrics 184, 81-96.

45.     Qian, J. and L. Su, 2014. “Structural Change Estimation in Time Series Regressions with Endogenous Variables,” Economics Letters 125, 415-421.

46.     Ozabaci, D., Henderson, D., and L. Su, 2014. “Additive Nonparametric Regression in the Presence of Endogeneity,” Journal of Business & Economic Statistics 32, 555-575.

47.     Su, L. and H. White, 2014. “Testing Conditional Independence via Empirical Likelihood,” Journal of Econometrics 182, 27-44.

48.     Jin, S., L. Su, and A. Ullah, 2014. “Robustify Financial Time Series Forecasting with Bagging,” Econometric Reviews 33, 575-605.

49.     Su, L. and Q. Chen, 2013.  “Testing Homogeneity in Panel Data Models with Interactive Fixed Effects,” Econometric Theory 29, 1079-1135.

50.     Su, L., A. Ullah, and Y. Wang, 2013. “Nonparametric Regression Estimation with General Parametric Error Covariance: A More Efficient Two-step Estimator,” Empirical Economics 45, 1009-1024.

51.     Su, L., and X. Lu, 2013.  “Nonparametric Dynamic Panel Data Models: Kernel Estimation and Specification Testing,” Journal of Econometrics 176, 112-133.

52.     Su, L. and M. Spindler, 2013. “Nonparametric Testing for Asymmetric Information,” Journal of Business & Economic Statistics 31(2), 208-225.

53.     Su, L., I. Murtazashvili and A. Ullah, 2013.  “Local Linear GMM Estimation of Functional Coefficient IV Models with Application to the Estimation of Rate of Return to Schooling,” Journal of Business & Economic Statistics 31(2), 184-207.

54.     Su, L. and A. Ullah, 2013. “A Nonparametric Goodness-of-fit-based Test for Conditional Heteroskedasticity,” Econometric Theory 29, 187-212.

55.     Jin, S. and L. Su, 2013. “Nonparametric Tests for Poolability in Panel Data Models with Cross Section Dependence,” Econometric Reviews 32, 469-512.  

56.     Su, L. and H. White, 2012. “Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression,” Advances in Econometrics 29, 355-434.

57.     Su, L. and S. Jin, 2012. “Sieve Estimation of Panel Data Models with Cross Section Dependence,” Journal of Econometrics 169, 34-47.

58.     Zhang, Y., L. Su and P. C. B. Phillips, 2012. “Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects,” The Econometrics Journal 15, 56-100.

59.     Su, L., 2012. “Semiparametric GMM Estimation of Spatial Autoregressive Models,” Journal of Econometrics 167, 543-560.

60.     P. C. B. Phillips and L. Su, 2011. “Nonparametric Regression under Location Shifts,” The Econometrics Journal 14, 457-486.

61.     Long, X., L. Su, and A. Ullah, 2011. “Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model,” Journal of Business & Economic Statistics 29, 109-125.

62.     Su, L. and H. White, 2010. “Testing Structural Change in Partially Linear Models,” Econometric Theory 26, 1761-1806.

63.     Su, L. and S. Jin, 2010. “Profile Quasi-maximum Likelihood Estimation of Spatial Autoregressive Models,” Journal of Econometrics 157, 18-33.

64.     Mishra, S., L. Su, and A. Ullah, 2010. “Semiparametric Estimator of Time Series Conditional Variance,” Journal of Business & Economic Statistics 28, 256-274.

65.     Su, L., Y. Chen, and A. Ullah, 2009. “Functional Coefficient Estimation with Both Categorical and Continuous Data,” Advances in Econometrics 25, 131-167.

66.     Su, L. and A. Ullah, 2009. “Testing Conditional Uncorrelatedness,” Journal of Business & Economic Statistics 27, 18-29.

67.     Su, L. and Z. Xiao, 2008. “Testing Structural Change in Time-Series Nonparametric Regression Models,” Statistics and Its Interface 1, 347-366.

68.     Su, L. and Z. Xiao, 2008. Testing for Parameter Stability in Quantile Regression Models,” Statistics & Probability Letters 78, 2768-2775.

69.     Su, L. and A. Ullah, 2008. “Nonparametric Prewhitening Estimators for Conditional Quantiles,” Statistica Sinica 181131-1152.

70.     Su, L. and A. Ullah, 2008. “Local Polynomial Estimation of Nonparametric Simultaneous Equations Models,” Journal of Econometrics 144, 193-218.

71.     Su, L., and H. White, 2008. “Nonparametric Hellinger Metric Test for Conditional Independence,” Econometric Theory 24, 829-864.

72.     Su, L. and A. Ullah, 2007. “More Efficient Estimation of Nonparametric Panel Data Models with Random Effects,” Economics Letters 96, 375-380.

73.     Su, L. and H. White, 2007. “A Consistent Characteristic Function-Based Test for Conditional Independence,” Journal of Econometrics 141, 807-834.

74.     Jin, S. and Su, L., 2007. “Forecasting the Car Penetration Rate (CPR) in China: a Nonparametric Approach,” Applied Economics 39, 2189-2195.

75.     Su, L., 2007. “Business Output and Business Experience -- Evidence from China's Non-governmental Businesses,” Applied Economics Letters 14, 227-231.

76.     Su, L., 2006. “A Simple Test for Multivariate Conditional Symmetry,” Economics Letters 93, 374-378.

77.     Su, L. and A. Ullah, 2006. “Profile Likelihood Estimation of Partially Linear Panel Data Models with Fixed Effects,” Economics Letters 92, 75-81.

78.     Hu, J., L. Su, S. Jin, and W. Jiang, 2006. “The Rise in House Prices in China: Bubbles or Fundamentals?” Economics Bulletin 3(7), 1-8.

79.     Su, L. and A. Ullah, 2006. “More Efficient Estimation in Nonparametric Regression with Nonparametric Autocorrelated Errors,” Econometric Theory 22, 98-126.

80.     Su, L. and S. Jin, 2005. “A Bootstrap Test for Conditional Symmetry,” Annals of Economics and Finance 6, 251-261.


SURVEY ARTICLES OR BOOK CHAPTERS  (In English)

1.   Bao, Y., Y. Fan, L. Su, and V. Zinde-Walsh, 2016. A Selective Review of Aman Ullah’s Contributions to Econometrics. In G. González-Rivera, R. C. Hill, and T.-H. Lee (eds), Advances in Econometrics 36, pp. 3-43. 

2.    Su, L., Y. Zhang, 2014. Variable Selection in Nonparametric and Semiparametric Regression Models. In J. Racine, L. Su, A. Ullah (eds), The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics, pp. 249-307.  New York: Oxford University Press.

3.    Su, L., A. Ullah, S. Mishra and Y. Wang, 2012. Nonparametric and Semiparametric Volatility Models: Specification, Estimation, and Testing, in L. Bauwens, C. Hafner, and S. Laurent (eds), Volatility Models and Their Applications, pp. 269-291. John Wiley & Sons, New York.   

4.    Su, L. and A. Ullah, 2011.  Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing, in A. Ullah and D. E. A. Giles (eds), Handbook of Empirical Economics and Finance, pp. 455-497. Taylor & Francis Group, New York. ()

 

OTHER JOURNAL PUBLICATIONS (In Chinese)

1.         Qu, X., and L. Su.  Estimating Spatial Econometric Models of Complex FDI, Journal of Quantitative and Technical Economics, 2009(2).

2.         He, Y., and L. Su. Older is wiser? --Evidence from a Semiparametric Study of Competitive Power and Experience in China’s Non-governmental Enterprises, South China Journal of Economics, 2008(5).

3.         Jiang, W., S. Jin, L. Su, and J. Hu. Bottle-necks to Build an Innovative Country: from the Risk Management Perspective, Management World, 2008(3).

4.         Su, L. and Y. Wang. A Comparison Study on the Spatial Dependence of Economic Growth in Yangtze River Delta and Pearl River Delta, Journal of Quantitative and Technical Economics, 2007 (12).

5.         Su, L. and B. Sun. Analysis of Factors that Influence the Tuition for Higher Education and its Spatial Dependence, Mathematical Statistics and Management, 2006 (4).

6.         Hu, J., L. Su, S. Jin, and W. Jiang. Early-Warning Modeling Analysis for the Real Estate in Beijing, Statistical Research, 2006(5).

7.         Su, L. and Y. He. Does Kuznets Puzzle Exist in China? Evidence from a Panel Study in China. Economics Science, 2006(2).

8.         Su, L., Y. He and S. Jin. A Panel Cointegration Study of the Relationship between Income and Consumption in China, World Economy, 2006(5).

9.         Hu, J., L. Su, S. Jin, and W. Jiang. The Rise in House Prices in China: Bubbles or Fundamentals? Statistical Research, 2006(1).

10.      Jin, S. and L. Su. Forecasting the CPR in China, Statistics and Decision, 2006(2).

11.      Jin, S. and L. Su. The Newest Development of Econometrics and Its Applications in China, Journal of Quantitative and Technical Economics, 2005(9).

12.      Su, L., Y. He and S. Jin. Does Temporary Income Really Affect Consumption?Evidence from a Rural Panel Study in China, Management World, 2005(7).

13.      Su, L., and Y. Huang.  Study on the Causes of Disparity between the Economic Development Level of Southern and Northern Jiangsu, Mathematical Statistics and Management, 1999 (1), 19-24.

14.      Li, Q. and L. Su. Analysis on the Social Impacts of the Merger & Acquisition of State-owned Enterprises by Foreign Capital, Management Theory & Practice, 1997(2), pp. 1-4. 

15.         Huang, Y., F. Zhang, and L. Su. Anti-inflation during the Reform in China, Management Theory & Practice, 1996(1), pp. 1-7.


PAPERS UNDER REVIEW OR REVISION (in English) 

1.        Huang, W., L. Su, and Y. Zhuang, 2020. Beat the Midpoint: Heterogeneity in Bid-Ask Long-Run Equilibrium, submitted.

2.        Ma, S., L. Su, and Y. Zhang, 2020. Detecting Latent Communities in Network Formation Models, submitted. (paper)

3.        Peng, B., L. Su, J. Westerlund, and Y. Yang, 2020. Interactive Effects Panel Data Models with General Factors and Regressors, submitted. ( Paper)

4.        Miao, K, P.C.B. Phillips, and L. Su, 2020. High-Dimensional VARs with Common Factors, submitted. (paper)

5.        Hong, S., L. Su, and Y. Wang, 2020. Inference in Partially Identified Panel Data Models with Interactive Fixed Effects.

6.        Su, L. and Y. Zhang, 2017.  “Nonparametric Dynamic Panel Data Models with Interactive Fixed Effects: Sieve Estimation and Specification Testing.”

8.        Su, L., Hoderlein, S., and H. White, 2015. “Testing Monotonicity in Unobservables with Panel Data.”

9.        Su, L. and Z. Yang, Instrumental Variable Quantile Regression for Spatial Autoregressive Models, 2013. 

10.     Su, L. and Y. Zhang, Testing Cross-Sectional Independence in Nonparametric Panel Data Models, 2011.

11.     Su, L. and Z. Xiao, Testing Structural Changes in Conditional Distributions via Quantile Regressions, 2010.

 

WORK IN PROGRESS

1.        Shi, Z., L. Su and T. Xie, 2020. High Dimensional Forecast Combinations with ℓ₂-Relaxation.

2.        Su, L., W. Wang, X. Xu, 2020. Identifying Dynamic Spatial Panels with Latent Group Structures.

3.        Li, Y., L. Su and X. Wang, 2020. On Time-Varying Panels with Time-Varying Interactive Fixed Effects.

4.        Qian, J. and L. Su, 2020. Detecting Stable Periods in Time Series Regressions.

5.        Hong, S., and L. Su, 2020. GMM Estimation of Panel Data Models with Interactive Fixed Effects.

6.        Ando, T., S. Ma, and L. Su, 2020. Time-varying Nonlinear Panel Data Models with Cross Sectional Dependence and Latent Group Structures.

7.        Chen, Q., L. Su, 2019. Robust Inference in Approximate Factor Models.

8.        Lu, X. and L. Su, 2019. Uniform Inference in Linear Panel Data Models with Two-dimensional Heterogeneity.

9.        Li, H., J. Qian, and L. Su, 2019. Detecting Structural and Membership Changes in Panel Data Models with Latent Group Structures.

10.     Lu, X., and L. Su, 2019. Estimation and Inference for Three-Dimensional Factor Models.

11.     Lu, X., and L. Su, 2019. Three-Dimensional Models with Multi-level Interactive Fixed Effects.

12.     Su, L., Y. Wang, and Y. Zhang, 2018. On Time-Varying Predictive Regression: Robust Estimation and Testing.

13.     Su, L. and X. Wang, 2018. Semiparametric Estimation of Generalized Transformation Panel Data Models with Interactive Fixed Effects.

14.     Fan, Y., M. He, L. Su, and A. Zhou, 2018. Inference for the Optimal Value in Dynamic Treatment Regimes.

15.     Wang, X., J. Qian, and L. Su, 2018. High Dimensional Variable Selection in Dynamic Panel Models via GMM Shrinkage Estimation.

16.     Henderson, D., C. Parmeter, and L. Su, 2018. Nonparametric Threshold Regression: Estimation and Inference.