Yongmiao Hong


Time series and generalized spectral analysis; serial independence tests; diagnostic checking of time series models; wavelet analysis; heteroskedasticity and auto correlation consistent covariance matrix estimation; inference and forecast of exchange rates; nonparametric specification testing for continuous-time diffusion models; evaluation of out-of-sample probability density forecasts and value-at-risk forecasts; China's economic reforms.


This is a selection of Professor Hong's work. For a complete list please see his personal page or CV.

  • "Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models," with C. Kao, forthcoming in Econometrica.
  • "Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroskedasticity of Unknown Form," with Y. Lee, forthcoming in Review of Economic Studies.
  • "A Test for Volatility Spillover with Application to Exchange Rates" Journal of Econometrics, 2001. 
  • "One-Sided Testing for ARCH Effects Using Wavelets" (with Jin Lee), Econometric Theory, 2001.
  • "Testing Serial Correlation of Unknown Form via Wavelet Methods" (with Jin Lee), Econometric Theory, 2001.