• Measuring nonlinear Granger causality in mean (with Abderrahim Taamouti), Journal of Business & Economic Statistics, 2018, 36:2, 321-333, https://www.tandfonline.com/doi/abs/10.1080/07350015.2016.1166118
• Nonparametric tests for conditional symmetry (with Miguel A. Delgado), Journal of Econometrics, 2018, 206:2, 447-471, https://www.sciencedirect.com/science/article/pii/S0304407618301040
• A nonparametric specification test for the volatility functions of diffusion processes (with Qiang Chen and Meidi Hu), Econometric Reviews, 2019, 38:5, 557-576, https://www.tandfonline.com/doi/abs/10.1080/07474938.2017.1365428
• A better understanding of Granger causality analysis: A Big data environment (with Abderrahim Taamouti), Oxford Bulletin of Economics and Statistics, 2019, 81:4, 911-936, https://onlinelibrary.wiley.com/doi/full/10.1111/obes.12288
• Specification tests for the propensity score (with Pedro H.C. Sant'Anna), Journal of Econometrics, 2019, 210:2, 379-404, https://www.sciencedirect.com/science/article/pii/S0304407619300272, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2872084, and https://arxiv.org/abs/1611.06217
• A nonparametric measure of heteroskedasticity (with Abderrahim Taamouti), Journal of Statistical Planning and Inference, 2021, 212, 45-68, https://www.sciencedirect.com/science/article/pii/S0378375820301105 and https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3653053
• Measuring Granger causality in quantiles (with Abderrahim Taamouti), Journal of Business & Economic Statistics, 2021, 39:4, 937-952, https://amstat.tandfonline.com/doi/full/10.1080/07350015.2020.1739531
• On smooth tests for the equality of distributions (with Zhijie Xiao), Econometric Theory, 2022, 38:1, 194-208, https://doi.org/10.1017/S0266466620000596
• Testing for asymmetric comovements (with O-Chia Chuang and Abderrahim Taamouti), Oxford Bulletin of Economics and Statistics, 2022, 84:5, 1153-1180, https://onlinelibrary.wiley.com/doi/10.1111/obes.12485
• A non-parametric test for multi-variate trend functions (with Erhua Zhang and Jilin Wu), Journal of Time Series Analysis, 2022, 43:6, 856-871, https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12641
• Testing for trend specifications in panel data models (with Jilin Wu and Zhijie Xiao), Journal of Business & Economic Statistics, 2022, https://www.tandfonline.com/doi/full/10.1080/07350015.2022.2035227
• Covariate distribution balance via propensity scores (with Pedro H.C. Sant'Anna and Qi Xu), Journal of Applied Econometrics, 2022, https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.2909, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3258551 and https://arxiv.org/abs/1810.01370
• Simultaneous confidence bands for conditional value-at-risk and expected shortfall (with Shuo Li and Liuhua Peng), Econometric Theory, 2022, https://doi.org/10.1017/S0266466622000275
• Significance testing in nonparametric autoregression, 2014
• Intergenerational top income and wealth mobility in Taiwan: A nonparametric approach (with O-Chia Chuang and Ming-Jen Lin), 2016, https://www.researchgate.net/publication/311886715_Intergenerational_Top_Income_and_Wealth_Mobility_in_Taiwan_A_Nonparametric_Approach
• Value-at-risk under measurement error (with Mohamed Doukali and Abderrahim Taamouti), 2019, 2nd R&R
• Testing semiparametric predictive regression model (with Haoxi Yang), 2019
• Specification tests for generalized propensity scores using double projections (with Pedro H.C. Sant'Anna), 2020, R&R, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3564679 and https://arxiv.org/abs/2003.13803
• A global nonparametric estimator for state pricing density (with Chenxu Li and Yating Wan), 2021, Submitted
• Adaptive estimation of near-stationary autoregression with time-varying variances (with Jilin Wu and Zhijie Xiao), 2021, R&R
• Nonparametric tests of conditional independence for time series (with Haoyu Wei), 2021, https://arxiv.org/abs/2110.04847 and https://www.researchgate.net/publication/343994766_Nonparametric_Tests_of_Conditional_Independence_for_Time_Series 
• Smooth tests for normality in ANOVA (with Haoyu Wei), 2021, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3939957 and https://arxiv.org/abs/2110.04849
• Testing impacts on inefficiency in a semiparametric stochastic frontier model (with Jen-Che Liao and Hung-Jen Wang), 2021, https://www.researchgate.net/publication/361162108_Testing_impacts_on_inefficiency_in_a_semiparametric_stochastic_frontier_model
• Trending time-varying coefficient spatial panel data models (with Hsuan-Yu Chang and Jihai Yu), 2021, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4072522, Submitted
• A unified nonparametric test of transformations on distribution functions with nuisance parameters (with Xingyu Li and Zhenting Sun), 2022, http://arxiv.org/abs/2202.11031, R&R
• Efficient estimation of partially linear additive spatial autoregressive models (with Shiyuan Chen and Jihai Yu), 2022, Submitted
• Specification analysis of conditional distribution functions (with Shengtao Dai and Zhijie Xiao), 2022, Submitted
• Testing linearity in semi-functional partially linear regression models (with Yongzhen Feng and Jie Li), 2022, https://arxiv.org/abs/2212.00524, Submitted
• Testing conditional moment restriction models in reproducing kernel Hilbert spaces (with Yuhao Li), 2022
• Checking the adequacy of quantile regression models (with Shengtao Dai and Zhijie Xiao), Work in progress
• Semiparametric estimation of recurrent diffusion models (with Bin Wang), Work in progress
• Nonparametric consistent tests for quantile regression models with endogeneity (with Jen-Che Liao), Work in progress
• A new class of joint tests for conditional distributions (with Shengtao Dai and Jilin Wu), Work in progress
• Testing conditional quantile independence with functional covariate (with Yongzhen Feng and Jie Li), Work in progress
• House-purchase restriction and predictability reversal in China's house market (with Yuansheng Wang and Haoxi Yang), Work in progress

中文发表:

张轩瑜, 宋晓军, 虞吉海, 2020. 时空效应下PM2.5的环境库兹涅茨曲线—基于动态空间面板视角, 环境科学学报，第40卷第1期，315-324. 

宋晓军, 李曦纳, 虞吉海, 2020. 空间动态短面板的估计及中国城市经济增长收敛性的分析，经济学报，第7卷第1期，38-59.

Working papers:

1. Significance testing in nonparametric autoregression, 2014.

2. Nonparametric tests of conditional independence for weakly dependent data, 2014.

3. Measuring Granger Causality in Quantiles, (with Abderrahim Taamouti), 2016, R&R.

4. Intergenerational Top Income and Wealth Mobility in Taiwan (with O-Chia Chuang and Ming-Jen Lin), 2016.

5. Testing Asymmetric Dependence: A Stochastic Process Approach (with O-Chia Chung and Abderrahim Taamouti), 2017.

6. Testing Semiparametric Predictive Regression Model (with Haoxi Yang), 2018.

7. Covariate Distribution Balance via Propensity Scores (with Pedro Sant'Anna), 2018, submitted.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3258551

8. Nonparametric Estimation and Testing for Heteroskedasticity in Sample Selection Models (with Le-Yu Chen and Jen-Che Liao), 2018.

9. Measuring and Testing Local Heteroskedasticity (with Abderrahim Taamouti), 2018, submitted.

10. A Nonparametric Test of Heteroskedasticity in Stock Returns in the Presence of Measurement Errors (with Abderrahim Taamouti), 2018, work in progress.

Applied Econometrics
Econometrics
Advanced Econometrics
Asymptotic Statistics