Recently, the paper Robust inference for time-varying predictability: A Sieve-IVX approach, co-authored by Associate Professor Liu Yanbo from the School of Economics, Shandong University, Assistant Professor Liu Nan from the Department of Economics, Xiamen University, Professor Peter C.B. Phillips from Yale University (USA), and Dr. Zhang Yajie from Singapore Management University, has been officially published in Journal of Econometrics, a top-tier international journal for econometrics.

This study develops a non-parametric predictive regression model that allows coefficients to evolve smoothly over time, and proposes a new statistical test method to achieve robust inference for time-varying predictability regardless of variable properties. Built upon functional Gaussian approximation theory, the paper develops point-wise and uniform statistical inference approaches and verifies their desirable properties.

Liu Yanbo is Associate Professor at the School of Economics, Shandong University. His research interests cover non-parametric/semi-parametric econometrics, microeconometrics and financial econometrics. His research papers have been published in leading journals including International Economic Review, Journal of Econometrics and Econometric Theory. He presides over both the General Program and the Youth Program of the National Natural Science Foundation of China.

https://doi.org/10.1016/j.jeconom.2026.106320