Yiguo Sun

Areas of Specialization: Theoretical Econometrics and Applied Econometrics

Yiguo Sun's Google Scholar Profile 

Dr. Yiguo Sun, a Professor in the Department of Economics and Finance, specializes in econometrics with a focus on semi-/nonparametric econometric theory applied to panel data, non-stationary time series, and spatial regression models. Her recent research has made significant contributions to the understanding of investment dynamics and social interaction models in econometrics. 

In her recent article "The Impact of Uncertainty on Investment: Empirical Challenges and a New Estimator," Dr. Sun proposes a novel method for examining the influence of uncertainty, reflected in stock-return volatility, on a firm's investment decisions. This study addresses the endogeneity of uncertainty and mismeasurement in Tobin’s Q, issues often considered seperately in prior empirical work. The research uses nonparametric estimates to reveal that the relationship between investment and uncertainty is significantly decreasing and strongly concave, contrasting with the linear regressions commonly adopted in the existing literature. This work highlights the substantial estimation bias that can arise from ignoring nonlinearity or measurement error in Q, while demonstrating that the bias due to the endogeneity of uncertainty is minimal. 

Additionally, in her 2023 paper "Social Threshold Regression," Dr. Sun develops a threshold social interaction model that introduces group-specific endogenous and contextual effects into a conventional spatial Durbin model. The study proposes a two-step GMM estimator for threshold and regression parameters, derives asymptotic theory, and provides bootstrap inference. The performance of these methods is assessed using Monte Carlo simulations, and an empirical application is conducted to investigate the role of peer effects on student academic achievement using Add Health data. This research advances the econometric analysis of social interactions and peer effects, offering a robust methodological framework for future studies. 

Dr. Sun's work, published in esteemed journals such as Econometric Reviews, Econometric Theory, Journal of Applied Econometrics, Journal of Businesses & Economic Statistics, Journal of Econometrics, and others, continues to contribute valuable insights and methodologies to the field of econometrics, enhancing the understanding of complex economic events. 

Li, Delong and Yiguo Sun, 2024. The impact of uncertainty on investment: Empirical challenges and a new estimator. Journal of Financial and Quantitative Analysis 59(1), 307-338. 

Konstantinidi, A., Kourtellos, A., Yiguo Sun, 2023. Social Threshold Regression. Journal of Econometrics 235, 2057-2081 

View abstracts and full length articles @ RePEc (Research Papers in Economics): 

https://ideas.repec.org/e/psu89.html#works
http://econpapers.repec.org/RAS/psu89.htm

A. Theoretical works

1. Yao , F., Lu, Q., Sun, Y., Zhang, J., 2024. Efficient estimation in varying coefficient panel data model with different smoothing variables and fixed effects. Advances in Econometrics 46, 133–184.

2. Li, Delong and Yiguo Sun, 2024. The impact of uncertainty on investment: Empirical challenges and a new estimator. Journal of Financial and Quantitative Analysis 59(1), 307-338.

3. Sun, Yiguo, 2024. Smoothed Gradient Least Squares Estimator for Linear Threshold Models. Econometric Reviews (online).

4. Sun, Yiguo, 2023. Semiparametric Spatial Autoregressive Models with Nonlinear Endogeneity. Forthcoming to Econometric Reviews.

5. Konstantinidi, A., Kourtellos, A., Yiguo Sun, 2023. Social Threshold Regression. Journal of Econometrics 235, 2057-2081.

6. Chen, Chaoyi, Thanasis Stengos, and Yiguo Sun, 2023. Endogeneity in semiparametric threshold regression model with two threshold variables.  Econometric Reviews 42, 758-779.

7.    Zhao, Shunan, Yiguo Sun, Kumbhakar, Subal C, 2022. Income and Democracy: A Semiparametric Approach. Econometric Reviews 41, 1113-1140.

8. Kourtellos, Andros, Thanasis Stengos, and Yiguo Sun, 2022. Endogeneity in Semiparametric Threshold Regression. (Online Appendix ) Econometrics Theory 38, 565-595.

9. Sun, Yiguo, 2020. The LLN and CLT for U-Statistics under Cross-sectional Dependence. Journal of Nonparametric Statistics 32, 201-224.

10. Delgado, Michael S., Ozabaci, Deniz, Sun, Yiguo, Kumbhakar, Subal C., 2020. Smooth Coefficient Models with Endogenous Environmental Variables. Econometrics Reviews 39, 158-180.

11. Emir Malikov, Yiguo Sun, and Diane Hite, 2018. (Under)Mining Local Residential Property Values: A Semiparametric Spatial Quantile Autoregression. Journal of Applied Econometrics 34, 82-109.

12. Sun, Yiguo, Malikov, Emir, 2018. Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects. Journal of Econometrics 203, 359-378.

13. Emir Malikov and Yiguo Sun, 2017. Semiparametric Estimation and Testing of Smooth Coefficient Spatial Autoregressive Models. Journal of Econometrics 199, 12-34.

14. Sun, Yiguo, 2016. Functional-Coefficient Spatial Autoregressive Models with Nonparametric Spatial Weights. Journal of Econometrics 195, 134-153.

15. Emir Malikov, Subal C. Kumbhakar, and Yiguo Sun, 2016. Varying Coefficient Panel Data Model in the Presence of Endogenous Selectivity and Fixed Effects. Journal of Econometrics 190, 233-251.

16. Sun, Yiguo, Zongwu Cai, and Qi Li, 2016. Consistent Nonparametric Test on Parametric Smooth Coefficients with Nonstationary Data. Econometric Theory 32, 988-1022.

17. Sun, Yiguo, Cheng Hsiao, and Qi Li, 2015. Volatility spillover effect: A semiparametric analysis of non- cointegrated processes. Econometric Reviews 34, 127-145.

18. Sun, Yiguo, 2014. Semiparametric estimation of linear cointegrating models with nonlinear contemporaneous endogeneity. Journal of Time Series Analysis 35, 437-461.

19. Lin, Zhongjian, Qi Li, and Yiguo Sun, 2014. A consistent nonparametric test of parametric regression functional form in fixed-effects panel data models. Journal of Econometrics 178, 167-179.

20. Sun, Yiguo, Zongwu Cai, and Qi Li, 2013. Semiparametric functional coefficient models with integrated covariates. Econometric Theory 29, 1-14.

21. Sun, Yiguo, Cheng Hsiao, and Qi Li, 2011. Measuring correlations of integrated but not cointegrated variables-A semiparametric approach. Journal of Econometrics 164, 252-267.

22. Sun, Yiguo and Qi Li, 2011. Data-driven method selecting smoothing parameters in semiparametric models with integrated time series data. Journal of Business & Economic Statistics 29, 541-551.

23. Sun, Yiguo, Carroll, Raymond, J., and Li, D., 2009. Semiparametric estimation of fixed effects panel data models with smooth coefficients. Advances in Econometrics 25, 101-129.

24. Sun, Yiguo and T. Stengos, 2006. Semiparametric efficient adaptive estimation in asymmetric GARCH models. Journal of Econometrics 133, 373-386.

25. Sun, Yiguo, 2006. A consistent nonparametric equality test of conditional quantile functions. Econometric Theory 22, 614-632.

26. Stengos, T., Yiguo Sun, and D. Wang, 2006. Estimates of semiparametric equivalence scales. Journal of Applied Econometrics 21, 629-639.

27. Sun, Yiguo, 2005. Semiparametric efficient estimation of partially linear quantile regression models. Annals of Economics and Finance 39(2), 105-127.

28. Yatchew, Andonis, Yiguo Sun, and C. Deri, 2003. Efficient estimation of semiparametric equivalent scales with evidence from South Africa. Journal of Business & Economic statistics 21, 247-257.

29. Stengos, Thanasis and Yiguo Sun, 2001. Consistent model specification test for a regression function based on nonparametric wavelet estimation. Econometric Reviews 20, 41-60.

B. Handbook Chapters

1. Sun, Yiguo, Wei Lin, and Qi Li, 2024. Nonparametric Models with Random Effects. Chapter 8 (pp. 239-283) in the second edition of Handbook of the Econometrics of Multi-Dimensional Panels: Theory and Application edited by Laszlo Matyas, Springer. 

2. Sun, Yiguo, Wei Lin, and Qi Li, 2017. Nonparametric Models with Random Effects. Chapter 7 (pp. 195-238) in the Handbook of the Econometrics of Multi-Dimensional Panels: Theory and Application edited by Laszlo Matyas, Springer. 

3. Sun, Yiguo, Yu Zhang, and Qi Li, 2015. Nonparametric panel data regression models. Chapter 10, pp. 285-324, in the Oxford Handbook on panel data edited by Badi H. Baltagi. 

4. Sun, Yiguo and Qi Li, 2013. Nonparametric and semiparametric analysis of nonstationary time series. Chapter 14, pp. 444-482, in the Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics, edited by Aman Ullah, Jeffrey Racine, Liangjun Su. Oxford University Press.

C. Empirical Works

1. Dimiski, Aanastasia and Yiguo Sun, 2024. Exploring Inflation Dynamics in Canada: A Threshold Vector Autoregressive Approach. Forthcoming to Journal of Economic Asymmetries.

2. Liu, Renliang*, Thanasis Stengos, and Yiguo Sun, 2024. Spatial spillovers in trade agreement memberships: Does institutional proximity matter? Review of International Economics (online). 

3. Sun, Y., D. Li, C. Suo*, and Y. Wang*, 2023. A threshold effect of COVID-19 risk on oil price returns. Energy Economics 120, 106618. 

4. Bors, M.,* D. Li, and Y. Sun, 2021. Is the Yardstick ratio “a good yardstick” for stock market valuations? Economics Bulletin 41, 1444-1450 .

5. Fatours, N.* and Y. Sun, 2020. Natural disasters and economic growth: A semiparametric smooth coefficient model approach. Journal of Risk and Financial Management 13(12), 320.

6. Xiao, H.* and Y. Sun, 2020. Forecasting the Returns of Cryptocurrency: A Model Averaging Approach. Journal of Risk and Financial Management 13(11), 278.

7. Zhang, Y.,* Sun, Y., & Stengos, T., 2019. Spatial dependence in Canadian housing market. Journal of Real Estate Finance and Economics 58, 223-263.

8. Hinton, Alexander* and Yiguo Sun, 2019. The Sunk-Cost Fallacy in the National Basketball Association: Evidence Using Player Salary and Playing Time. Empirical Economics 59, 1019-1036.

9. Xiao, Hui* and Yiguo Sun, 2019. On Tuning Parameter Selection in Model Selection and Model Averaging: A Monte Carlo Study. Journal of Risk and Financial Management 12, 109 .

10. Chen, Chaoyi,* Yiguo Sun, 2018. Monte Carlo Comparison for Nonparametric Threshold Estimators. Journal of Risk and Financial Management 11, 49 .

11. Sun, Yiguo and Ximing Wu, 2018. Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study. Journal of Risk and Financial Management 11, 29.

12. Koroglu, M.,* Y. Sun, 2016. Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth. Econometrics Vol 4, Article 6, 1-16.

13. Li, G.,* Xu, S., Li, Z., Sun, Y., Dong, X., 2012. Using quantile regression approach to analyze price movements of agricultural products in China. Journal of Integrative Agriculture 11, 674-683.

14. Sun, Yiguo and T. Stengos, 2008. The absolute health income hypothesis revisited: A Semiparametric Quantile Regression Approach. Empirical Economics 35, 395-412.

15. Liu, V.,* F. Tapon, and Yiguo Sun, 2006. Stock return volatility and the internet phenomenon. Applied Financial Economics Letters 2, 105-109.

16. Yang, L.,* F. Tapon, and Yiguo Sun, 2006. International correlations across stock markets and industries: Trends and patterns 1988-2002. Applied Financial Economics 16, 1171-1183.

17. Li, Y.,* R.S. Singh, and Yiguo Sun, 2005. Goodness-of-fit tests of parametric density functions: Monte Carlo simulation studies. Journal of Statistical Research 39(2), 111-133.

"*" indicates graduate students under my supervision. 

• 2018-2021: CBE Senior Research Fellow in Spatial Econometrics

• 2022-2025: University Research Leadership Chair

1.  2022/9-2025/8. Co-applicant. Measurement error in empirical corporate finance. SSHRC Insight Developemnt Grant. Total Funding - 50,000;
2. 2016/4 - 2023/4. Principal Applicant. Functional-coefficient spatial autoregressive models with nonparametric spatial weights. SSHRC Insight Grant. Total Funding - 96,430;
3. 2019/12 - 2021/12. Principal Applicant. Measurement errors and implications in empirical finance. SSHRC Institutional Grant-Explore Grant. Total Funding - 3,500;
4. 2019/1 - 2021/12. Principal Applicant. CBE Senior Research Fellow in Spatial Econometrics. University of Guelph CBE Fellowship. Total Funding - 30,000;
5. 2017/9 - 2018/8. Co-applicant. Learning Enhancement Fund.  University of Guelph Learning Enhancement Fund. Total Funding - 24,000;
6. 2009/4 - 2013/4. Principal Applicant. Consistent Nonparametric Cointegration Tests. SSHRC Standard Research Grants. Total Funding - 79,500;
7. 2004/4 - 2008/4. Principal Applicant. Studies on density evolution of asset returns via functional principal component analysis. SSHRC Standard Research Grant. Total Funding - 49,500.