Lina Lu
Lina Lu
Senior Financial Economist

Supervision, Regulation & Credit



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Journal articles

A Spatial Panel Quantile Model with Unobserved Heterogeneity”, with Tomohiro Ando and Kunpeng Li, 2021, forthcoming at Journal of Econometrics.

Efficient Estimation of Heterogeneous Coefficients in Panel Data Models with Common Shocks” (with Guowei Cui and Kunpeng Li), Journal of Econometrics, 216(2), 327-353, 2020. [working paper version]

"Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models", with Kunpeng Li and Qi Li, Journal of Econometrics, 206(2), 574-612, 2018. [working paper version]

"Estimation and Inference of FAVAR Models", with Jushan Bai and Kunpeng Li, Journal of Business and Economic Statistics, 34(4), 620-641, 2016.

Working papers

The Global Effects of U.S. Monetary Policy on Equity and Bond Markets: a Spatial Panel Data Model Approach”, with Shaowen Luo, 2020.

Reach for Yield by U.S. Public Pension Funds”, with Matthew Pritsker, Andrei Zlate, Kenechukwu E. Anadu and James Bohn, 2019. Award: The Bureau Van Dijk Best Paper Award at the 3rd Sydney Banking and Financial Stability Conference.

"Simultaneous Spatial Panel Data Models with Common Shocks", last revised August 2017, available as FRB Boston Working Paper RPA17-03, Revise & Resubmit at Journal of Business and Economic Statistics.

“Factor Analysis and Principal Components: Evaluating Commonly Used Estimation Procedures”, with Jushan Bai and Kunpeng Li, 2016.