Xuan Leng  

I am an associate professor of Econometrics at the School of Economics (SOE) and the Wang Yanan Institute for Studies in Economics (WISE), Xiamen University. Before that, I was affiliated with the Erasmus University Rotterdam as a fixed-term assistant professor and at the University of Science and Technology of China as a PhD student (a PhD scholar at Georgia Tech funded by the Chinese Scholarship Council).


​Contact
Email: [email protected]
Address: Economics Complex A402, 422 Siming S. Street, 361005, Xiamen, China

Research interests
Panel Data Analysis,
Statistics of Extremes


Working papers

• Debiased inference for dynamic nonlinear models with two-way fixed effects.(with Jiaming Mao and Yutao Sun)
• Asymptotics of CoVaR inference in two-quantile-regression.(with Yi He, Liang Peng and Yanxi Hou)
• Time-varying group unobserved heterogeneity in finance.(with Elvira Sojli, Wing Wah Tham and Wendun Wang)

Published papers

• Hou, Y., Leng, X.*, Peng, L. and Zhou, Y. (2023). Panel Quantile Regression for Extreme Risk. Journal of  Econometrics, forthcoming
• Huang, H., Jiang, L., Leng, X.* and Peng, L. (2023). Bootstrap Analysis of Mutual Fund Performance. Journal of  Econometrics, 235, 239-255

• Leng, X., Chen, H and Wang W. (2023). Multi-dimensional Latent grouped structure with heterogenous distribution.  Journal of  Econometrics, 233, 1-21

• Huang, H., Leng, X., Liu, X. and Peng, L. (2020). Unified Inference for an AR Process Regardless of Finite or Infinite Variance GARCH Errors. Journal of Financial Econometrics, 18, 425-470.
• Leng, X., Peng, L., Wang, X. and Zhou, C. (2019). Endpoint estimation for observations with normal measurement errors. Extremes, 22, 71-96.
• Leng, X.and Peng, L. (2017). Testing for a unit root in Lee-Carter mortality model. ASTIN Bulletin, 47, 715-735. 
• Leng, X.and Peng, L. (2016). Inference pitfalls in Lee-Carter model for forecasting mortality. Insurance: Mathematics and Economics, 70, 58-65.     
• Leng, X., Zhuang, J. and Hu, T. (2016). Dispersive ordering for the multivariate normal distribution. Probability in the Engineering and Informational Sciences, 30,141–152.
• Leng, X. and Hu, T. (2014). The closure property of 2RV under random sum. Statistics and Probability Letters,92, 158-167. 
• Leng, X. and Hu, T. (2014). The tail behavior of randomly weighted sums of dependent random variables. Statistics and Its Interface, 7, 331-338. 

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