Hong  Kong University    of  Science and Technology

Department of Mathematics

Shiqing Ling
(PhD, HKU)Associate Professor of Mathematics
Department of Mathematics
Clear Water Bay, Hong Kong
Phone: (0852) 23587459
Fax:   (0852)  23591016
Email: maling@ust.hk   
Past Experiences

Ph.D. Student in Statistics, Department of Statistics,  The University of  Hong Kong , Hong Kong , 1995-1997. Postdoctoral  Research Fellow  in  Econometrics, Department of  Economics, University of  Western Australia,  1997-2000 Assistant Professor, Department of Mathematics, HKUST, 2000-2006.
• Adjunct Associate Professor in Department of Economics and Department of Mathematics and Statistics, University of  Western Australia, 2003-2006.

Research Interests

ARCH/GARCH and nonlinear time series models Unit root and co-integration time series models Long memory time series Estimation and testing  change points  in time series models Goodness-of-fit  tests Adaptive and efficient estimation

Professional Service
1. Associate Editor:
Statistics \& Probability
Letters:
2005-2008.
2. Associate Editor:
Bernoulli
2007-2009
(Official Journal of the Bernoulli Society for Mathematical
Statistics and Probability)
3. Associate Editor:
Electronic Journal of Statistics:
2010-present.
.
Honours
1.
Early Career Research Excellence Prize, Modelling and Simulation Society of Australia
and New Zealand, (2003).

2. Adjunct Associate Professor, School of Economics and Commerce and School of Mathematics and Statistics, University of Western Australia, Australia. (2003-2006).:

3. Elected member of International Statistical Institute (2005).

4. Multa Scripsit Award (Econometric Theory (2007).

Papers Published in Journals

Statistical Journals
.


1.
Chan, N.H. and Ling, S. (2007)  Residual empirical processes for long- and short- memory time series.   Accepted by Annals of Statistics ,
.pdf
2.
Ling, S. and Li, D. (2007)
Asymptotic inference for a non-stationary double AR(1) model. Accepted
by
Biometrika.

B.pdf



3.
Ling, S., Tong, H. and Li, D. (2007) Ergodicity and Invertibility of Threshold MA Models.
Bernoulli,
13, 161-168.
B-.pdf
4.
Ling, S.  (2007)  A double AR(p) model: structure and  estimation.   Statistica Sinica, 17, 161-175 .pdf
5.
Ling, S.  (2007)  Testing for change-points in time series models and limiting theorems for NED sequences.   Annals of Statistics, 35, 1213–1237. .AAn-6.pdf
6.
Koul, H. and Ling, S . (2006)   Fitting an error distribution in some heteroscedastic time series models. Annals of Statistics 34,994-1012. Ann-5.pdf
7.
Ling, S. and Tong, H. (2005)  Testing a linear MA model against  threshold MA models. Annals of Statistics 33, 2529-2552 . Ann-4.pdf
8.
Ling, S. (2005). Self-weighted LAD estimation for infinite variance autoregressive models.Journal of the Royal Statistical Society: Series B. JRSS.pdf
9.
Wong, H. and  Ling, S. (2005) Mixed portmanteau tests for time series
Journal of  Time Series  Analysis 26, 569-579 WL.pdf
10.
Wong, H.,  Li, W.K. and  Ling, S. (2004) A cointegrated conditional heteroscedastic model with applications. Ann. Inst. Statist. Math.
11.
Ling, S. and  McAleer, M. (2004) Regression quantiles for unstable autoregression model.    Journal of Multivariate Analysis 89 (2), 304-328.rquu.pdf
12.
Ling, S. and
Peng, L. (2004) Hill's estimator for the tail index of ARMA model.

Journal of
Statistical Planning and
Inference 123, 279-293.
13.
Ling, S. (2004) Estimation and testing of stationarity for double autoregressive models.   Journal of the Royal Statistical Society: Series B 66,  63-78. JRSS.pdf
14.
Ling, S. (2003) Adaptive estimators and tests of stationary and non-stationary short and long memory
ARIMA-GARCH models.
Journal of the American Statistical Association 98,
955-967JASA.pdf
15.
Ling, S. and McAleer, M. (2003) Adaptive
estimation in
nonstationry ARMA models with GARCH noises.  Annals of Statistics, 31, 642-674. Ann.pdf
16.
. Li, W. K.,  Ling, S. and  Wong, H. (2001) Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity.
Biometrika  88, no. 4, 1135-1152. .Bio.pdf
17.
Ling, S. (1999) On probability properties of a double threshold ARMA conditional heteroskedasticity model.  Journal of Applied Probability
36 (3), 688-705.
18.
Ling, S. (1999) On the stationarity and the existence of moments of conditional heteroskedastic ARMA models.
Statistica Sinica
9, 1119-1130.
19.
Ling, S. (1998) Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models.
Annals of Statistics
26 (2), 741-754. Ann.pdf.
20.
Ling, S. and  Li, W.K. (1998) Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors.  Annals of Statistics

26 (1), 84-125.Ann.pdf
21.
Ling, S. and
Li, W.K. (1997) Fractional autoregressive integrated moving-average time series conditional heteroskedasticity. Journal of the American Statistical Association,
92 (439), 1184-1194.JASA.pdf




22.
Ling, S. and
Li, W.K. (1997) Diagnostic checking of nonlinear multivariate time series with multivariate arch errors. Journal of Time Series
Analysis
18, 447-464.

Econometric Journals

23.
Ling, S. (2006) Self-weighted? and Local Quasi-maximum Likelihood Estimators for?ARMA -GARCH/IGARCH Models.?Accepted by Journal of Econometrics. JOE.pdf

24.
Chan, N.H. and  Ling, S. (2006) Empirical likelihood for GARCH models.?Econometric Theory?22, 402-428.
25.
Ling, S. and  McAleer, M. (2003) Asymptotic theory for a new vector ARMA-GARCH model. Econometric Theory 19, 280-310. ET.pdf


26.
Ling, S. and  Li, W.K. (2003) Asymptotic inference for unit root with GARCH (1,1) errors.  Econometric Theory  19, 541-564.ET.pdf
27.
Ling, S., Li, W.K. and  McAleer, M. (2003) Estimation and testing for a unit root process with GARCH (1,1) errors. Econometric Reviews,  22, 179 - 202.
28.
Ling, S. and  McAleer, M. (2002) Necessary and sufficient moment conditions for the GARCH(p,q) and asymmetric power GARCH(p,q) models.  Econometric Theory 18, 722-729.
29.
Ling, S. and  McAleer, M. (2002) Stationarity and the existence of moments of a family of GARCH processes.  Journal of Econometrics 106, 109-117.
30.
Li, W.K.,  Ling, S. and McAleer, M. (2002) A survey of recent theoretical results for time series models with GARCH errors. Journal of Economic Survey 16, 245-269.
31.
Ling, S. and  Li, W.K. (2001) Asymptotic properties of CSS estimation for nonstationary fractionally integrated autoregressive moving average models.  Econometric Theory  17, 738-764.ET.pdf



Ling, S.. and Tong, H. (2006)  A General Approach to Goodness-of-fit Tests for Time Series Models LH.pdf.


Lecture Notes for Math244



Syllabus.w
Lecture-1.pdf