I. Cai, Z., J. Fan and Q. Yao (2000). Functional-coefficient regression models for nonlinear time series. Journal of the American Statistical Association, 95, 941-956. DOWNLOAD .
II. Cai, Z. and X. Xu (2008). Nonparametric quantile estimations for dynamic smooth coefficient models. Journal of the American Statistical Association, 103, 1596-1608. DOWNLOAD .
III. Cai, Z., Q. Li and Y. Park (2009). Functional-coefficient models for nonstationary time series data. Journal of Econometrics, 148, 101-113. DOWNLOAD .
IV. Cai, Z., Y. Fang, M. Lin and J. Su (2019). Inferences for a partially varying coefficient model with endogenous regressors. Journal of Business & Economic Statistics, 37, 158-170. DOWNLOAD
V. Cai, Z. and T. Juhl (2023). The distribution of rolling regression estimators. Journal of Econometrics, 235(2), 1447-1463. DOWNLOAD .