| Publication | Date of Publication | Type |
|---|
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
FRED-MD: A Monthly Database for Macroeconomic Research
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Latent Dirichlet Analysis of Categorical Survey Responses
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Approximate factor models with weaker loadings
Journal of Econometrics | 2023-06-29 | Paper |
Five decades of the \textit{Journal of Econometrics}: an activity report
Journal of Econometrics | 2023-04-14 | Paper |
Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
Journal of the American Statistical Association | 2023-03-14 | Paper |
Factor-based imputation of missing values and covariances in panel data of large dimensions
Journal of Econometrics | 2023-03-03 | Paper |
Constructing Common Factors from Continuous and Categorical Data
Econometric Reviews | 2022-06-03 | Paper |
Boosting high dimensional predictive regressions with time varying parameters
Journal of Econometrics | 2021-07-30 | Paper |
Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
Journal of the American Statistical Association | 2019-10-15 | Paper |
Rank regularized estimation of approximate factor models
Journal of Econometrics | 2019-09-02 | Paper |
The ABC of simulation estimation with auxiliary statistics
Journal of Econometrics | 2018-05-31 | Paper |
Simulated minimum distance estimation of dynamic models with errors-in-variables
Journal of Econometrics | 2017-08-24 | Paper |
Panel cointegration with global stochastic trends
Journal of Econometrics | 2016-07-04 | Paper |
Panel cointegration with global stochastic trends
Journal of Econometrics | 2016-07-04 | Paper |
Forecasting economic time series using targeted predictors
Journal of Econometrics | 2016-06-22 | Paper |
Are more data always better for factor analysis?
Journal of Econometrics | 2016-06-10 | Paper |
Evaluating latent and observed factors in macroeconomics and finance
Journal of Econometrics | 2016-06-10 | Paper |
Measurement errors in dynamic models
Econometric Theory | 2014-06-20 | Paper |
Principal components estimation and identification of static factors
Journal of Econometrics | 2014-04-04 | Paper |
Estimation of panel data models with parameter heterogeneity when group membership is unknown
Journal of Econometric Methods | 2014-01-21 | Paper |
Selecting instrumental variables in a data rich environment
Journal of Time Series Econometrics | 2013-06-14 | Paper |
ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
Econometric Theory | 2012-10-31 | Paper |
Dynamic identification of dynamic stochastic general equilibrium models
Econometrica | 2012-06-18 | Paper |
INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
Econometric Theory | 2011-04-21 | Paper |
Panel unit root tests with cross-section dependence: a further investigation
Econometric Theory | 2010-08-13 | Paper |
| A new look at panel testing of stationarity and the PPP hypothesis | 2007-10-09 | Paper |
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
Econometrica | 2007-02-05 | Paper |
Determining the Number of Factors in Approximate Factor Models
Econometrica | 2006-06-16 | Paper |
| A PANIC attack on unit roots and cointegration. | 2006-06-16 | Paper |
Forecasting autoregressive time series in the presence of deterministic components
Econometrics Journal | 2003-05-20 | Paper |
LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
Econometrica | 2002-05-28 | Paper |
A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
Journal of Economic Dynamics and Control | 2002-03-03 | Paper |
ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
Econometric Reviews | 2002-01-01 | Paper |
Explaining the persistence of commodity prices
Computational Economics | 2001-12-05 | Paper |
A consistent test for conditional symmetry in time series models
Journal of Econometrics | 2001-10-04 | Paper |
Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators
Journal of Econometrics | 2001-01-30 | Paper |
Testing for ARCH in the presence of a possibly misspecified conditional mean
Journal of Econometrics | 2000-09-10 | Paper |
Estimation and inference in nearly unbalanced nearly cointegrated systems
Journal of Econometrics | 1997-08-03 | Paper |
Testing for unit roots in flow data sampled at different frequencies
Economics Letters | 1997-02-27 | Paper |
Looking for evidence of speculative stockholding in commodity markets
Journal of Economic Dynamics and Control | 1997-02-27 | Paper |
THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
Journal of Time Series Analysis | 1996-11-18 | Paper |
Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
Review of Economic Studies | 1996-11-07 | Paper |
| Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag | 1995-06-21 | Paper |
