| Publication | Date of Publication | Type |
|---|
Identification and Bayesian Estimation of Dynamic Factor Models
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Special Issue on Big Data
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Estimation and Inference of FAVAR Models
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Reprint of: The likelihood ratio test for structural changes in factor models
Journal of Econometrics | 2025-01-16 | Paper |
Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
Journal of Econometrics | 2025-01-16 | Paper |
Likelihood approach to dynamic panel models with interactive effects
Journal of Econometrics | 2024-03-21 | Paper |
Standard errors for panel data models with unknown clusters
Journal of Econometrics | 2024-03-21 | Paper |
Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
The likelihood ratio test for structural changes in factor models
Journal of Econometrics | 2024-02-13 | Paper |
Approximate factor models with weaker loadings
Journal of Econometrics | 2023-06-29 | 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 |
Quasi-maximum likelihood estimation of break point in high-dimensional factor models
Journal of Econometrics | 2023-03-03 | Paper |
Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
Journal of Econometrics | 2022-09-01 | Paper |
Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors
Econometrics Journal | 2022-07-26 | Paper |
Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
Journal of Econometrics | 2022-07-15 | Paper |
Theory and applications of TAR model with two threshold variables
Econometric Reviews | 2022-05-31 | Paper |
Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
Econometric Reviews | 2022-02-24 | Paper |
Dynamic spatial panel data models with common shocks
Journal of Econometrics | 2021-07-30 | Paper |
Estimation and inference of change points in high-dimensional factor models
Journal of Econometrics | 2021-02-09 | Paper |
Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
Journal of the American Statistical Association | 2020-08-03 | 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 |
Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
Journal of the American Statistical Association | 2019-04-11 | Paper |
A simple new test for slope homogeneity in panel data models with interactive effects
Economics Letters | 2018-08-31 | Paper |
Inferences in panel data with interactive effects using large covariance matrices
Journal of Econometrics | 2017-08-21 | Paper |
Common breaks in means and variances for panel data
Journal of Econometrics | 2016-08-01 | 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 |
Evaluating latent and observed factors in macroeconomics and finance
Journal of Econometrics | 2016-06-10 | Paper |
Testing multivariate distributions in GARCH models
Journal of Econometrics | 2016-06-06 | Paper |
Efficient estimation of approximate factor models via penalized maximum likelihood
Journal of Econometrics | 2015-12-18 | Paper |
A simple new test for slope homogeneity in panel data models with interactive effects
Economics Letters | 2015-11-01 | Paper |
Identification theory for high dimensional static and dynamic factor models
Journal of Econometrics | 2014-08-07 | Paper |
Theory and methods of panel data models with interactive effects
The Annals of Statistics | 2014-05-05 | Paper |
Theory and methods of panel data models with interactive effects
The Annals of Statistics | 2014-05-05 | Paper |
Principal components estimation and identification of static factors
Journal of Econometrics | 2014-04-04 | Paper |
Estimating cross-section common stochastic trends in nonstationary panel data
Journal of Econometrics | 2014-03-07 | Paper |
Fixed-effects dynamic panel models, a factor analytical method
Econometrica | 2013-10-31 | Paper |
| Statistical Inferences Using Large Estimated Covariances for Panel Data and Factor Models | 2013-07-09 | Paper |
Selecting instrumental variables in a data rich environment
Journal of Time Series Econometrics | 2013-06-14 | Paper |
Statistical analysis of factor models of high dimension
The Annals of Statistics | 2012-09-03 | Paper |
Statistical analysis of factor models of high dimension
The Annals of Statistics | 2012-09-03 | 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 |
Panel data models with interactive fixed effects
Econometrica | 2010-03-19 | Paper |
Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
Review of Economic Studies | 2009-08-28 | Paper |
Generic consistency of the break-point estimators under specification errors in a multiple-break model
Econometrics Journal | 2008-08-21 | 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 |
Inferential Theory for Factor Models of Large Dimensions
Econometrica | 2006-06-19 | Paper |
| A PANIC attack on unit roots and cointegration. | 2006-06-16 | Paper |
Determining the Number of Factors in Approximate Factor Models
Econometrica | 2006-06-16 | Paper |
Critical values for multiple structural change tests
Econometrics Journal | 2003-01-01 | Paper |
Estimating and Testing Linear Models with Multiple Structural Changes
Econometrica | 2002-05-28 | Paper |
A consistent test for conditional symmetry in time series models
Journal of Econometrics | 2001-10-04 | Paper |
Estimation of multiple-regime regressions with least absolutes deviation
Journal of Statistical Planning and Inference | 2001-01-11 | Paper |
Testing For and Dating Common Breaks in Multivariate Time Series
Review of Economic Studies | 1999-04-19 | Paper |
Likelihood ratio tests for multiple structural changes
Journal of Econometrics | 1999-01-01 | Paper |
Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
Econometrica | 1996-07-01 | Paper |
Weak convergence of the sequential empirical processes of residuals in ARMA models
The Annals of Statistics | 1995-11-22 | Paper |
LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
Journal of Time Series Analysis | 1995-01-15 | Paper |
ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
Journal of Time Series Analysis | 1993-06-29 | Paper |
