| Publication | Date of Publication | Type |
|---|
Comment
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Jackknife estimation of a cluster-sample IV regression model with many weak instruments
Journal of Econometrics | 2023-06-29 | Paper |
Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession
Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning | 2020-12-09 | Paper |
Combining two consistent estimators
Essays in Honor of Jerry Hausman | 2020-11-10 | Paper |
An expository note on the existence of moments of Fuller and HFUL estimators
Essays in Honor of Jerry Hausman | 2020-11-10 | Paper |
Volatility in discrete and continuous-time models: a survey with new evidence on large and small jumps
Missing Data Methods: Time-Series Methods and Applications | 2020-07-10 | Paper |
Financial econometrics and big data: a survey of volatility estimators and tests for the presence of jumps and co-jumps
Handbook of Statistics | 2020-07-10 | Paper |
Diffusion index model specification and estimation using mixed frequency datasets
Recent Advances in Estimating Nonlinear Models | 2018-12-13 | Paper |
Instrumental variable estimation with heteroskedasticity and many instruments
Quantitative Economics | 2018-12-04 | Paper |
Testing for jumps and jump intensity path dependence
Journal of Econometrics | 2018-05-25 | Paper |
Robust forecast comparison
Econometric Theory | 2017-10-25 | Paper |
Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Journal of Econometrics | 2016-08-10 | Paper |
Predictive density estimators for daily volatility based on the use of realized measures
Journal of Econometrics | 2016-07-04 | Paper |
Predictive density and conditional confidence interval accuracy tests
Journal of Econometrics | 2016-06-10 | Paper |
The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
Journal of Econometrics | 2016-06-10 | Paper |
An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
Journal of Econometrics | 2016-06-10 | Paper |
Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
Journal of Econometrics | 2016-05-04 | Paper |
Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
Journal of Econometrics | 2016-05-02 | Paper |
Bootstrap conditional distribution tests in the presence of dynamic misspecification
Journal of Econometrics | 2016-04-25 | Paper |
Bootstrap specification tests for diffusion processes
Journal of Econometrics | 2016-03-24 | Paper |
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Journal of Econometrics | 2015-06-08 | Paper |
Testing overidentifying restrictions with many instruments and heteroskedasticity
Journal of Econometrics | 2014-08-07 | Paper |
Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
Journal of Econometrics | 2014-08-06 | Paper |
Testing for structural stability of factor augmented forecasting models
Journal of Econometrics | 2014-06-04 | Paper |
A test for the distributional comparison of simulated and historical data
Economics Letters | 2013-01-01 | Paper |
Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
Econometric Theory | 2012-03-29 | Paper |
Predictive Inference for Integrated Volatility
Journal of the American Statistical Association | 2012-03-22 | Paper |
Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
Econometric Reviews | 2010-12-15 | Paper |
Chapter 14 A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects
Nonlinear Time Series Analysis of Business Cycles | 2007-07-23 | Paper |
Temporal aggregation and spurious instantaneous causality in multiple time series models
Journal of Time Series Analysis | 2007-05-29 | Paper |
Consistent Estimation with a Large Number of Weak Instruments
Econometrica | 2006-10-24 | Paper |
A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
Econometric Theory | 2006-03-08 | Paper |
Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
A consistent test for nonlinear out of sample predictive accuracy.
Journal of Econometrics | 2003-02-17 | Paper |
Out-of-sample tests for Granger causality
Macroeconomic Dynamics | 2002-07-02 | Paper |
The econometric consequences of the ceteris paribus condition in economic theory
Journal of Econometrics | 2001-09-17 | Paper |
A new definition for time-dependent price mean reversion in commodity markets
Economics Letters | 2001-08-20 | Paper |
TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION
Macroeconomic Dynamics | 2001-06-11 | Paper |
Predictive ability with cointegrated variables
Journal of Econometrics | 2001-01-01 | Paper |
Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
Journal of Econometrics | 2000-01-01 | Paper |
Finite sample properties of a simple LM test for neglected nonlinearity in error‐correcting regression equations
Statistica Neerlandica | 1999-10-05 | Paper |
An introduction to stochastic unit-root processes
Journal of Econometrics | 1998-05-03 | Paper |
Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
| 1997-11-18 | Paper |
