| Publication | Date of Publication | Type |
|---|
Bootstrapping smooth functions of slope parameters and innovation variances in \(\mathrm{VAR}(\infty)\) models
International Economic Review | 2026-02-04 | Paper |
Out-of-Sample Forecast Tests Robust to the Choice of Window Size
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Local projections in unstable environments
Journal of Econometrics | 2025-01-16 | Paper |
Confidence Intervals for Bias and Size Distortion in IV and Local Projections-IV Models
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Editorial for special issue in honor of Francis X. Diebold
Journal of Econometrics | 2022-12-14 | Paper |
Joint Bayesian inference about impulse responses in VAR models
Journal of Econometrics | 2022-12-14 | Paper |
INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
Econometric Theory | 2022-11-23 | Paper |
A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy
Quantitative Economics | 2022-03-24 | Paper |
The uniform validity of impulse response inference in autoregressions
Journal of Econometrics | 2020-05-21 | Paper |
Corrigendum to ``Inference on impulse response functions in structural VAR models''
Journal of Econometrics | 2019-04-30 | Paper |
Quasi-Bayesian model selection
Quantitative Economics | 2019-02-20 | Paper |
Frequentist inference in weakly identified dynamic stochastic general equilibrium models
Quantitative Economics | 2019-01-10 | Paper |
The continuity of the limit distribution in the parameter of interest is not essential for the validity of the bootstrap
Econometric Theory | 2018-12-21 | Paper |
Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability
Econometric Theory | 2018-12-21 | Paper |
Information criteria for impulse response function matching estimation of DSGE models
Journal of Econometrics | 2017-05-12 | Paper |
Impulse response matching estimators for DSGE models
Journal of Econometrics | 2016-11-17 | Paper |
Rolling window selection for out-of-sample forecasting with time-varying parameters
Journal of Econometrics | 2016-11-17 | Paper |
Testing for weak identification in possibly nonlinear models
Journal of Econometrics | 2016-08-10 | Paper |
Efficient estimation and inference in linear pseudo-panel data models
Journal of Econometrics | 2016-06-03 | Paper |
Corrigendum to: ``The large sample behaviour of the generalized method of moments estimator in misspecified models''
Journal of Econometrics | 2016-05-27 | Paper |
Joint confidence sets for structural impulse responses
Journal of Econometrics | 2016-05-10 | Paper |
Information in generalized method of moments estimation and entropy-based moment selection
Journal of Econometrics | 2016-05-09 | Paper |
On the selection of forecasting models
Journal of Econometrics | 2016-04-25 | Paper |
Bootstrapping GMM estimators for time series
Journal of Econometrics | 2016-04-25 | Paper |
Tests for parameter instability in dynamic factor models
Econometric Theory | 2015-11-20 | Paper |
Corrigendum to: ``Information criteria for impulse response function matching estimation of DSGE models''
Journal of Econometrics | 2014-08-07 | Paper |
Inference on impulse response functions in structural VAR models
Journal of Econometrics | 2014-04-30 | Paper |
How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
Journal of the American Statistical Association | 2009-06-12 | Paper |
Entropy-Based Moment Selection in the Presence of Weak Identification
Econometric Reviews | 2008-08-08 | Paper |
A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS
Econometric Theory | 2006-11-14 | Paper |
Bootstrapping Autoregressive Processes with Possible Unit Roots
Econometrica | 2006-06-16 | Paper |
A bootstrap approach to moment selection
Econometrics Journal | 2006-05-26 | Paper |
In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
Econometric Reviews | 2005-05-23 | Paper |
| scientific article; zbMATH DE number 2077155 (Why is no real title available?) | 2004-07-01 | Paper |
A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
Econometric Reviews | 2004-03-22 | Paper |
The large sample behaviour of the generalized method of moments estimator in misspecified models
Journal of Econometrics | 2003-06-09 | Paper |
Identifying the sign of the slope of a monotonic function via OLS.
Economics Letters | 2002-07-15 | Paper |
Testing for distributional change in time series
Econometric Theory | 2002-01-08 | Paper |
Long memory and regime switching
Journal of Econometrics | 2001-01-01 | Paper |
| scientific article; zbMATH DE number 1495498 (Why is no real title available?) | 2000-08-24 | Paper |
Tests of cointegrating rank with trend-break
Journal of Econometrics | 1999-01-01 | Paper |
