| Publication | Date of Publication | Type |
|---|
Parameter Estimation Robust to Low-Frequency Contamination
Journal of Business and Economic Statistics | 2024-10-09 | Paper |
A smoothed \(p\)-value test when there is a nuisance parameter under the alternative
Journal of Statistical Planning and Inference | 2023-10-17 | Paper |
Stochastically weighted average conditional moment tests of functional form
Studies in Nonlinear Dynamics & Econometrics | 2023-03-13 | Paper |
| Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting | 2023-01-22 | Paper |
Consistent GMM residuals-based tests of functional form
Econometric Reviews | 2022-05-31 | Paper |
A max-correlation white noise test for weakly dependent time series
Econometric Theory | 2021-04-16 | Paper |
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
Journal of Econometrics | 2021-02-09 | Paper |
| Testing (Infinitely) Many Zero Restrictions | 2020-11-03 | Paper |
| Weak-Identification Robust Wild Bootstrap applied to a Consistent Model Specification Test | 2018-10-15 | Paper |
| Asymptotic Theory for the Maximum of an Increasing Sequence of Parametric Functions | 2017-07-09 | Paper |
Moment condition tests for heavy tailed time series
Journal of Econometrics | 2017-05-12 | Paper |
Moment condition tests for heavy tailed time series
Journal of Econometrics | 2017-05-12 | Paper |
Testing for Granger causality with mixed frequency data
Journal of Econometrics | 2016-03-01 | Paper |
Tail Index Estimation for a Filtered Dependent Time Series
STATISTICA SINICA | 2015-11-03 | Paper |
Robust estimation and inference for heavy tailed GARCH
Bernoulli | 2015-08-05 | Paper |
Robust estimation and inference for heavy tailed GARCH
Bernoulli | 2015-08-05 | Paper |
Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
Journal of Multivariate Analysis | 2015-02-20 | Paper |
Robust score and portmanteau tests of volatility spillover
Journal of Econometrics | 2014-11-24 | Paper |
Are there common values in first-price auctions? A tail-index nonparametric test
Journal of Econometrics | 2014-03-18 | Paper |
Least tail-trimmed squares for infinite variance autoregressions
Journal of Time Series Analysis | 2013-10-09 | Paper |
Tail and nontail memory with applications to extreme value and robust statistics
Econometric Theory | 2011-08-16 | Paper |
Extremal memory of stochastic volatility with an application to tail shape inference
Journal of Statistical Planning and Inference | 2010-11-19 | Paper |
ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
Econometric Theory | 2010-10-14 | Paper |
On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
Journal of Statistical Planning and Inference | 2009-04-08 | Paper |
Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
The Canadian Journal of Statistics | 2007-01-30 | Paper |
