| Publication | Date of Publication | Type |
|---|
Conditional Stochastic Dominance Testing
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
A Gaussian process approach to model checks
The Annals of Statistics | 2025-01-03 | Paper |
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Semiparametric Estimation of Risk–Return Relationships
Journal of Business and Economic Statistics | 2024-10-09 | Paper |
Locally Robust Semiparametric Estimation
Econometrica | 2024-01-23 | Paper |
Irregular identification of structural models with nonparametric unobserved heterogeneity
Journal of Econometrics | 2023-04-14 | Paper |
A simple and robust estimator for linear regression models with strictly exogenous instruments
Econometrics Journal | 2022-08-02 | Paper |
A nonparametric distribution-free test for serial independence of errors
Econometric Reviews | 2022-06-03 | Paper |
A simple data-driven estimator for the semiparametric sample selection model
Econometric Reviews | 2022-06-03 | Paper |
SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION
Econometric Theory | 2022-04-22 | Paper |
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
Econometric Theory | 2021-11-25 | Paper |
A simple test for identification in GMM under conditional moment restrictions
Essays in Honor of Jerry Hausman | 2020-11-10 | Paper |
Two-step semiparametric empirical likelihood inference
The Annals of Statistics | 2020-05-05 | Paper |
Testing for fundamental vector moving average representations
Quantitative Economics | 2018-09-12 | Paper |
Identification and estimation of semiparametric two-step models
Quantitative Economics | 2018-09-12 | Paper |
Asymptotic distribution-free tests for semiparametric regressions with dependent data
The Annals of Statistics | 2018-06-29 | Paper |
On the Asymptotic Efficiency of Directional Models Checks for Regression
From Statistics to Mathematical Finance | 2018-03-29 | Paper |
Distribution-free tests of stochastic monotonicity
Journal of Econometrics | 2017-05-12 | Paper |
\(\sqrt{n}\)-uniformly consistent density estimation in nonparametric regression models
Journal of Econometrics | 2016-08-15 | Paper |
Specification tests of parametric dynamic conditional quantiles
Journal of Econometrics | 2016-08-04 | Paper |
Testing single-index restrictions with a focus on average derivatives
Journal of Econometrics | 2016-08-01 | Paper |
An automatic portmanteau test for serial correlation
Journal of Econometrics | 2016-07-18 | Paper |
Joint and marginal specification tests for conditional mean and variance models
Journal of Econometrics | 2016-06-06 | Paper |
Nonparametric tests for conditional symmetry in dynamic models
Journal of Econometrics | 2016-05-27 | Paper |
Generalized spectral tests for the martingale difference hypothesis
Journal of Econometrics | 2016-05-02 | Paper |
Distribution-free tests of conditional moment inequalities
Journal of Statistical Planning and Inference | 2016-03-08 | Paper |
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing
Journal of Econometrics | 2014-08-07 | Paper |
Nonparametric Distribution-Free Model Checks for Multivariate Dynamic Regressions
Contemporary Developments in Statistical Theory | 2014-07-02 | Paper |
Data-driven smooth tests for the martingale difference hypothesis
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
Backtesting Parametric Value-at-Risk With Estimation Risk
Journal of Business and Economic Statistics | 2010-10-11 | Paper |
Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
Econometric Theory | 2010-07-23 | Paper |
On the lack of power of omnibus specification tests
Econometric Theory | 2010-04-08 | Paper |
Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
Computational Statistics and Data Analysis | 2010-04-06 | Paper |
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
Econometric Theory | 2009-06-11 | Paper |
Testing the martingale difference hypothesis using integrated regression functions
Computational Statistics and Data Analysis | 2009-04-06 | Paper |
Model checks using residual marked empirical processes
| 2008-01-09 | Paper |
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
Journal of the American Statistical Association | 2007-08-20 | Paper |
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
Journal of Multivariate Analysis | 2007-07-19 | Paper |
A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
Econometric Theory | 2007-04-23 | Paper |
A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
Econometric Theory | 2006-11-03 | Paper |
