| Publication | Date of Publication | Type |
|---|
HAC Corrections for Strongly Autocorrelated Time Series
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Rejoinder
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Comment on "HAR Inference: Recommendations for Practice" by E. Lazarus, D. J. Lewis, J. H. Stock and M. W. Watson
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
Spatial correlation robust inference
Econometrica | 2024-05-13 | Paper |
Spatial Correlation Robust Inference in Linear Regression and Panel Models
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
Generalized local-to-unity models
Econometrica | 2022-01-06 | Paper |
Linear regression with many controls of limited explanatory power
Quantitative Economics | 2021-11-11 | Paper |
Refining the central limit theorem approximation via extreme value theory
Statistics & Probability Letters | 2019-09-25 | Paper |
Nearly weighted risk minimal unbiased estimation
Journal of Econometrics | 2019-04-30 | Paper |
Long-run covariability
Econometrica | 2019-03-29 | Paper |
Credibility of confidence sets in nonstandard econometric problems
Econometrica | 2019-01-31 | Paper |
Nearly optimal tests when a nuisance parameter is present under the null hypothesis
Econometrica | 2019-01-30 | Paper |
Measuring uncertainty about long-run predictions
Review of Economic Studies | 2019-01-23 | Paper |
Minimizing the impact of the initial condition on testing for unit roots
Journal of Econometrics | 2016-06-10 | Paper |
Confidence sets for the date of a single break in linear time series regressions
Journal of Econometrics | 2016-05-27 | Paper |
A theory of robust long-run variance estimation
Journal of Econometrics | 2016-05-27 | Paper |
Size and power of tests of stationarity in highly autocorrelated time series
Journal of Econometrics | 2016-04-01 | Paper |
Pre and post break parameter inference
Journal of Econometrics | 2014-06-04 | Paper |
Low-frequency robust cointegration testing
Journal of Econometrics | 2014-03-18 | Paper |
Risk of Bayesian inference in misspecified models, and the sandwich covariance matrix
Econometrica | 2014-01-07 | Paper |
Efficient tests under a weak convergence assumption
Econometrica | 2011-04-27 | Paper |
Efficient estimation of the parameter path in unstable time series models
Review of Economic Studies | 2011-01-05 | Paper |
t-Statistic Based Correlation and Heterogeneity Robust Inference
Journal of Business and Economic Statistics | 2010-12-30 | Paper |
COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor
Econometric Theory | 2009-09-30 | Paper |
THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
Econometric Theory | 2009-06-11 | Paper |
Valid Inference in Partially Unstable Generalized Method of Moments Models
Review of Economic Studies | 2009-02-10 | Paper |
Testing Models of Low-Frequency Variability
Econometrica | 2008-11-14 | Paper |
Efficient Tests for General Persistent Time Variation in Regression Coefficients
Review of Economic Studies | 2007-02-12 | Paper |
Tests for Unit Roots and the Initial Condition
Econometrica | 2006-06-19 | Paper |
