| Publication | Date of Publication | Type |
|---|
Generalized Shrinkage Methods for Forecasting Using Many Predictors
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Comment
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
HAR Inference: Recommendations for Practice
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
HAR Inference: Recommendations for Practice Rejoinder
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
Is Newey-West optimal among first-order kernels?
Journal of Econometrics | 2024-03-21 | Paper |
The Size‐Power Tradeoff in HAR Inference
Econometrica | 2023-05-12 | Paper |
Inference in structural vector autoregressions identified with an external instrument
Journal of Econometrics | 2021-10-26 | Paper |
| Forecasting in dynamic factor models subject to structural instability | 2017-11-22 | Paper |
Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
Journal of Econometrics | 2016-06-22 | Paper |
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Journal of Econometrics | 2016-06-10 | Paper |
Performance of conditional Wald tests in IV regression with weak instruments
Journal of Econometrics | 2016-05-09 | Paper |
Testing with many weak instruments
Journal of Econometrics | 2016-05-04 | Paper |
Estimating turning points using large data sets
Journal of Econometrics | 2014-08-06 | Paper |
Consistent factor estimation in dynamic factor models with structural instability
Journal of Econometrics | 2014-06-06 | Paper |
Asymptotic properties of the Hahn-Hausman test for weak-instruments
Economics Letters | 2013-01-03 | Paper |
Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
Econometrica | 2008-03-19 | Paper |
| Inference with weak instruments | 2008-03-06 | Paper |
| scientific article; zbMATH DE number 5198649 (Why is no real title available?) | 2007-10-09 | Paper |
| Asymptotic distributions of instrumental variables statistics with many instruments | 2007-10-09 | Paper |
Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
Econometrica | 2006-11-30 | Paper |
Forecasting Using Principal Components From a Large Number of Predictors
Journal of the American Statistical Association | 2004-06-10 | Paper |
| scientific article; zbMATH DE number 1790588 (Why is no real title available?) | 2003-04-06 | Paper |
GMM with Weak Identification
Econometrica | 2002-05-28 | Paper |
Confidence intervals for autoregressive coefficients near one
Journal of Econometrics | 2001-07-29 | Paper |
Macro-econometrics
Journal of Econometrics | 2001-01-01 | Paper |
Testing For and Dating Common Breaks in Multivariate Time Series
Review of Economic Studies | 1999-04-19 | Paper |
| Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model | 1998-08-09 | Paper |
Efficient Tests for an Autoregressive Unit Root
Econometrica | 1998-06-08 | Paper |
Inference in a nearly integrated autoregressive model with nonnormal innovations
Journal of Econometrics | 1998-01-07 | Paper |
Instrumental Variables Regression with Weak Instruments
Econometrica | 1997-06-10 | Paper |
Deciding between I(1) and I(0)
Journal of Econometrics | 1995-06-18 | Paper |
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
Econometrica | 1994-11-30 | Paper |
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
Econometrica | 1993-07-01 | Paper |
Inference in Linear Time Series Models with some Unit Roots
Econometrica | 1990-01-01 | Paper |
Semiparametric Estimation of Index Coefficients
Econometrica | 1989-01-01 | Paper |
Estimating integrated higher-order continuous time autoregressions with an application to money-income causality
Journal of Econometrics | 1989-01-01 | Paper |
| Testing for Common Trends | 1988-01-01 | Paper |
Continuous time autoregressive models with common stochastic trends
Journal of Economic Dynamics and Control | 1988-01-01 | Paper |
The convergence of multivariate `unit root' distributions to their asymptotic limits. The case of money-income causality
Journal of Economic Dynamics and Control | 1988-01-01 | Paper |
Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
Econometrica | 1987-01-01 | Paper |
