| Publication | Date of Publication | Type |
|---|
Deep learning based residuals in non-linear factor models: precision matrix estimation of returns with low signal-to-noise ratio
Journal of Econometrics | 2025-09-12 | Paper |
Adaptive Elastic Net for Generalized Methods of Moments
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
A Nodewise Regression Approach to Estimating Large Portfolios
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models
Journal of Business and Economic Statistics | 2024-10-09 | Paper |
Generalized linear models with structured sparsity estimators
Journal of Econometrics | 2023-09-28 | Paper |
Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models
Journal of Econometrics | 2023-06-29 | Paper |
Determining the number of factors with potentially strong within-block correlations in error terms
Econometric Reviews | 2022-06-08 | Paper |
Oracle inequalities for convex loss functions with nonlinear targets
Econometric Reviews | 2022-06-07 | Paper |
Oracle inequalities for convex loss functions with nonlinear targets
Econometric Reviews | 2022-06-07 | Paper |
Moment and IV selection approaches: a comparative simulation study
Econometric Reviews | 2022-06-07 | Paper |
An upper bound for functions of estimators in high dimensions
Econometric Reviews | 2022-03-04 | Paper |
Inference in partially identified models with many moment inequalities using Lasso
Journal of Statistical Planning and Inference | 2020-02-28 | Paper |
| High Dimensional Linear GMM | 2018-11-21 | Paper |
Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
Journal of Econometrics | 2018-03-22 | Paper |
Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
Journal of Econometrics | 2018-03-22 | Paper |
CUE with many weak instruments and nearly singular design
Journal of Econometrics | 2017-05-12 | Paper |
| Delta Theorem in the Age of High Dimensions | 2017-01-20 | Paper |
| A Nodewise Regression Approach to Estimating Large Portfolios | 2016-11-22 | Paper |
The validity of instruments revisited
Journal of Econometrics | 2016-08-15 | Paper |
Nearly-singular design in GMM and generalized empirical likelihood estimators
Journal of Econometrics | 2016-06-13 | Paper |
Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
Journal of Econometrics | 2016-05-02 | Paper |
Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
Journal of Econometrics | 2015-09-01 | Paper |
Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
Journal of Econometrics | 2014-08-06 | Paper |
Are ``nearly exogenous instruments reliable?
Economics Letters | 2013-01-29 | Paper |
An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
Journal of Statistical Planning and Inference | 2013-01-25 | Paper |
PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
Econometric Theory | 2011-04-27 | Paper |
Testing, Estimation in GMM and CUE with Nearly-Weak Identification
Econometric Reviews | 2010-05-26 | Paper |
LASSO-TYPE GMM ESTIMATOR
Econometric Theory | 2010-04-08 | Paper |
M-estimators with non-standard rates of convergence and weakly dependent data
Journal of Statistical Planning and Inference | 2006-05-29 | Paper |
Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
Econometric Theory | 2005-10-18 | Paper |
A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
Econometric Theory | 2003-05-18 | Paper |
Threshold Autoregression with a Unit Root
Econometrica | 2002-05-28 | Paper |
Tests for cointegration with infinite variance errors
Journal of Econometrics | 1998-01-01 | Paper |
