| Publication | Date of Publication | Type |
|---|
Comment
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Regression Kink With an Unknown Threshold
Journal of Business and Economic Statistics | 2024-10-09 | Paper |
A Modern Gauss–Markov Theorem
Econometrica | 2023-05-26 | Paper |
Econometrics
1510.62006 | 2022-06-21 | Paper |
| scientific article; zbMATH DE number 7546224 (Why is no real title available?) | 2022-06-21 | Paper |
Stein-like 2SLS estimator
Econometric Reviews | 2022-06-08 | Paper |
The risk of James-Stein and Lasso shrinkage
Econometric Reviews | 2022-06-07 | Paper |
Inference for iterated GMM under misspecification
Econometrica | 2021-11-18 | Paper |
Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk
Essays in Honor of Peter C. B. Phillips | 2020-11-10 | Paper |
| Weight choice by minimizing MSE for general likelihood averaging | 2020-07-08 | Paper |
Asymptotic theory for clustered samples
Journal of Econometrics | 2019-07-01 | Paper |
Model averaging, asymptotic risk, and regressor groups
Quantitative Economics | 2018-09-12 | Paper |
Jackknife model averaging
Journal of Econometrics | 2016-08-15 | Paper |
Averaging estimators for autoregressions with a near unit root
Journal of Econometrics | 2016-08-04 | Paper |
Least-squares forecast averaging
Journal of Econometrics | 2016-06-22 | Paper |
Interval forecasts and parameter uncertainty
Journal of Econometrics | 2016-06-10 | Paper |
Minimum mean squared error model averaging in likelihood models
Statistica Sinica | 2016-03-30 | Paper |
Efficient shrinkage in parametric models
Journal of Econometrics | 2015-12-02 | Paper |
Shrinkage efficiency bounds
Econometric Theory | 2015-11-03 | Paper |
Forecasting with factor-augmented regression: a frequentist model averaging approach
Journal of Econometrics | 2015-08-31 | Paper |
The integrated mean squared error of series regression and a Rosenthal Hilbert-space inequality
Econometric Theory | 2015-04-24 | Paper |
Discussion of ``Feature matching in time series modeling by Y. Xia and H. Tong
Statistical Science | 2011-08-19 | Paper |
Averaging estimators for regressions with a possible structural break
Econometric Theory | 2009-12-15 | Paper |
UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
Econometric Theory | 2009-06-11 | Paper |
Least Squares Model Averaging
Econometrica | 2008-02-11 | Paper |
EXACT MEAN INTEGRATED SQUARED ERROR OF HIGHER ORDER KERNEL ESTIMATORS
Econometric Theory | 2006-03-22 | Paper |
Inference in TAR Models
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
Econometric Theory | 2005-10-18 | Paper |
CHALLENGES FOR ECONOMETRIC MODEL SELECTION
Econometric Theory | 2005-10-18 | Paper |
Recounts From Undervotes
Journal of the American Statistical Association | 2004-06-10 | Paper |
Testing for two-regime threshold cointegration in vector error-correction models.
Journal of Econometrics | 2003-02-17 | Paper |
Sample Splitting and Threshold Estimation
Econometrica | 2002-05-28 | Paper |
Threshold Autoregression with a Unit Root
Econometrica | 2002-05-28 | Paper |
Discussion of ‘Data mining reconsidered’
Econometrics Journal | 2000-10-26 | Paper |
Testing for structural change in conditional models
Journal of Econometrics | 2000-09-13 | Paper |
Threshold effects in non-dynamic panels: Estimation, testing, and inference
Journal of Econometrics | 2000-08-13 | Paper |
Threshold effects in non-dynamic panels: Estimation, testing, and inference
Journal of Econometrics | 1999-12-01 | Paper |
Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
Econometrica | 1997-06-02 | Paper |
Residual-based tests for cointegration in models with regime shifts
Journal of Econometrics | 1996-04-08 | Paper |
Regression with Nonstationary Volatility
Econometrica | 1996-02-01 | Paper |
Autoregressive Conditional Density Estimation
International Economic Review | 1995-03-01 | Paper |
Heteroskedastic cointegration
Journal of Econometrics | 1993-02-04 | Paper |
Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
Econometrica | 1992-09-27 | Paper |
Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
Journal of Econometrics | 1992-09-27 | Paper |
GARCH (1,1) processes are near epoch dependent
Economics Letters | 1992-06-25 | Paper |
Statistical Inference in Instrumental Variables Regression with I(1) Processes
Review of Economic Studies | 1990-01-01 | Paper |
