| Publication | Date of Publication | Type |
|---|
Off-diagonal elements of projection matrices and dimension asymptotics
Economics Letters | 2024-08-28 | Paper |
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Studies in Nonlinear Dynamics & Econometrics | 2023-09-05 | Paper |
Testing many restrictions under heteroskedasticity
Journal of Econometrics | 2023-08-18 | Paper |
Copula shrinkage and portfolio allocation in ultra-high dimensions
Journal of Economic Dynamics and Control | 2022-11-17 | Paper |
Instrumental variables estimation and inference in the presence of many exogenous regressors
Econometrics Journal | 2022-07-26 | Paper |
Factor models with many assets: strong factors, weak factors, and the two-pass procedure
Journal of Econometrics | 2022-06-09 | Paper |
Multivariate return decomposition: theory and implications
Econometric Reviews | 2022-03-04 | Paper |
Modeling and forecasting realized covariance matrices with accounting for leverage
Econometric Reviews | 2022-02-24 | Paper |
A ridge to homogeneity for linear models
Journal of Statistical Computation and Simulation | 2022-02-23 | Paper |
Limit theorems for factor models
Econometric Theory | 2021-11-25 | Paper |
Mallows criterion for heteroskedastic linear regressions with many regressors
Economics Letters | 2021-06-30 | Paper |
Volatility filtering in estimation of kurtosis (and variance)
Dependence Modeling | 2020-01-13 | Paper |
Testing for a functional form of mean regression in a fully parametric environment
Journal of Econometric Methods | 2019-07-18 | Paper |
THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS
Econometric Theory | 2018-12-14 | Paper |
Almost unbiased variance estimation in linear regressions with many covariates
Economics Letters | 2018-10-05 | Paper |
Sequential testing with uniformly distributed size
Journal of Time Series Econometrics | 2018-09-04 | Paper |
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
Econometric Theory | 2017-08-22 | Paper |
Missing mean does no harm to volatility!
Economics Letters | 2017-06-09 | Paper |
Inference in regression models with many regressors
Journal of Econometrics | 2017-05-12 | Paper |
Inference in regression models with many regressors
Journal of Econometrics | 2017-05-12 | Paper |
An algorithm for constructing high dimensional distributions from distributions of lower dimension
Economics Letters | 2014-08-12 | Paper |
Method-of-moments estimation and choice of instruments: numerical computations
Economics Letters | 2013-01-29 | Paper |
Kernel estimation under linear-exponential loss
Economics Letters | 2013-01-07 | Paper |
Inference when a nuisance parameter is weakly identified under the null hypothesis
Economics Letters | 2013-01-01 | Paper |
Redundancy of lagged regressors revisited
Econometric Theory | 2012-05-14 | Paper |
Another numerical method of finding critical values for the Andrews stability test
Econometric Theory | 2012-03-29 | Paper |
| Methods for estimation in inference in modern econometrics. | 2011-05-19 | Paper |
Specification testing in models with many instruments
Econometric Theory | 2011-04-27 | Paper |
Modeling financial return dynamics via decomposition
Journal of Business and Economic Statistics | 2010-10-11 | Paper |
Multi-market direction-of-change modeling using dependence ratios
Studies in Nonlinear Dynamics & Econometrics | 2010-07-02 | Paper |
Tests in contingency tables as regression tests
Economics Letters | 2009-12-21 | Paper |
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
Econometric Reviews | 2009-08-28 | Paper |
Robustness of residual-based bootstrap to the composition of serially correlated errors
Journal of Statistical Computation and Simulation | 2009-06-29 | Paper |
GMM, GEL, Serial Correlation, and Asymptotic Bias
Econometrica | 2006-10-24 | Paper |
AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS
Econometric Theory | 2005-06-07 | Paper |
Nonparametric estimation of nonlinear rational expectation models
Economics Letters | 1999-03-02 | Paper |
