Publications
Estimation and Inference in a Possibly Multicointegrated System with a Fixed Number of Instruments
Economics Letters, Accepted, 2025
Identification and Estimation of Unconditional Policy Effects of an Endogenous Binary Treatment: an Unconditional MTE Approach
Journal of Econometrics, Volume 244, Issue 1, August 2024, 105858
Unconditional effects of general policy interventions
Journal of Econometrics, Volume 238, Issue 2, January 2024, 105570
Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span
Journal of Econometrics, Volume 235, Issue 2, August 2023, Pages 1281-1309
The Statistics of Time-Varying Cross-Sectional Information Coefficients
Journal of Asset Management, 2023, 24, pages 1-15
Some Extensions of Asymptotic F and t Theory in Nonstationary Regressions
Published in: Essays in Honor of Joon Y. Park: Econometric Theory
Advances in Econometrics, Volume 45, Part A, 2023
An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation
Econometric Reviews, 2022, 41:2, 177-206
Testing-optimal Kernel Choice in HAR Inference
Journal of Econometrics, Volume 219, Issue 1, 2020, Pages 123-136
A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models with Uncorrelated Innovations
Journal of Business & Economic Statistics, 2022, 40:2, pages 505-521
Asymptotic F Tests under Possibly Weak Identification
Final version: Download
Journal of Econometrics, Volume 218(1), 2020, Pages 140-177
An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence
Journal of Time Series Analysis, Volume 41, Issue 4, July 2020, Pages 536-550
Simple and Trustworthy Asymptotic t Tests in Difference-in-Differences Regressions (2017)
New version (2018): Download
Journal of Econometrics, Volume 210, Issue 2, June 2019, Pages 327-362
Heteroscedasticity and Autocorrelation Robust F and t Tests in Stata
The Stata Journal, 18(4), 2018, pages 951-980
Testing for Moderate Explosiveness in the Presence of Drift
Supplement: Download
The Econometric Journal, Volume 22, Issue 1, January 2019, Pages 73-94
Comments on "HAR Inference: Recommendations for Practice"
Journal of Business & Economics Statistics, 36(4), 2018, pp 565-568
Should We Go One Step Further? An Accurate Comparison of One-step and Two-step Procedures in a Generalized Method of Moments Framework
Journal of Econometrics, Volume 207, Issue 2, December 2018, Pages 381-405
Simple, Robust and Accurate F and t Tests in Cointegrated Systems
Econometric Theory, 34, October 2018, 949-984
Asymptotic F and t Tests in an Efficient GMM Setting
Journal of Econometrics, 198(2), 2017, 277-295
A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data
Journal of Econometrics, Volume 197, Issue 2, 2017, 298-322
Smoothed Estimating Equations for Instrumental Variables Quantile Regression
With David Kaplan. Codes available at David Kaplan's webpage
Econometric Theory, 33(1), 2017, 106-157
Bootstrap and k-step Bootstrap Bias Corrections for the Fixed Effects Estimator in Nonlinear Panel Data Models
Econometric Theory, 32(6), 2016, 1523-1568
A Flexible Nonparametric Test for Conditional Independence
Econometric Theory, 32(6), 2016, 1434-1482
Asymptotic F Test in a GMM Framework with Cross Sectional Dependence
Review of Economics and Statistics, 97(1), 2015, pp. 210-223
Comment on "HAC Corrections for Strongly Autocorrelated Time Series"
Journal of Business & Economics Statistics, 32(3), 2014, 330-334
Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation
Advances in Econometrics, 33, 2014, pp. 23-63, Essays in Honor of Peter C.B. Phillips
Fixed-smoothing Asymptotics in a Two-step GMM Framework
Econometrica, 82(6), 2014, pp. 2327-2370
Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference
Journal of Econometrics, Volume 178(3), 2014, pp. 659-677
Sieve Inference on Possibly Misspecified Semi-nonparametric Time Series Models
Journal of Econometrics, Volume 178(3), 2014, pp. 639-658
Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects
Journal of Econometrics, Volume 177(1), 2013, pp. 85-108
Heteroscedasticity and Autocorrelation Robust F Test Using Orthonormal Series Variance Estimator
The Econometrics Journal, 16, 2013, pp. 1-26
Simple and Powerful GMM Over-identification Tests with Accurate Size
Journal of Econometrics, Volume 166(2), 2012, pp. 267-281
Robust Trend Inference with Series Variance Estimator and Testing-optimal Smoothing Parameter
Journal of Econometrics, Volume 164(2), 2011, pp. 345-366
Asymptotic Distributions of Impulse Response Functions in Short Panel Vector Autoregressions
Journal of Econometrics, Volume 163(2), 2011, pp. 127-143
Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix
Journal of Econometrics, Volume 160(2), 2011, pp. 349-371
Power Maximization and Size Control in Heteroscedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
Econometric Theory, Volume 27(6), 2011, pp. 1320-1368
Optimal Bandwidth Selection in Heteroscedasticity-Autocorrelation Robust Testing
Short Version | Supplement to the Short Version (The short version contains errata)
Econometrica, Vol. 76(1), 2008, pp. 175-194
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
Journal of Statistical Planning and Inference, Vol. 137, 2007, pp. 985-1023
The Tobit Model with a Nonzero Threshold
The Econometrics Journal, Vol. 10, 2007, pp. 488-502
Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation
With Patrik Guggenberger
Econometric Theory, Vol. 22, 2006, pp. 863-912
A New Approach to Heteroskedasticity and Autocorrelation Robust Inference in Cointegration
Economics Letters, Vol. 91, 2006, pp. 300-306
Spurious Regressions Between Stationary Generalized Long Memory Processes
Economics Letters, Vol. 90, 2006, pp. 446-454
Spectral Density Estimation and Robust Hypothesis Testing using Steep Origin Kernels without Truncation
International Economic Review, Vol. 47, 2006, pp. 837-894
Estimation of the Long-run Average Relationship in Nonstationary Panel Time Series
First Version (March 2003) | Revised Version (Sept 2003)
Econometric Theory, Vol. 20, 2004, pp. 1227-1260
A Convergent t-statistic in Spurious Regressions
Econometric Theory, Vol. 20, 2004, pp. 943-962
Understanding the Fisher Equation
Journal of Applied Econometrics, Vol. 19, 2004, pp. 869-886
Adaptive Local Polynomial Whittle Estimation of Long Range Dependence
Econometrica, Vol. 72(2), 2004, pp. 569-614
Nonlinear Log-Periodogram Regression Estimation of Long-Range Dependence for Perturbed Fractional Processes
Journal of Econometrics, Vol. 115(2), 2003, pp. 355-389
Regression with an Evaporating Logarithm Trend
Problem and Solutions, Econometric Theory, Vol. 18(3), 2002
Non-orthogonal Hilbert Projections in Trend Regression
Problem and Solutions, Econometric Theory, Vol. 17(4), 2001