Research Papers









  1. Nonparametric Estimation and Inference on Conditional Quantile Processes , (with Jungmo Yoon) October 2014, forthcoming in Journal of Econometrics.
  2. Inference in DSGE Models with Possible Weak Identification, Quantitative Economics, 5 (2014), 457-494.

  3. M Tests with a New Normalization Matrix, (with Yi-Ting Chen) September 2012, forthcoming in Econometric Reviews.

  4. A Stochastic Volatility Model with Random Level Shifts and its Applications to S&P 500 and Nasdaq Indices, (with Pierre Perron), Econometrics Journal, 16(2013), 309-339.

  5. Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007) (with Denis Tkachenko), Advances in Econometrics (Volume 28): DSGE Models in Macroeconomics – Estimation, Evaluation and New Developments, 2012, 319-385. (The linked working paper is up to date.)

  6. Identification and Frequency Domain Quasi-maximum Likelihood Estimation of Linearized Dynamic Stochastic General Equilibrium Models, (with Denis Tkachenko), Quantitative Economics, 3(2012), 95-132. Update.
    (A working paper version with complete proofs.)

  7. Estimating Structural Changes in Regression Quantiles, (with Tatsushi Oka), Journal of Econometrics, 162 (2011), 248-267.

  8. A Test Against Spurious Long Memory, Journal of Business and Economic Statistics. 29 (2011), 423-438.
    (A working paper version with complete proofs.)

  9. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices, (with Pierre Perron), Journal of Business and Economic Statistics 28 (2010), 275-290.
    (Replication files

  10. Testing for Structural Change in Regression Quantiles, Journal of Econometrics, 148 (2008), 170-184.

  11. Searching for Cointegration in a Dynamic System, Econometrics Journal, 10 (2007), 580–604.
    (Reprinted in VIRTUAL ISSUE: Celebrating 10 years of The Econometrics Journal. Link.)

  12. Estimating and Testing Structural Changes in Multivariate Regressions, (with Pierre Perron), Econometrica, 75 (2007), 459-502.
    (Supplementary material available on the Econometrica website at this Link.)

  13. A Modified Information Criterion for Cointegration Tests based on a VAR Approximation, (with Pierre Perron), Econometric Theory, 23 (2007), 638-685.

  14. A Simple Modification to Improve the Finite Sample Properties of Ng and Perron's Unit Root Tests, (with Pierre Perron), Economics Letters, 94 (2007), 12-19.

  15. Estimating Restricted Structural Change Models, (with Pierre Perron), Journal of Econometrics, 134 (2006), 373-399.


Working Papers

Local and Global Parameter Identification in DSGE Models Allowing for Indeterminacy, (with Denis Tkachenko) December 2012; This version: July 31, 2014.