Research Papers









  1. Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs, (with Jungmo Yoon); forthcoming at Journal of Business and Economic Statistics. (R code)

  2. A Composite Likelihood Framework for Analyzing Singular DSGE Models, forthcoming at the Review of Economics and Statistics. (Matlab codes for replication)

  3. Global Identification in DSGE Models Allowing for Indeterminacy, (with Denis Tkachenko) Review of Economic Studies 84 (2017), 1306–1345. (appendix and code)

  4. Nonparametric Estimation and Inference on Conditional Quantile Processes , (with Jungmo Yoon) Journal of Econometrics, 185 (2015), 1-19.

  5. M Tests with a New Normalization Matrix, (with Yi-Ting Chen) Econometric Reviews, 34 (2015), 617-652 .

  6. Inference in DSGE Models with Possible Weak Identification, Quantitative Economics, 5 (2014), 457-494.

  7. 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.

  8. 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.)

  9. 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.)

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

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

  12. 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

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

  14. 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.)

  15. 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.)

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

  17. 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.

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



Working Papers

Inference on Quantile Processes in Partially Linear Models, (with Jungmo Yoon), August 2017.

Using Arbitrary Precision Arithmetic to Sharpen Identification Analysis for DSGE Models, (with Denis Tkachenko), June 2018.

"Likelihood Ratio Based Tests for Markov Regime Switching," (with Fan Zhuo); February 9, 2017; revision requested by the Review of Economic Studies.

Work in progress

"Sieve Estimation of Options Implied State Price Density" (with Junwen Lu).

"Modeling Markov Regime Switching in High Dimensional Data" (with Anlong Qin)