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Publications

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

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

  3. 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.

  4. 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.)

  5. 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.)

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

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

  8. 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
    )

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

  10. 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.)

  11. 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.)

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

  13. 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.

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

 

Working Papers

Nonparametric Estimation and Inference on Conditional Quantile Processes , (with Jungmo Yoon) March 24, 2011; This version: January 31, 2014.

 

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