Co-author Network
Co-researcher Network
sample of publications
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articles
- Identification and estimation of structural VARMA models using higher order dynamics. JOURNAL OF BUSINESS & ECONOMIC STATISTICS. 41:819-832. 2023
- Estimation of time series models using residuals dependence measures. ANNALS OF STATISTICS. 50:3039-3063. 2022
- Single step estimation of ARMA roots for nonfundamental nonstationary fractional models. Econometrics Journal. 25:455-476. 2022
- LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series. JOURNAL OF BUSINESS & ECONOMIC STATISTICS. 40:629-650. 2021
- Estimation for Dynamic Panel Data with Individual Effects. ECONOMETRIC THEORY. 36:185-222. 2020
- Recursive lower and dual upper bounds for Bermudan-style options. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH. 280:730-740. 2020
- Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects. JOURNAL OF TIME SERIES ANALYSIS. 40:573-589. 2019
- Inference on trending panel data. Journal of Econometrics. 206:282-304. 2018
- The optimal method for pricing Bermudan options by simulation. MATHEMATICAL FINANCE. 28:1-38. 2018
- Frequency Domain Minimum Distance Inference For Possibly Noninvertible And Noncausal Arma Models.. ANNALS OF STATISTICS. 46:555-579. 2018
- Efficiency improvements for minimum distance estimation of causal and invertible ARMA models. ECONOMICS LETTERS. 162:150-152. 2018
- Delayed Overshooting: Is It an '80s Puzzle?. JOURNAL OF POLITICAL ECONOMY. 125:1570-1598. 2017
- New goodness-of-fit diagnostics for conditional discrete response models. Journal of Econometrics. 200:135-149. 2017
- Do foreign exchange return regressions convey useful information on return predictability?. Revista de Economia Aplicada (Revista de Economia Aplicada). 25:5-19. 2017
- Estimation of fractionally integrated panels with fixed effects and cross-section dependence. Journal of Econometrics. 196:248-258. 2017
- Lecture attendance, study Time, and academic performance: a panel data study. JOURNAL OF ECONOMIC EDUCATION. 46:239-259. 2015
- Efficient inference on fractionally integrated panel data models with fixed effects. Journal of Econometrics. 185:435-452. 2015
- A joint portmanteau test for conditional mean and variance time-series models. JOURNAL OF TIME SERIES ANALYSIS. 36:39-60. 2015
- Fractional cointegration rank estimation. JOURNAL OF BUSINESS & ECONOMIC STATISTICS. 33:241-254. 2014
- Comments on: Model-free model-fitting and predictive distributions. TEST. 22:237-239. 2013
- Tests for m-dependence based on Sample Splitting Methods. Journal of Econometrics. 173:143-159. 2013
- On the properties of regression tests of stock return predictability using dividend-price ratios. Journal of Financial Econometrics. 12:151-173. 2013
- An asymptotically pivotal transform of the residuals sample autocorrelations with application to model checking. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION. 106:946-958. 2012
- Comments on: Subsampling weakly dependent time series and application to extremes. TEST. 20:480-482. 2011
- Bootstrap assisted specification tests for the Arfima Model. ECONOMETRIC THEORY. 27:1083-1116. 2011
- Specification Tests of Parametric Dynamic Conditional Quantiles. Journal of Econometrics. 159:209-221. 2010
- Distribution-Free Tests for Time Series Models Specification. Journal of Econometrics. 155:128-137. 2010
- Comments on: A Review on Empirical Likelihood Methods for Regression. TEST. 18:455-457. 2009
- A Wald Test for the Cointegrating Rank in Nonstationary Fractional Systems. Journal of Econometrics. 151:178-189. 2009
- Distribution-free specification tests for dynamic linear models. Econometrics Journal. 12:105-134. 2009
- Fractional Cointegration in the Presence of Linear Trends. JOURNAL OF TIME SERIES ANALYSIS. 29:1088-1103. 2008
- Distribution-Free Tests of Fractional Cointegration. ECONOMETRIC THEORY. 24:216-255. 2008
- Power Comparison Among Tests for Fractional Unit Roots. ECONOMICS LETTERS. 99:152-154. 2008
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book chapters
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conference contributions
- Identification of possibly nonfundamental Structural VARMA models using higher order moments. 1-58. 2019
- Persistence heterogeneity testing in panels with interactive fixed effects 2018
- New goodness‐of‐fit diagnostics for conditional discrete response models 2017
- Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models 2016
- Inference on trending panel data 2016
- New goodness-of-fit diagnostics for conditional discrete response models: count variables 2016
- Bias-free estimation of fractional integrated panel data models 2015
- Frequency domain minimum distance estimation of possibly noninvertible and noncausal ARMA models 2015
- Frequency domain minimum distance estimation of possibly noninvertible and noncausal ARMA models 2015
- Variance ratio tests for panels with cross section dependence 2015
- A joint portmanteau test for conditional mean and variance timeseries models 2014
- Identification and Estimation of General ARMA models 2014
- Consistent and Efficient Estimation of Linear Time Series Models 2013
- Estimation of fractionally integrated panels with fixed effects and cross-section dependence 2013
- Fractional cointegration rank estimation 2013
- Identification and estimation of general ARMA models 2013
- Joint Portmanteau Test for Conditional Mean and Variance Time Series Models 2013
- A Wald Test for the Cointegration Rank in Nonstationary Fractional Cointegration 2008
- Revisiting the Tests of the Unbiased Hypothesis of Forward Exchange Rates 2008
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working papers