Co-author Network
Co-researcher Network
sample of publications
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articles
- The case for CASE: Estimating heterogeneous systemic effects. Journal of Banking and Finance. 157. 2023
- Regression discontinuity design with multivalued treatments. JOURNAL OF APPLIED ECONOMETRICS. 38:799-985. 2023
- Generalized band spectrum estimation with an application to the New Keynesian Phillips curve. JOURNAL OF APPLIED ECONOMETRICS. 37:1055-1078. 2022
- Locally Robust Semiparametric Estimation. ECONOMETRICA. 90:1501-1535. 2022
- Irregular identification of structural models with nonparametric unobserved heterogeneity. Journal of Econometrics. 1-22. 2022
- IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT. ECONOMETRIC THEORY. 37:464-494. 2021
- Semiparametric identification and fisher information. ECONOMETRIC THEORY. 1-38. 2021
- Optimal linear instrumental variables approximations. Journal of Econometrics. 221:223-246. 2021
- Nonparametric Euler Equation Identification and Estimation. ECONOMETRIC THEORY. 37:851-891. 2020
- Two-step semiparametric empirical likelihood inference. ANNALS OF STATISTICS. 48:1-26. 2020
- Measuring asset market linkages: nonlinear dependence and tail risk. JOURNAL OF BUSINESS & ECONOMIC STATISTICS. 39:453-465. 2019
- Quantile-Regression Inference With Adaptive Control of Size. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION. 114:1382-1393. 2019
- Asymptotic distribution-free tests for semiparametric regressions with dependent data. ANNALS OF STATISTICS. 43:1167-1196. 2018
- A simple and robust estimator for linear regression models with strictly exogenous instruments. Econometrics Journal. 21:36-54. 2018
- Testing for fundamental vector moving average representations. Quantitative Economics. 8:149-180. 2017
- Automatic Portmanteau Tests with Applications to Market Risk Management. Stata Journal. 17:901-915. 2017
- Semiparametric estimation of risk-return relationships. JOURNAL OF BUSINESS & ECONOMIC STATISTICS. 35:40-52. 2017
- A simple data-driven estimator for the semiparametric sample selection model. Econometric Reviews. 34:733-761. 2016
- Identification and estimation of semiparametric two-step models. Quantitative Economics. 7:561-589. 2016
- Distribution-free tests of conditional moment inequalities. Journal of Statistical Planning and Inference. 173:99-108. 2016
- Backtesting expected shortfall: accounting for tail risk. MANAGEMENT SCIENCE. 63:940-958. 2016
- A Nonparametric Distribution-Free Test for Serial Independence of Errors. Econometric Reviews. 34:1010-1033. 2014
- Specification analysis of linear quantile models. Journal of Econometrics. 178:495-507. 2014
- Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing. Journal of Econometrics. 178:426-443. 2014
- Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models. JOURNAL OF BUSINESS & ECONOMIC STATISTICS. 31:426-437. 2013
- A simple test for identification in GMM under conditional moment restrictions. Advances in Econometrics (Advances in Econometrics). 29:455-477. 2012
- Distribution-free tests of stochastic monotonicity. Journal of Econometrics. 170:68-75. 2012
- Pitfalls in backtesting historical simulation VaR models. JOURNAL OF BANKING & FINANCE. 36:2233-2244. 2012
- Specification Tests of Parametric Dynamic Conditional Quantiles. Journal of Econometrics. 159:209-221. 2010
- Data-Driven Smooth Tests for the Martingale Difference Hypothesis. COMPUTATIONAL STATISTICS & DATA ANALYSIS. 54:1983-1998. 2010
- Approximating the critical values of Cram¿-von Mises tests in general parametric conditional specifications. Computational Statistics and Data Analysis. 54. 2010
- Asymptotic distribution-free diagnostic tests for heteroskedastic time series models. ECONOMETRIC THEORY. 26. 2010
- Backtesting parametric value-at-risk with estimation risk. Journal of Business and Economic Statistics. 28. 2010
- Testing single-index restrictions with a focus on average derivatives. Journal of Econometrics. 156. 2010
- An automatic Portmanteau test for serial correlation. Journal of Econometrics. 151. 2009
- On the lack of power of omnibus specification tests. ECONOMETRIC THEORY. 25. 2009
- Quasi-maximum likelihood estimation of semi-strong garch models. ECONOMETRIC THEORY. 25. 2009
- Joint and marginal specification tests for conditional mean and variance models. Journal of Econometrics. 143. 2008
- Semiparametric estimation of dynamic conditional expected shortfall models. International Journal of Monetary Economics and Finance. 1. 2008
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book chapters
- On the asymptotic efficiency of directional model checks for regression. In: From Statistics to Mathematical Finance: Festscrift in Honour of Winfried Stute. SPRINGER NATURE LIMITED. 71-87. 2017
- Nonparametric distribution-free model checks for multivariate dynamic regressions. In: Contemporary Developments in Statistical Theory. A Festschrift for Hira Lal Koul. SPRINGER. 91-117. 2014
- Econometrics: Nonlinear Cointegration. In: Encyclopedia of Complexity and Systems Science. SPRINGER. 2757-2769. 2009
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conference contributions
- Optimal Linear Instrumental Variables Approximations. 1-37. 2020
- Locally robust semiparametric estimation 2019
- Measuring asset market linkages: nonlinear dependence and tail risk 2019
- Robust model checks with high-dimensional covariates 2019
- A simple test for identification in GMM under conditional moment restrictions 2012
- n-square uniformly consistent density estimation in nonparametric regression models 2012
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working papers
- Locally Robust Semiparametric Estimation 2020
- Regression Discontinuity Design with Multivalued Treatments 2020
- Estimation of split points in misspecified decision trees 2020
- Irregular identification of structural models with nonparametric unobserved heterogeneity 2020
- Semiparametric Identification and Fisher Information 2018
- Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve 2017
- Conditional stochastic dominance testing 2012
- Testing Conditional Monotonicity in the Absence of Smoothness 2010