sample of publications

• 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

• 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

• 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

• 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