Refereed Publications

  1. Estimating State Price Densities Implied by American Options, (with Guang Zhang), 2025, forthcoming, Journal of Business and Economic Statistics. [Working paper] [R code for replication.]

  2. QR.break: An R Package for Structural Breaks in Quantile Regression, (with Samuel Messer and Tatsushi Oka), 2025, forthcoming, Journal of Econometric Methods, [R package QR.break is available on CRAN. Find it here.]

  3. QTE.RD: An R Package for Quantile Treatment Effects in Regression-Discontinuity Designs with/without Covariates, (with Jungmo Yoon), 2024, forthcoming at the R Journal.  [R package QTE.RD is available on CRAN. Find it here. ]

  4. Inference on Conditional Quantile Processes in Partially Linear Models with Applications to the Impact of Unemployment Benefits, (with Jungmo Yoon and Pierre Perron), 106(2024), 521-541, Review of Economics and Statistics. [Working paper.] [R code for replication.]

  5. Using Arbitrary Precision Arithmetic to Sharpen Identification Analysis for DSGE Models, (with Denis Tkachenko), Journal of Applied Econometrics, 38 (2023), 451-667. [Open access.] [Matlab code for replication.]

  6. Sieve Estimation of Option-Implied State Price Density, (with Junwen Lu), Journal of Econometrics (Annals Issue: PI Day), 224 (2021), 88-112. [Working paper.] [R code for implementing the proposed methods.]

  7. Likelihood Ratio Based Tests for Markov Regime Switching, (with Fan Zhuo), Review of Economic Studies 88 (2021), 937-968. [Working paper.] [Matlab code for implementing the proposed methods.] [Matlab code for replication.]

  8. Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs, (with Jungmo Yoon), Journal of Business and Economic Statistics 37 (2019), 625-647. [Working paper.] [R code for replication.]

  9. A Composite Likelihood Framework for Analyzing Singular DSGE Models, Review of Economics and Statistics 100 (2018), 916-932. [Working paper.] [Matlab code for replication.]

  10. Global Identification in DSGE Models Allowing for Indeterminacy, (with Denis Tkachenko) Review of Economic Studies 84 (2017), 1306–1345. [Working paper.] [Online appendix.] [Matlab code for replication.]

  11. Nonparametric Estimation and Inference on Conditional Quantile Processes, (with Jungmo Yoon), Journal of Econometrics, 185 (2015), 1-19. [Working paper.]

  12. M Tests with a New Normalization Matrix, (with Yi-Ting Chen), Econometric Reviews, 34 (2015), 617-652. [Working paper.]

  13. Inference in DSGE Models with Possible Weak Identification, Quantitative Economics, 5 (2014), 457-494. [Working paper.]

  14. 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. [Working paper.]

  15. 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. [Working paper.] [Matlab code for replication.]

  16. 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.] [Working paper.] [Matlab code for replication.][Dynare implementation: see p.120 of the linked document.]

  17. Estimating Structural Changes in Regression Quantiles, (with Tatsushi Oka), Journal of Econometrics, 162 (2011), 248-267. [Working paper.] [R code for applying the methods.]

  18. A Test Against Spurious Long Memory, Journal of Business and Economic Statistics. 29 (2011), 423-438. Working paper. [Working paper.] [R code for applying the methods.]

  19. 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. [R code for replication.]

  20. Testing for Structural Change in Regression Quantiles, Journal of Econometrics, 148 (2008), 170-184. [R code for applying the methods.]

  21. Searching for Cointegration in a Dynamic System, Econometrics Journal, 10 (2007), 580–604. (Reprinted in VIRTUAL ISSUE: Celebrating 10 years of The Econometrics Journal.) [Gauss Code 1 and Gauss Code 2 for applying the proposed methods.]

  22. 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.) [Matlab Code for implementing the proposed methods.] [Gauss Code for implementing the proposed methods.] [Eviews Add-in.]

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

  24. 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.

  25. Estimating Restricted Structural Change Models, (with Pierre Perron), Journal of Econometrics, 134 (2006), 373-399. [Gauss Code for implementing the proposed methods.]

Other Publications

  1. Introduction to the Themed Issue: Macroeconometrics, Journal of Econometrics, 244 (2024), 105870.

  2. Introduction to Annals Issue: PI-Day, (with Serena Ng and Timothy Vogelsang), Journal of Econometrics, 224 (2021), 1-2.