Publications

  1. 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.]

  2. Inference on Conditional Quantile Processes in Partially Linear Models with Applications to the Impact of Unemployment Benefits, (with Jungmo Yoon and Pierre Perron), 2022, forthcoming in the Review of Economics and Statistics. [Working paper.] [R code for replication.]

  3. 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.]

  4. 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.]

  5. 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.]

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

  7. 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.]

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

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

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

  11. 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.]

  12. 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.]

  13. 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.]

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

  15. 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.]

  16. 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.]

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

  18. 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.]

  19. 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.]

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

  21. 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.

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