Documents de travail / Working Papers

Publications

Bootstrap inference under cross sectional dependence (with Tim Conley, Silvia Gonçalves, and Min Seong Kim), Quantitative Economics, 14:2, May 2023, 511-569.

Bootstrapping Factor Models with Cross-sectional Dependence (with Silvia Gonçalves), Journal of Econometrics, 218:2, October 2020, 476-495. Working paper version 

The Scale of Predictability (with Federico bandi, Andrea Tamoni, and Claudio Tebaldi), Journal of Econometrics, 208:1, 2019, 120-140.

Tests of Equal Accuracy for Nested Models with Estimated Factors (with Silvia Gonçalves and Michael McCracken), Journal of Econometrics, 198:2, 2017, 231-252. working paper version 

Bootstrap prediction intervals for factor models (with Silvia Gonçalves and Antoine Djogbenou), Journal of Business and Economics Statsitics, 35:1, 2017, 53-69.

Bootstrap inference in regressions with estimated factors and serial correlation (with Antoine Djogbenou and Silvia Gonçalves), Journal of Time Series Analysis, 36:3, 2015, 481-502.

Incidental Parameters and Dynamic Panel Modeling (with H.R. Moon and P.C.B. Phillips), Handbook of Panel Data, edited by Badi Baltagi, Oxford University Press, 2015, 111-148.

Bootstrapping factor-augmented regression models (with Silvia Gonçalves), Journal of Econometrics, 82, 2014, 156-173..

Point Optimal Panel Unit Root Tests with Serially Correlated Errors (with Hyungsik Roger Moon and Peter C.B. Phillips), Econometrics Journal, forthcoming.

Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Nonstationarity Properties of IndividualSeries in a Panel (with Hyungsik Roger Moon),  Journal of Econometrics, 169,2012, 29-33.

Peter C.B. Phillips’ Contributions to Panel Data Methods (with Hyungsik RogerMoon), Econometric Theory, 30:4, August 2014, 882-893.

Long-run Risk-Return Trade-offs (with Federico Bandi), Journal of Econometrics, 143, 2008, 349-374.

Asymptotic Local Power of pooled t-ratio Tests for Unit Roots in Panels with Fixed Effects (with Hyungsik Roger Moon), Econometrics Journal, 11, 2008, 80-104

Incidental Trends and the Power of Panel Unit Root Tests (with Hyungsik Roger Moon and Peter C.B. Phillips), Journal of Econometrics, 141, 2007, 416-459   Appendix with additional proofs

Long Memory and the Relation Between Implied and Realized Volatility (with Federico Bandi), Journal of Financial Econometrics, 4, 2006, 636-670

An Empirical Analysis of Nonstationarity in a Panel of Interest Rates with Factors (with Hyungsik Roger Moon), Journal of Applied Econometrics, 22, 2007, 383-400

On the Breitung Test for Panel Unit Roots and Local Asymptotic Power (with Hyungsik Roger Moon and Peter C.B. Phillips), Econometric Theory, 22, 2006, 1179-1190. Unpublished appendix with further calculations

Efficient Estimation of the SUR Cointegration Regression Model and Testing for Purchasing Power Parity (with Hyungsik Roger Moon), Econometric Reviews, 23:4, February 2005, 293-323

Détection nonparamétrique des sauts dans la volatilité des marchés financiers, L'Actualité économique, 80 :2-3, 2004, 229-251 (formerly Jumps in the Conditional Variance of Financial Markets)

Testing for A Unit Root in Panels with Dynamic Factors (with Hyungsik Roger Moon), Journal of Econometrics, 122:1, September 2004, 81-126

Semi-parametric Weak Instrument Regressions with an Application to the Risk-Return Tradeoff, Review of Economics and Statistics, 85:2, May 2003, 424-443

The Shape of the Risk Premium : Evidence from a Semiparametric GARCH Model (with Oliver Linton)  Journal of Business and Economic Statistics, 21:3, July 2003, 354-367