Documents de travail / Working Papers
Publications
Bootstrapping Factor Models with Cross-sectional Dependence (with Silvia Gonçalves), Journal of Econometrics, 218:2, October 2020, 476-495. Working paper version
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
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.
Point Optimal Panel Unit Root Tests with Serially Correlated Errors (with Hyungsik Roger Moon and Peter C.B. Phillips), Econometrics Journal, forthcoming.
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 Unpublished appendix with further calculations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)
Semi-parametric Weak Instrument Regressions with an Application to the Risk-Return Tradeoff, Review of Economics and Statistics, 85:2, May 2003, 424-443