Documents de travail / Working Papers



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.


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