“Efficient Peer Effects Estimators with Random Group
Effects”, (with Ingmar Prucha and Zing Zeng),
arXiv:2105.04330 [econ.EM], pdf, Stata Code
“Limit Theorems for Data with Network Structure”, arXiv:1908.02375 [math.PR], pdf
“Joint Time Series and Cross-Section Limit Theory under Mixingale Assumptions”,
(with Jinyong Hahn and Maurizio Mazzocco), arXiv:1903.04655 [math.PR], pdf
“Central Limit Theory for Combined Cross-Section and
Time Series”, (with Jinyong Hahn and Maurizio Mazzocco), arXiv:1610.01697 [stat.ME], pdf
“Dynamic Spatial Panel Models: Networks, Common Shocks,
and Sequential Exogeneity” (with Ingmar Prucha), CES ifo Working Paper
No. 5445. pdf; Latest Version: arXiv: 1802.01755[stat.TH] pdf, Monte Carlo Code, Extended Monte
Carlo Code, Standalone
Code
“Semiparametric
Causality Tests Using the Policy Propensity Score” (with Joshua Angrist), NBER
Working Paper 10975. pdf
“Higher Order
Efficiency of Bias Corrections” (with Jinyong Hahn and Whitney Newey). pdf
“Mean
Squared Error Reduction for GMM Estimators of Linear Time Series Models”
pdf
Tables
“Efficient Peer Effects Estimators with Random Group
Effects”, (with Ingmar Prucha and Zing Zeng), forthcoming,
Journal of Econometrics.
“Central Limit Theory for Combined Cross-Section and
Time Series with an Application to Aggregate Productivity Shocks”, (with Jinyong Hahn and Maurizio Mazzocco),
forthcoming Econometric Theory.
“Joint Time Series and Cross-Section Limit Theory under
Mixingale Assumptions”,
(with Jinyong Hahn and Maurizio Mazzocco),
Econometric Theory, Vol 38, Issue 5,
942-958.
“Dynamic Spatial Panel Models: Networks, Common Shocks,
and Sequential Exogeneity” (with Ingmar Prucha),
Econometrica. Vol 88, No 5 (2020), pp 2109-2146.
“Estimation with Aggregate Shocks” (with Jinyong Hahn and Maurizio Mazzocco), The Review of Economic
Studies, 87 Issue 3 (2020), p
1365-1398. pdf
“Effective Sterilized Foreign Exchange Intervention? Evidence
from a Rule-Based Policy”, (with David Phillips and Mauricio Villamizar-Villegas), Journal
of International Economics, 113, p. 118-138, pdf.
Technical Appendix: pdf
“Invariance Principles for Dependent Processes Indexed
by Besov Classes with an Application to a Hausman Test for Linearity”, Journal of Econometrics, 211, p. 243 – 261, pdf.
“Semiparametric Estimates of Monetary Policy Effects:
String Theory Revisited” (with Joshua Angrist and Oscar Jorda),
Journal of Business & Economic
Statistics, 36 Vol 3, 371-387. Supplemental
Appendix, Stand
Alone Code, Readme
Stand Alone, Replication
Code and Data-Matlab, Replication
Code and Data-Propensity Score Stata .
“Kernel
Weighted GMM Estimators for Linear Time Series Models.” Journal of Econometrics, 170, 399-421. pdf Supplementary
Appendix Matlab_code Mathematica_code
“Bias Reduction for Dynamic Nonlinear Panel Models with
Fixed Effects” (with Jinyong Hahn). Econometric Theory, 27, 1152–1191. pdf Supplementary
Appendix
“Causal
Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with
a Multinomial Propensity Score” (with Joshua Angrist), The Review of Economics and Statistics, 93, p. 725-747. pdf
Code/Data
Instructions
“Difference in Difference meets Generalized Least
Squares: Higher Order Properties of Hypotheses Tests” (with Jerry Hausman), Journal
of Econometrics,
144 (2008), 371-391. pdf
Code
“Long
difference instrumental variables estimation for dynamic panel models with
fixed effects,” (with Jinyong Hahn and Jerry Hausman), Journal of Econometrics, 140 (2007), 574-617. Supplementary
Appendix
“Automatic
Inference for Infinite Order Vector Autoregressions” Econometric Theory, 21 (2005), 85-115. pdf
“Estimation
with Weak Instruments: Accuracy of Higher Order Bias and MSE Approximations,”
(with Jinyong Hahn and Jerry Hausman), Econometrics
Journal, 7 (2004), 272-306. pdf
“Asymptotic
Distribution of Misspecified Random Effects Estimator
for a Dynamic Panel Model with Fixed Effects When Both n and T are Large” (with
Jinyong Hahn and Myeong Hyeon Cho), Economics
Letters, 84 (2004), 117-125. pdf
“Moment
Selection and Bias Reduction for GMM in Conditionally Heteroskedastic Models,” forthcoming
in “Econometric Theory and Practice: Frontiers of Analysis and Applied
Research: Essays in Honor of Peter C.B. Phillips”, D. Corbea,
S. Durlauf and B.E. Hansen (eds),
Cambridge University Press. pdf
“Discontinuities
of Weak Instrument Limiting Distributions,” (with Jinyong Hahn), Economics Letters, 75 (2002), 325-331. pdf
“Asymptotically Unbiased Inference for a Dynamic Panel
Model with Fixed Effects when both n and
T are large,” (with Jinyong Hahn), Econometrica, 70 (2002), 1639-1657. pdf,
“Efficient Instrumental Variables Estimation for
Autoregressive Models with Conditional Heteroskedasticity,”
Econometric Theory, 18 (2002),
547-583. pdf Tables
“Optimal Instrumental Variables Estimation for ARMA
Models,” Journal of Econometrics,
104(2) (2001), 359-405. pdf Tables
1 Tables
2 Graphs
“Interest rates and exchange rates under money supply
targets,” (with Walter Wasserfallen), Journal of Monetary Economics, 33
(1994), 201-230.
“Real Business Cycle Models - Some Evidence for
Switzerland,” (with Marcel Rindisbacher), Swiss
Journal of Economics and Statistics, 130 (1994), 21-43.
Where
indicated in the papers this material is based upon work
supported by the National Science Foundation under Grant No. 0095132 and
0523186.