“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.