lpcde: Estimation and Inference for Local Polynomial Conditional Density Estimators (with Matias Cattaneo, Rajita Chandak, and Xinwei Ma)
Journal of Open Source Software, 10(107), 7241, 2025
Paper | Replication | Software

Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order (with Samuel Brien and Morten Nielsen)
Econometric Theory, 40(5), 1159-1183, 2024
Paper

Bootstrap-Assisted Inference for Generalized Grenander-type Estimators (with Matias Cattaneo and Kenichi Nagasawa)
Annals of Statistics, 52(4), 1509-1533, 2024
Paper | Supplement | Replication

Boundary Adaptive Local Polynomial Conditional Density Estimators (with Matias Cattaneo, Rajita Chandak, and Xinwei Ma)
Bernoulli,  30(4), 3193-3223, 2024
Paper | Supplement | Replication | Software

Local Regression Distribution Estimators (with Matias Cattaneo and Xinwei Ma)
Journal of Econometrics, 240(2), 105074, 2024
Paper | Supplement | Replication | Software

Average Density Estimators: Efficiency and Bootstrap Consistency (with Matias Cattaneo)
Econometric Theory, 38(6), 1140-1174, 2022
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lpdensity: Local Polynomial Density Estimation and Inference (with Matias Cattaneo and Xinwei Ma)
Journal of Statistical Software, 101(2), 1-25, 2022
Paper | Replication | Software

Bootstrap-Based Inference for Cube Root Asymptotics (with Matias Cattaneo and Kenichi Nagasawa)
Econometrica, 88(5), 2203-2219, 2020
Paper | Supplement | Replication

Simple Local Polynomial Density Estimators (with Matias Cattaneo and Xinwei Ma)
Journal of the American Statistical Association, 115(531), 1449-1455, 2020
Paper | Supplement | Replication | Software

Two-step Estimation and Inference with Possibly Many Included Covariates (with Matias Cattaneo and Xinwei Ma)
Review of Economic Studies, 86(3), 1095-1122, 2019
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Inference in Linear Regression Models with Many Covariates and Heteroscedasticity (with Matias Cattaneo and Whitney Newey)
Journal of the American Statistical Association, 113(523), 1350-1361, 2018
Paper | Supplement | Replication

Kernel-Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency (with Matias Cattaneo)
Econometrica, 86(3), 955-995, 2018
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Alternative Asymptotics and the Partially Linear Model with Many Regressors (with Matias Cattaneo and Whitney Newey)
Econometric Theory, 34(2), 277-301, 2018
Paper | Replication

Manipulation Testing based on Density Discontinuity (with Matias Cattaneo and Xinwei Ma)
Stata Journal, 18(1), 234-261, 2018
Paper | Software

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model (with Peter Boswijk and Morten Nielsen)
Journal of Econometrics, 184(1), 97-110, 2015
Paper

Bootstrapping Density-Weighted Average Derivatives (with Matias Cattaneo and Richard Crump)
Econometric Theory, 30(6), 1135-1164, 2014
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Small Bandwidth Asymptotics for Density-Weighted Average Derivatives (with Matias Cattaneo and Richard Crump)
Econometric Theory, 30(1), 176-200, 2014
Paper

Generalized Jackknife Estimators of Weighted Average Derivatives [with Comments and Rejoinder] (with Matias Cattaneo and Richard Crump)
Journal of the American Statistical Association, 108(504), 1243-1268, 2013
Paper | Comments and Rejoinder | Supplement | Replication

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis (with Morten Nielsen)
Econometrica, 80(5), 2321-2332, 2012
Paper | Software

Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors (with Matias Cattaneo and Richard Crump)
Journal of Econometrics, 167(1), 1-15, 2012
Paper

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots (with Morten Nielsen)
Journal of Time Series Econometrics, 3(1), Article 5, 2011
Paper

Robust Data-Driven Inference for Density-Weighted Average Derivatives (with Matias Cattaneo and Richard Crump)
Journal of the American Statistical Association, 105(491), 1070-1083, 2010
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Finite Sample Inference for Quantile Regression Models (with Victor Chernozhukov and Christian Hansen)
Journal of Econometrics, 152(2), 93-103, 2009
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Admissible Invariant Similar Tests for Instrumental Variables Regression (with Victor Chernozhukov and Christian Hansen)
Econometric Theory, 25(3), 806-818, 2009
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Optimal Invariant Inference when the Number of Instruments is Large (with Laura Chioda)
Econometric Theory, 25(3), 793-805, 2009
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Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
Econometrica, 76(5), 1103-1142, 2008
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Inference Approaches for Instrumental Variable Quantile Regression (with Victor Chernozhukov and Christian Hansen)
Economics Letters, 95(2), 272-277, 2007
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Optimal Inference in Regression Models with Nearly Integrated Regressors (with Marcelo Moreira)
Econometrica, 74(3), 681-714, 2006
Paper

Improving Size and Power in Unit Root Testing (with Niels Haldrup)
Palgrave Handbook of Econometrics, Volume 1: Econometric Theory, 252-277, 2006
Preprint

Tests of the Null Hypothesis of Cointegration Based on Efficient Tests for a Unit MA Root
Identification and Inference in Econometric Models: Essays in Honor of Thomas J. Rothenberg, 357-374, 2005
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Optimal Power for Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity (with Graham Elliott and Elena Pesavento)
Journal of Business & Economic Statistics, 23(1), 34-48, 2005
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Point Optimal Tests of the Null Hypothesis of Cointegration
Journal of Econometrics, 124(1), 187-201, 2005
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The Error in Rejection Probability of Simple Autocorrelation Robust Tests
Econometrica, 72(3), 937-946, 2004
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Stationarity Testing with Covariates
Econometric Theory, 20(1), 56-94, 2004
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Testing for Unit Roots with Stationary Covariates (with Graham Elliott)
Journal of Econometrics, 115(1), 75-89, 2003
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Consistent Covariance Matrix Estimation for Linear Processes
Econometric Theory, 18(6), 1449-1459, 2002
Paper

Regression Theory for Nearly Cointegrated Time Series (with Niels Haldrup)
Econometric Theory, 18(6), 1309-1335, 2002
Paper