Research
Fields of Interest
Econometric Theory, Applied Econometrics, Quantile Regression, Panel Data, Quantile Preferences
Main Publications
Unit root quantile autoregression testing using covariates, Journal of Econometrics, 152, 165-178, 2009.
Measurement errors in investment equations (with Heitor Almeida and Murillo Campello), Review of Financial Studies, 23, 3279-3328, 2010.
Penalized quantile regression for dynamic panel data (with Gabriel Montes-Rojas), Journal of Statistical Planning and Inference, 140, 3476-3497, 2010.
Quantile regression for dynamic panel data with fixed effects, Journal of Econometrics, 164, 142-157, 2011.
Threshold quantile autoregressive models (with Gabriel Montes-Rojas, and Jose Olmo), Journal of Time Series Analysis, 32, 253-267, 2011.
Asymptotics for panel quantile regression models with individual effects (with Kengo Kato and Gabriel Motnes-Rojas), Journal of Econometrics, 170, 76-91, 2012.
Quantile autoregressive distributed lag model with an application to house price returns (with Gabriel Montes-Rojas and Sung Park), Oxford Bulletin of Economics and Statistics, 75, 307-321, 2013.
Tests for skewness and kurtosis in the one-way error components model (with Gabriel Montes-Rojas, Walter Sosa-Escudero, and Liang Wang), Journal of Multivariate Analysis, 122, 35-52, 2013.
On testing the equality of mean and quantile effects (with Anil Bera and Liang Wang), Journal of Econometric Methods, 3, 47-62, 2013.
Estimation of censored quantile regression for panel data with fixed effects (with Carlos Lamarche and Luiz Lima), Journal of the American Statistical Association, 108, 1075-1089, 2013.
Testing linearity against threshold effects: uniform inference in quantile regression (with Kengo Kato, Gabriel Montes-Rojas, and Jose Olmo), Annals of the Institute of Statistical Mathematics, 66, 413-439, 2014.
Estimation and inference for linear panel data models under misspecification when both n and T are large (with Kengo Kato), Journal of Business and Economic Statistics, 32, 285-309, 2014.
Efficient minimum distance estimator for quantile regression fixed effects panel data (with Liang Wang), Journal of Multivariate Analysis, 133, 1-26, 2015.
Uniformly semiparametric efficient estimation of treatment effects with a continuous treatment (with Liang Wang), Journal of the American Statistical Association, 110, 1528-1542, 2015.
Asymmetric Laplace regression: maximum likelihood, maximum entropy, and quantile regression (with Anil Bera, Gabriel Montes-Rojas and Sung Park), Journal of Econometric Methods, 5, 79–101, 2016.
Smoothed quantile regression for panel data (with Kengo Kato), Journal of Econometrics, 193, 92-112, 2016.
A new characterization of the normal distribution and test for normality (with Anil Bera, Liang Wang, and Zhijie Xiao), Econometric Theory, 32, 1216-1252, 2016.
Measurement errors in quantile regression models (with Sergio Firpo and Suyong Song), Journal of Econometrics, 198, 146-164, 2017.
Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns (with Ted Juhl, Gabriel Montes-Rojas, Jose Olmo), Journal of Financial Econometrics, 211-243, 2018.
On solving endogeneity with invalid instruments: An application to investment equations (with Gabriel Montes-Rojas, Jose Olmo and Suyong Song), Journal of the Royal Statistical Society, A, 181, 689-716, 2018.
Actual and counterfactual growth incidence and delta Lorenz curves: Estimation and inference (with Francisco Ferreira and Sergio Firpo), Journal of Applied Econometrics, 34, 385-402, 2019.
Quantile regression random effects (with Alexandre Poirier), Annals of Economics and Statistics, 134, 109–148, 2019.
Tests of asset pricing with time-varying factor loads (with Gabriel Montes-Rojas and Jose Olmo), Journal of Applied Econometrics, 34, 762-778, 2019.
Testing for slope heterogeneity bias in panel data models (with Murillo Campello and Ted Juhl), Journal of Business & Economic Statistics, 37, 749-778, 2019.
Smoothed GMM for quantile models (with Luciano de Castro, David M. Kaplan, and Xin Liu), Journal of Econometrics, 213, 121–144, 2019.
Dynamic quantile models of rational behavior (with Luciano de Castro), Econometrica, 87, 1893-1939, 2019.
Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects (with Jungmo Yoon), Quantitative Economics, 11, 579-608, 2020.
On the unbiased asymptotic normality of quantile regression with fixed effects (with Jiaying Gu and Stanislav Volgushev), Journal of Econometrics, 218, 178-215, 2020.
Do people maximize quantiles? (with Luciano de Castro, Charles Noussair, and Liang Qiao), Games and Economic Behavior, 132, 22-40, 2022.
Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models (with Luciano de Castro, Jeong Yeol Kim, Gabriel Montes-Rojas, and Jose Olmo), Journal of Behavioral and Experimental Economics, 97, 101822, 2022.
Portfolio selection in quantile decision models (with Luciano de Castro, Gabriel Montes-Rojas and Jose Olmo), Annals of Finance, 18, 133-181, 2022.
Static and dynamic quantile preferences (with Luciano de Castro), Economic Theory, 73, 747-779, 2022.
GMM quantile regression (with Sergio Firpo, Cristine Pinto, Alexandre Poirier, and Graciela SanRoman), Journal of Econometrics, 230, 432-452, 2022.
Numerical solution of dynamic quantile models (with Luciano de Castro and Andre Muchon), Journal of Economic Dynamics and Control, 148, 104617, 2023.
Conditional quantiles: An operator-theoretical approach (with Luciano de Castro, Bruno N. Costa, and Jorge P. Zubelli), Bernoulli, 29, 2392-2416, 2023.
Uniform inference for value functions (with Sergio Firpo and Tom Parker), Journal of Econometrics, 235, 1680-1699, 2023.
A first-stage representation for instrumental variables quantile regression (with Javier Alejo and Gabriel Montes-Rojas), Econometrics Journal, 26, 350-377, 2023.
A dynamic quantile model for distinguishing intertemporal substitution from risk aversion (with Luciano de Castro, Lance Cundy, and Rafael Westenberger), European Economic Review, 159, 104587, 2023.
Joint elicitation of elasticity of intertemporal substitution, risk and time preferences (with Luciano de Castro, Gabriel Montes-Rojas, and Jose Olmo), forthcoming, International Journal of Finance and Economics.
Bootstrap inference for panel data quantile regression (with Tom Parker and Zhijie Xiao), forthcoming, Journal of Business & Economic Statistics.
Loss aversion and the welfare ranking of policy interventions (with Sergio Firpo, Mar tyna Kobus, Tom Parker, and Pedro Rosa-Dias), forthcoming, Journal of Econometrics.
HAC covariance matrix estimation in quantile regression (with Jungmo Yoon), forthcoming, Journal of the American Statistical Association.
Working Papers
Dynamic economics with quantile preferences (with Luciano de Castro and Daniel Nunes).
Unconditional quantile partial effects via conditional quantile regression (wih Javier Alejo, Julian Martinez-Iriarte, and Gabriel Montes-Rojas).
A no-arbitrage approach to asset pricing using panel data (with Fabrio Araujo and Joao Victor Issler).
Quantile approach to intertemporal consumption with multiple assets (with Luciano de Castro and Hirofumi Ota).
A quantile model of firm investment (with Heitor Almeida, Murillo Campello, and Luciano de Castro)
Convex and conditionally law-invariant risk measures (with Luciano de Castro, Bruno Costa, and Jorge Zubelli).