DEPARTMENT OF ECONOMICS
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Selected working paper
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Information Theory for Maximum Likelihood Estimation of Diffusion Models, Journal of Econometrics, 191(1), 110-128, 2016.
Expert Information and Nonparametric Bayesian Inference of Rare Events, Bayesian Analysis, 11(2), 421-445, 2016.
An Asymptotic Analysis of Likelihood-Based Diffusion Model Selection Using High Frequency Data (with M. Jeong and Joon Y. Park), Journal of Econometrics, 178 (3), 539-557, 2014.
Geometry of the Log-Likelihood Ratio Statistic in Misspecified Models (with N. Kiefer), Journal of Statistical Planning and Inference, 141 (6), 2091-2099, 2011.
Improving Robust Model Selection Tests for Dynamic Models (with N. Kiefer), Econometrics Journal, 13(2), 177-204, 2010.
Development and Validation of Credit Scoring Models (with D. Glennon, E. Larson, and N. Kiefer), Journal of Credit Risk, 4(3), 41-101, 2008.
Robust Nonnested Testing and Demand for Money (with N. Kiefer), Journal of Business & Economic Statistics, 26, pp. 9-17, 2008.
Software Evaluation: EasyReg International (with N. Kiefer), International Journal of Forecasting, 21, pp. 609-616, 2005.
Model selection; Diffusions; Robust inference with misspecified models; Bayesian methods; Forecasting; Statistical curvature and differential geometrical methods in statistics.
Household finance; Credit risk; Macro-finance.
Noncognitive ability; Health economics; Genoeconomics; Neuroeconomics.
ECON615 Graduate Economic Statistics