Working Papers

  • Quasi-Bayesian Model Selection (with Atsushi Inoue), revised, July 2017.

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Recent Publications

  • Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes (with Yoon-Jin Lee and Ryo Okui), Journal of Econometrics, forthcoming.

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  • Improving the Finite Sample Performance of Autoregression Estimators in Dynamic Factor Models: A Bootstrap Approach (with Zi-Yi Guo), Econometric Reviews, forthcoming.

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  • Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component (with Pierre Perron and Tomoyoshi Yabu), Oxford Bulletin of Economics and Statistics, 79(5), October 2017, Pages 822-850.

  • Testing for A Unit Root Against Transitional Autoregressive Models (with Joon Y. Park), International Economic Review, 57(2), May 2016, Pages 635-664.

  • Measuring International Business Cycles by Saving for a Rainy Day (with Mario J. Crucini), Canadian Journal of Economics, 48(4), November 2015, Pages 1266-1290.

  • Noisy Information, Distance and Law of One Price Dynamics across US Cities (with Mario J. Crucini and Takayuki Tsuruga), Journal of Monetary Economics, 74, September 2015, Pages 52-66.

  • Real Exchange Rate Dynamics in Sticky Wage Models (with Mario J. Crucini and Takayuki Tsuruga), Economics Letters,123(2), May 2014, Pages 160-163.

  • Consistent Cotrending Rank Selection When Both Stochastic and Nonlinear Deterministic Trends Are Present (with Zheng-Feng Guo), Econometrics Journal, 16(3), October 2013, Pages 473-484.

  • Do Sticky Prices Increase Real Exchange Rate Volatility at the Sector Level? (with Mario J. Crucini and Takayuki Tsuruga), European Economic Review,62, August 2013, Pages 58-72.

  • The Inf-t Test for a Unit Root against Asymmetric Exponential Smooth Transition Autoregressive Models, Japanese Economic Review, 64(1), March 2013, Pages 3-15. [ Replication files (GAUSS code) ]

  • Exchange Rate Pass-Through and Inflation: A Nonlinear Time Series Analysis (with Akiko Terada-Hagiwara and Tomoyoshi Yabu), Journal of International Money and Finance, 32, February 2013, Pages 512-527.