Research
Publications
"Efficiency bounds for moment conditions models with mixed identification strength", JJoint with Yves F. Atchade, and Firmin Doko Tchatoka, Journal of Econometrics, to appear.
"Relevant moment selection under mixed identification strength", Joint with Firmin Doko Tchatoka , and Michael Aguessy, Econometric Theory, to appear.
"Testing the Eigenvalue Structure of Spot and Integrated Covariance", Joint with Abderrahim Taamouti and Julian Williams, (2022) Journal of Econometrics, 229, 363-395.
"Robust Estimation with Exponentially Tilted Hellinger Distance", Joint with Bertille Antoine, (2021) Journal of Econometrics, 224, 330-344.
"Inference in Second-Order Identified Models", Joint with Alastair R. Hall, and Frank Kleibergen, (2020) Journal of Econometrics, 218, 346-372.
"Efficiency Bounds for Semiparametric Models with Singular Score Functions", Joint with Yves F. Atchade, (2020) Econometric Reviews, 39, 612-648.
"Bootstrapping High-frequency Jump Tests", Joint with Silvia Goncalves, Ulrich Hounyo, and Nour Meddahi, (2019) Journal of the American Statistical Association, 114, 793-803.
"The Asymptotic Properties of GMM and Indirect Inference under Second-Order Identification", Joint with Alastair R. Hall, (2018) Journal of Econometrics, 205,76-111.
"Bootstrapping the GMM Overidentification Test under First-Order Underidentification", Joint with Silvia Goncalves, (2017) Journal of Econometrics, 201, 43–71.
"Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification", (2016) Econometric Reviews, 35(4):465–514.
"Testing for Common Conditionally Heteroskedastic Factors", with Eric Renault, (2013) Econometrica, 81(6), 2561-2586.
"Bootstrapping Realized Multivariate Volatility Measures", with Silvia Goncalves and Nour Meddahi, (2013) Journal of Econometrics, 172, 49-65.
"Conditionally Heteroskedastic Factor Models with Skewness and Leverage Effects", (2013) Journal of Applied Econometrics, 28, 1110-1137.
"Inference about Long Run Canonical Correlations", with Alastair R. Hall and Kalidas Jana, (2012) Journal of Time Series Analysis, 33, 665-683.
Working Papers
"A uniformly valid test for instrument exogeneity", Joint with Nikolay Gospodinov, Journal of Econometrics, Revise and Resubmit.
This version: March 2024
"Specification Testing for Conditional Moment Restrictions under Local Identification Failure", Joint with Nikolay Gospodinov, Quantitative Economics, Conditionally accepted.
This version: March 2024
"Consistent Specification Testing with Irrelevant Instruments", Joint with Nikolay Gospodinov.
This version: February 2023
"Bayesian Variable Selection in Linear Regression Models with Instrumental Variables", Joint with Yves F. Atchade, and Gautam Sabnis, Submitted.
This version: October 2019.
"GMM Overidentification Test with First Order Underidentification", Joint with Eric Renault
This version: June 2020
Work in Progress
TBA