Publications
Functional principal component analysis for cointegrated functional time series. Journal of Time Series Analysis, 45(2), 320-330. [R code]
Cointegration and representation of cointegrated autoregressive processes in Banach spaces. Econometric Theory, 39(4), 737-788.
- The working paper version at https://arxiv.org/abs/1712.08748v1 contains unpublished, but possibly useful, results on spectral properties of linear operator pencils.Fredholm inversion around a singularity: application to autoregressive time series in Banach space. Electronic Research Archive, 31(8), 4925-4950.
Inference on the dimension of the nonstationary subspace in functional time series. Econometric Theory, 39(3), 443-480. With Morten Nielsen and Dakyung Seong.
Tail behavior of stopped Lévy processes with Markov modulation. Econometric Theory, 38(5), 986-1013. With Brendan Beare and Alexis Akira Toda. [Corrigendum]
Representation of I(1) and I(2) autoregressive Hilbertian processes. Econometric Theory, 36(5), 773-802. With Brendan Beare.
- Co-winning article of the 2020 Tjalling C. Koopmans Econometric Theory Prize.Cointegrated linear processes in Bayes Hilbert space. Statistics & Probability Letters, 147, 90-95. With Brendan Beare.
Cointegrated Linear Processes in Hilbert Space. Journal of Time Series Analysis 38 (6), 1010-1027. With Brendan Beare and Juwon Seo.
Working papers
Functional instrumental variable regression with an application to estimating the impact of immigration on native wages. Accepted at Econometric Theory. With Dakyung Seong. [R code]
Fractionally integrated curve time series with cointegration. With Han Lin Shang. (R&R at Electronic Journal of Statistics)
Inference on common trends in functional time series. With Morten Nielsen and Dakyung Seong.
Optimal linear prediction with functional observations: Why you can use a simple post-dimension reduction estimator. [R code]