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  - The working paper version at https://arxiv.org/abs/1712.08748v1 contains unpublished, but possibly useful, results on spectral properties of linear operator pencils.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. With Dakyung Seong. [R code] (R&R at Econometric Theory)

• 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. [Supplement] [R code]