Publications

2016-
[W1] Regression Discontinuity with Categorical Outcomes.
[17] ModelFree Inference for Financial Risk MeasuresEconometric Theory, forthcoming. [DOI]

2011-2015
[15] Testing for Structural Change under Nonstationary VariancesEconometrics Journal, 18, (Issue 2, 2015) 274-305. [Data file] [Working paper version]
[14] Empirical Likelihood for Regression Discontinuity Design (with Taisuke Otsu and Yukitoshi Matsushita). Journal of Econometrics 186 (Issue 1, 2015), 94-112.
[13] Towards Efficient Trend Estimation under Weak/Strong Correlation and Nonstationary Volatility (with JuiChung Yang), Scandinavian Journal of Statistics 42, (Issue 1, 2015), 63-86.
[12] Power Monotonicity in Detecting Volatility Levels ChangeEconomics Letters 121 (Issue 1, October 2013), 64-69.
[11] Estimation and Inference of Discontinuity in Density (with Taisuke Otsu and Yukitoshi Matsushita). Journal of Business and Economic Statistics 31, (Issue 4, 2013), 507-524
[10] Powerful Tests of Structural Changes in VolatilityJournal of Econometrics 173 (Issue 1, March 2013), 126-142. 
[9] Nonparametric Inference for Conditional Quantiles of Time Series. Econometric Theory 29 (Issue 4, August 2013), 673 - 698.
[8] Robustifying Multivariate Trend Tests to Nonstationary VolatilityJournal of Econometrics 169 (Issue 2, August 2012), 147154.
[7] Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications. (with Peter Phillips). Journal of Business and Economic Statistics 29 (Issue 4, October 2011), 518528.

2007-2010
[6] Reweighted Functional Estimation of Diffusion ModelsEconometric Theory 26 (Issue 02, April 2010), 541563.
[5] Empirical LikelihoodBased Inference for Nonparametric Recurrent DiffusionsJournal of Econometrics 153 (Issue 01, November 2009), 6582.
[4] Adaptive Estimation of Autoregressive Models with TimeVarying Variances. (with Peter Phillips). Journal of Econometrics 142 (Issue 01, January 2008), 265280.
[3] Testing Against Nonstationary Volatility in Time SeriesEconomics Letters 101 (Issue 03, December 2008), 288292.
[2] Bootstrapping Autoregression under Nonstationary VolatilityEconometrics Journal 11 (Issue 01, March 2008), 126.

Pre-2007
[1] Inference in Autoregression under Heteroskedasticity. (with Peter Phillips). Journal of Time Series Analysis 27 (Issue 02, March 2006), 289308.