Publications in Journals
Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates (with Jesus Gonzalo), International Journal of Forecasting, 40, pp. 1166-1178, 2024
A novel approach to predictive accuracy testing in nested environments, Econometric Theory, 41, pp. 35-78, 2025.
Spurious Relationships in High Dimensional systems with strong or mild persistence (with Jesus Gonzalo), International Journal of Forecasting, 37, 1480-1497, 2021.
Uncovering Regimes in Out of Sample Forecast Errors (with Anibal Emiliano and Jesus Gonzalo), Oxford Bulletin of Economics and Statistics, 83, 713-741, 2021.
A Simple Approach for Diagnosing Instabilities in Predictive Regressions, Oxford Bulletin of Economics and Statistics, 79, 851-874, 2017.
Inferring the Predictability Induced by a Persistent Predictor in a Predictive Threshold Model (with Jesus Gonzalo), Journal of Business and Economic Statistics, 35, 202-217, 2017.
Functional Equilibrium Relationships: Definition and Nonparametric Estimation (with A Banerjee), Studies in Nonlinear Dynamics and Econometrics, 18, 507-520, 2014.
A Joint Test for Structural Stability and a Unit Root in Autoregressions, Computational Statistics and Data Analysis, 76, 577-587, 2014.
Regime Specific Predictability in Predictive Regressions (with Jesus Gonzalo), Journal of Business and Economic Statistics, 30, 229-241, 2012.
Jointly Testing Linearity and Nonstationarity within Threshold Autoregressions, Economics Letters, 117, 411-413, 2012.
Threshold Autoregressions with a Unit Root: Comment, Econometrica, 76, 1207-1217, 2008.
Threshold Effects in Cointegrating Relationships (with Jesus Gonzalo), Oxford Bulletin of Economics and Statistics, 68, 813-833, 2006.
Model Selection Uncertainty and Detection of Threshold Effects, Studies in Nonlinear Dynamics and Econometrics, 10, 1-28, 2006.
Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification, Econometrics Journal, 7, 32-54, 2004.
Estimation and Model Selection Based Inference in Single and Multiple Threshold Models (with Jesus Gonzalo), Journal of Econometrics, 110, 319-352, 2002.
Joint Dynamics of Legal and Economic Integration in the European Union (with George Tridimas), European Journal of Law and Economics, 16, 357-386, 2003.
Lag Length Estimation in Large Dimensional Systems (with Jesus Gonzalo), Journal of Time Series Analysis, 23, 401 423, 2002.
Total Expenditure Endogeneity in a Demand System of Public Expenditures (with GeorgeTridimas), Economic Modelling, 16, 279-291, 1999.
Moment Generating Functions and Further Exact Results for Seasonal Autoregressions, Econometric Theory, 14, 770-782, 1998.
On Bias of the OLS estimator in a Nonstationary Dynamic Panel Data Model, Statistics and Probability Letters, 38, 145-150, 1998.
On the Exact Moments of a Nonstandard Asymptotic Distribution in an Unstable AR(1) with Dependent Errors (with Jesus Gonzalo), International Economic Review, 39, 71-88, 1998.
Specification via model selection in Vector Error Correction Models (with Jesus Gonzalo), Economics Letters, 60, 321-328, 1998.
Publications in Books
Predictive Regressions, In Oxford Research Encyclopaedia of Economics and Finance. Oxford University Press. November 2019 (with Jesus Gonzalo).
Estimation and Inference in Threshold Type Regime Switching Models (with Jesus Gonzalo), in Handbook of Empirical Methods in Macroeconomics, N. Hashimzadeh and M. Thornton eds, Edward Elgar Publishing, 2013.
Threshold Effects in Multivariate Error Correction Models (with Jesus Gonzalo), in Palgrave Handbook of Econometrics, Volume 1: Econometric Theory, T. Mills and K. Patterson eds, Palgrave MacMillan, 2006.
Dimensionality Effect in Cointegration Tests (with J. Gonzalo), in Cointegration, Causality and Forecasting: A Festschrift in Honour of C. W. J. Granger, Robert E. Engle and Halbert White eds, Oxford University Press, 1999