2021-2025
The case for CASE: Estimating Heterogeneous Systemic Effects, with with Zaichao Du and Guangwei Zhu, Journal of Banking and Finance, 157, 107022, 2023.
Regression Discontinuity Design with Multivalued Treatments, with Carolina Caetano and Gregorio Caetano, Journal of Applied Econometrics, 38, 840-856, 2023.
Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity, Journal of Econometrics, 234, 106–127, 2023.
Locally Robust Semiparametric Estimation, with V. Chernozhukov, H. Ichimura, W.K. Newey , and J. Robins, Econometrica, 90, 1501-1535, 2022. Supplementary Material.
Generalized Band Spectrum Estimation with an Application to the New Keynesian Phillips Curve, with Choi and Guo, 2022, Journal of Applied Econometrics, 37, 1055–1078. Online Appendix.
Semiparametric Identification and Fisher Information, Econometric Theory, 38, 301-338, 2022.
Nonparametric Euler Equation Identification and Estimation, with S. Hoderlein, A. Lewbel, O. Linton and S. Srisuma, Econometric Theory, 37, 851-891, 2021. (Leading Article) Older versions on identification (2010, 2012).
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk, with Javier Hualde, Journal of Business and Economic Statistics, 39:2, 453-465, 2021. (Supplement) (data and code)
Identifying Multiple Marginal Effects with a Single Instrument, with Carol Caetano, Econometric Theory, 37, 464–494, 2021.
Optimal Linear Instrumental Variables Approximations, with Wei Li, Journal of Econometrics, 221, 223-246, 2021. Matlab replication code.
2016-2020
Two-Step Semiparametric Empirical Likelihood Inference, with F. Bravo and I. Van Keilegom, The Annals of Statistics, 48(1), 1-26, 2020. (Leading Article)
Quantile-Regression Inference With Adaptive Control of Size, with Chuan Goh, Journal of the American Statistical Association, 114, 382-393, 2019. R code.
Asymptotic distribution-free tests for semiparametric regressions with dependent data, with J.C. Pardo-Fernandez and I. Van Keilegom, The Annals of Statistics, 46(3), 1167-1196, 2018.
A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments, Econometrics Journal, 21, 36-54, 2018.
Backtesting Expected Shortfall: Accounting for Tail Risk, with Zaichao Du, Management Science, 63, 940-958, 2017. Implemented in Matlab Risk Management Toolbox. Also R code.
Automatic Portmanteau Tests with Applications to Market Risk Management, with Zaichao Du and Guangwei Zhu, The Stata Journal, Volume 17, Number 4, 901-915, 2017. Includes Stata Code.
Testing for Fundamental Vector Moving Average Representations, with Bin Chen and Jinho Choi, Quantitative Economics, 8, 149-180, 2017.
Introduction: Regression Discontinuity Designs, with Matias Cattaneo, in Regression Discontinuity Designs: Theory and Applications, Advances in Econometrics, Volume 38, M. D. Cattaneo and J.C. Escanciano (eds.), Emerald Group Publishing, 2017.
On The Asymptotic Efficiency of Directional Models Checks for Regression, with Miguel A. Delgado, Festschrift in honor of W. Stute, Springer Proceedings in Mathematics & Statistics, 2017.
Semiparametric Estimation of Risk-Return Relationships, with J.C. Pardo-Fernandez and I. Van Keilegom, Journal of Business and Economic Statistics, 35, 40-52, 2017.
Identification and Estimation of Semiparametric Two Step Models, with David Jacho-Chávez and Arthur Lewbel, Quantitative Economics, 7(2), 561-589, 2016.
Distribution-Free Tests of Conditional Moment Inequalities, with Miguel A. Delgado, Journal of Statistics Planning and Inference, 173, 99-108, 2016. Matlab code.
2011-2015
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model, with Lin Zhu, Econometric Reviews, 34, 733-761, 2015.
A Nonparametric Distribution-Free Test for Serial Independence of Errors, with Zaichao Du, Econometric Reviews, 34, 1010-1033, 2015.
Specification Analysis of Linear Quantile Models, with Chuan Goh, Journal of Econometrics, 178, 495-507, 2014.
Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing, with David Jacho-Chávez and Arthur Lewbel, Journal of Econometrics, 178, 426-443, 2014.
Nonparametric Distribution-Free Model Checks for Multivariate Dynamic Regressions, with Miguel A. Delgado, in "Contemporary Developments in Statistical Theory" , Festschrift in honor of H. Koul, Contemporary Developments in Statistical Theory, Volume 68 of the series Springer Proceedings in Mathematics & Statistics, 91-117, 2013.
Automatic Diagnostic Checking for Vector Autoregressions, with I.N. Lobato and Lin Zhu, Journal of Business and Economics Statistics, 31 (4), 426-437, 2013.
Conditional Stochastic Dominance Testing, with Miguel A. Delgado, Journal of Business and Economics Statistics, 31:1, 16-28, 2013. Matlab code.
A Simple Test for Identification in GMM under Conditional Moments Restrictions, with Francesco Bravo and Tai Otsu, in 'Essays in Honor of Jerry Hausman', Advances in Econometrics, eds. Badi H. Baltagi, R. Carter Hill, Whitney K. Newey, Halbert L. White, Emerald Publishing, Volume 29, pp. 455-477, 2012.
Pitfalls in Backtesting Historical Simulation Models, with Pei, Pei, Journal of Banking and Finance, 36, 2233-2244, 2012.
Distribution-free Tests of Stochastic Monotonicity, with Miguel A. Delgado, Journal of Econometrics, 170, 68-75, 2012.
Root-n-Uniformly Consistent Density Estimation in Nonparametric Regression, with David Jacho-Chávez, Journal of Econometrics, 167, 305-316, 2012.
Robust Backtesting Tests for Value-at-Risk Models, with Jose Olmo, Journal of Financial Econometrics, 9, 132-161, 2011.
2006-2010
Specification Tests of Parametric Dynamic Conditional Quantiles, with Carlos Velasco, Journal of Econometrics, 159, 209-221, 2010.
Asymptotic Distribution-Free Diagnostic Tests for Heteroskedastic Time Series Models, Econometric Theory, 26, 744-773, 2010.
Testing Single-Index Restrictions with a Focus on Average Derivatives, with Kyungchul Song, Journal of Econometrics, 156, 377-391, 2010.
Approximating the Critical Values of Cramer-von Mises Tests in General Parametric Conditional Specifications, with David Jacho-Chávez, Computational Statistics & Data Analysis, 54, 625-636, 2010.
Backtesting Parametric Value-at-Risk With Estimation Risk, with Jose Olmo, Journal of Business and Economics Statistics, 28, 36-51, 2010.
Data-Driven Smooth Tests for the Martingale Difference Hypothesis, with Silvia Mayoral, Computational Statistics & Data Analysis, 54, 1983-1998, 2010.
Quasi-Maximum Likelihood Estimation of Semi-Strong GARCH models, Econometric Theory, 25, 561-570, 2009.
Testing the Martingale Hypothesis, with Ignacio N. Lobato. Palgrave Handbook of Econometrics. K. Patterson and T.C. Mills eds, Palgrave, MacMillan, 2009.
Econometrics: Nonlinear Cointegration, with Alvaro Escribano. In R. Meyer ed., Encyclopedia of Complexity and System Science, Springer-Verlag, 2009.
An Automatic Data-Driven Portmanteau Test for Testing for Serial Correlation, with Ignacio N. Lobato, Journal of Econometrics, 151, 140-149, 2009.
Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators, with David Jacho-Chávez, Economics Bulletin, 29, 1892-1898, 2009.
On The Lack of Power of Omnibus Specification Tests, Econometric Theory, 25, 162-194, 2009.
Semiparametric Estimation of Dynamic Conditional Expected Shortfall Models, with Silvia Mayoral, International Journal of Monetary Economics and Finance, 1, 106-120, 2008.
Joint and Marginal Specification Tests for Conditional Mean and Variance Models, Journal of Econometrics, 143, 74-87, 2008.
Weak Convergence of Non-Stationary Multivariate Marked Processes With Applications to Martingale Testing, Journal of Multivariate Analysis, 98, 1321-1336, 2007.
Nonparametric Tests for Conditional Symmetry in Dynamic Models, with Miguel A. Delgado, Journal of Econometrics, 141, 652-682, 2007.
Model Checks Using Residual Marked Empirical Processes, Statistica Sinica, 17, 115-138, 2007.
Testing the Martingale Difference Hypothesis Using Integrated Regression Functions, with Carlos Velasco, Computational Statistics & Data Analysis, 51, 2278-2294, 2006.
A Consistent Diagnostic Test for Regression Models Using Projections, Econometric Theory, 22, 1030-1051, 2006.
Generalized Spectral Tests for the Martingale Difference Hypothesis, with Carlos Velasco, Journal of Econometrics, 134, 151-185, 2006.
Goodness-of-fit Tests for Linear and Nonlinear Time Series Models, Journal of the American Statistical Association, 101, 531-541, 2006.