Research

Publication

Fan, Y., Lv J., Sharifvaghefi M. and Uematsu Y. (2020). IPAD: Stable Interpretable Forecasting with Knockoffs Inference.  Journal of American Statistical Association, 115(532),1822-1834.

Vaghefi, M. S., Sharifvaghefi, M., and Beheshti, N. (2014). A Pricing Model for Group-buying Auction based on Customers' Waiting-time. Marketing Letters, 25(4), 425-434.

Working Papers

Variable Selection in Linear Regressions with Many Highly Correlated Covariates

Variable Selection in High Dimensional Linear Regressions with Parameter Instability, with Alex Chudik and Hashem Pesaran. (Revise and Resubmit)

Optimal Invariant Tests in an Instrumental Variables Regression With Heteroskedastic and Autocorrelated Errors, with Marcelo Moreira and Geert Ridder

Efficiency Loss of Asymptotically Efficient Tests in an Instrumental Variables Regression, with Marcelo Moreira and Geert Ridder

Work in Progress

Robust GMM Estimation and Testing in a Weak Instrument Setting: Bridging Theory and Practice, with Marcelo Moreira and Whitney Newey (Coming soon)