Research

Publication

Sharifvaghefi, M. (2025), Variable Selection in Linear Regressions with Possibly all Strongly Correlated Covariates, Econometric Reviews, 1-27.

Chudik, A., Pesaran, M. H., Sharifvaghefi, M. (2024), Variable Selection in High Dimensional Linear Regressions with Parameter Instability, Journal of Econometrics, 246(1-2), 105900.

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

Power Bounds and Efficiency Loss for Asymptotically Optimal Tests in IV Regression, with Marcelo Moreira and Geert Ridder

Comments on "Conditional inference with a functional nuisance parameter" by Andrews and Mikusheva, with Marcelo Moreira (a draft available upon request)

Optimal Invariant Tests in an Instrumental Variables Regression With Heteroskedastic and Autocorrelated Errors, with Marcelo Moreira and Geert Ridder (a new version to appear soon)

Work in Progress

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

Variable Selection Consistency in Linear High-Dimensional Settings, with Hashem Pesaran (to appear soon)