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.

Moreira, M. J., Sharifvaghefi, M. (2026), Correction to the Supplement for ‘Conditional inference with a functional nuisance parameter’ by Andrews and Mikusheva, Econometrica forthcoming.

Working Papers

Power Bounds and Efficiency Loss for Asymptotically Optimal Tests in IV Regression, with Marcelo Moreira and Geert Ridder (revise and resubmit Econometrica)

Properties of the Conditional Likelihood Ratio Test under Discrete Approximation, with Marcelo Moreira (under review)
An Algebraic Approach to Continuously Updating GMM: Estimation and Inference, with Marcelo Moreira and Whitney Newey (under review)

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

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