Research

 New Tests of Equal Forecasting Accuracy for Factor Augmented Regressions with Weaker Loadings (with Luca Margaritella). Accepted at International Journal of Forecasting. ArXiv. 

 On Selection of Cross-Section Averages in Non-stationary Environments (with Jan Ditzen). Forthcoming at Journal of Time Series Analysis.  (https://doi.org/10.1111/jtsa.70027)

 Bootstrap-Improved Inference for CCE Regressions Under General Unknown Factors (with Ignace De Vos). Forthcoming at Journal of Business and Economic Statistics.  (https://doi.org/10.1080/07350015.2025.2565285) Updated Mathematical Supplement can be accessed here. 

Testing the zero-process of intraday financial returns for non-stationary periodicity (with Genaro Sucarrat). Journal of Financial Econometrics. 23, 3 (2025) (https://doi.org/10.1093/jjfinec/nbaf013).

 Handling Distinct Correlated Effects with CCE (with Ignace De Vos).  Oxford Bulletin of Economics and Statistics. 87, 2, p. 448-475 (2025) (https://doi.org/10.1111/obes.12650).

 Cross-section Bootstrap for CCE Regressions (with Ignace De Vos).  Journal of Econometrics. 240, 1 (2024) (https://doi.org/10.1016/j.jeconom.2023.105648).

 Complete Theory for CCE Under Heterogeneous Slopes and General Unknown Factors.  Oxford Bulletin of Economics and Statistics. 85, 2, p. 283-303 (https://doi.org/10.1111/obes.12523).

 The Factor Analytical Approach in Trending Near Unit Root Panels (with Joakim Westerlund and Milda Norkutė).  Journal of Time Series Analysis. 43, 3, p. 501-508 (2022) (https://doi.org/10.1111/jtsa.12624).

 Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors (with Joakim Westerlund).  Journal of Business and Economic Statistics. 40, 4. p. 1745-1758 (2022) (https://doi.org/10.1080/07350015.2021.1970576).

 On the Limit Theory of Mixed to Unity VARs: Panel Setting with Weakly Dependent Errors. Journal of Time Series Analysis. 41, 6, p. 892-898 (2020) (https://doi.org/10.1111/jtsa.12530).