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Publications
Robust Tests of Forecast Accuracy for Factor-Augmented Regressions with an Application to the Novel EA-MD-QD Dataset (with Alessandro Morico). Accepted at Journal of Applied Econometrics.
New Tests of Equal Forecasting Accuracy for Factor Augmented Regressions with Weaker Loadings (with Luca Margaritella). Forthcoming at International Journal of Forecasting. (https://doi.org/10.1016/j.ijforecast.2025.11.005)
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)
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).
Work in Progress
1) Marginal Treatment Effects and Monotonicity (joint with Henrik Sigstad).
2) Testing Forecast Accuracy of High-Dimensional Idiosyncratic Components (joint with Luca Margaritella).
3) Selecting Cross-Section Averages in Forecasting Models (joint with Christina Maschmann and Jan Ditzen).
4) Recursive Bootstrap for Dynamic Models with Interactive Effects (joint with Arturas Juodis and Sander Tromp).
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