(2025) Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections.
With Bart Keijsers. Working paper
(2025) Identification- and many instrument-robust inference via invariant moment conditions.
With Hans Ligtenberg. Working paper | Code (Conditionally accepted, Journal of Econometrics)
(2025) The Act of Targeting: Privacy Risk, Plausible Deniability, and Profitability.
With Gilian Ponte, Thomas Reutterer, and Jaap Wieringa. (R&R Journal of Marketing Research)
(2024) Inference on LATEs with covariates.
With Didier Nibbering. Working paper
(2025) Grouped heterogeneity in linear panel data models with heterogeneous error variances. With Jhordano Aguilar Loyo.
Journal of Business & Economic Statistics, 43(1): 68-80. Link to journal (open access) | Working paper | Code
(2025) Uniform inference in linear error-in-variables models: divide-and-conquer. With Artūras Juodis.
Econometric Reviews, 44(3): 335-355. Link to journal (open access) | Working paper | Code
(2024) Where’s Waldo? A framework for quantifying the privacy-utility trade-off in marketing applications. With Gilian Ponte, Jaap Wieringa, and Peter Verhoef.
International Journal of Research in Marketing, 41(3): 529-546. Link to journal (open access) | Code
(2023) Unbiased estimation of the OLS covariance matrix when the errors are clustered. With Gianmaria Niccodemi and Tom Wansbeek.
Empirical Economics, 64: 2511-2533. Link to journal (open access) | Working paper | Code
(2023) Joint inference based on Stein-type averaging estimators in the linear regression model.
Journal of Econometrics, 235(2):1542-1563. Link to journal (open access) | Code | Slides
(2021) Corrigendum: Wang and Leng (2016), High-dimensional ordinary least-squares projection for screening variables. Journal of the Royal Statistical Society Series B, 78, 589–611. With Xiangyu Wang and Chenlei Leng.
Journal of the Royal Statistical Society. Series B, 83(4): 880-881. Link to journal
(2020) Does modeling a structural break improve forecast accuracy? With Andreas Pick.
Journal of Econometrics, 215(1):35-59. Link to journal | Code
(2019) Forecasting using random subspace methods. With Didier Nibbering.
Journal of Econometrics, 209(2):391-406. Link to journal | Code
(2018) Optimal forecasts from Markov switching models. With Andreas Pick.
Journal of Business & Economic Statistics, 36(4):628-642. Link to journal | Code | Slides
(2020) Subspace methods. With Didier Nibbering.
In Fuleky P. (ed.) Macroeconomic Forecasting in the Era of Big Data. Advanced Studies in Theoretical and Applied Econometrics, vol. 52. Springer, Cham. Link to publisher
(2020) Tennis betting odds. With Ruud Koning.
In Ley C. and Dominicy Y. (eds.) Science Meets Sports: When Statistics Are More Than Numbers. Cambridge Scholars Publishing. Link to publisher
(2021) Inference in high-dimensional linear regression models.
With Didier Nibbering. Working paper (arXiv)