Research

Working papers

(2024) Inference on LATEs with covariates.
 With Didier Nibbering. Working paper

(2023) Identification- and many instrument-robust inference via invariant moment conditions.
With Hans Ligtenberg. Working paper / Code

(2022) Uniform inference in linear error-in-variables models: divide-and-conquer.
With Artūras Juodis. Working paper / Code (R&R Econometric Reviews)


Journal articles

(2024) Grouped heterogeneity in linear panel data models with heterogeneous error variances. With Jhordano Aguilar Loyo.
Journal of Business  & Economic Statistics (in press) Link to journal (open access) / Working paper / 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

(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

Note

(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 

Book chapter

(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


Idle...

(2021) Inference in high-dimensional linear regression models.
With Didier Nibbering. Working paper (arXiv)