- Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger
- Corrigendum to “Information criteria for impulse response function matching estimation of DSGE models” [J. Econom. 170 (2012) 499–518]
- An Econometric Life
- Introduction for the annals issue of the Journal of Econometrics on “Bayesian Models, Methods and Applications”
- Nonlinear methods in econometrics
- [sciencedirect.com] Dynamic econometric modeling and forecasting in the presence of instability
- Nonparametric and robust methods in econometrics
- Econometric studies of higher education
- Dynamic discrete choice structural models: A survey
- Forecasting by factors, by variables, by both or neither?
- [sciencedirect.com] Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
- [sciencedirect.com] Estimation and inference in two-stage, semi-parametric models of production processes
- An econometric model of network formation with an application to board interlocks between firms
- Healthy, wealthy, and wise? Tests for direct causal paths between health and socioeconomic status
- Consistent inference for predictive regressions in persistent economic systems
- Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
- Bayesian analysis in econometrics
- Uniform confidence bands for nonparametric errors-in-variables regression
- A discrete-time hedging framework with multiple factors and fat tails: On what matters
- Latent variable structural equation modeling with categorical data
- Health, economic resources and the work decisions of older men
- Consistent model specification tests based on k-nearest-neighbor estimation method
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Bayesian MIDAS penalized regressions: Estimation, selection, and prediction
- Covariate-adjusted Fisher randomization tests for the average treatment effect
- Learning, confidence, and option prices
- Generalized aggregation of misspecified models: With an application to asset pricing
- Moment condition tests for heavy tailed time series
- Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions
- How well do structural demand models work? Counterfactual predictions in school choice
- Welfare, preference and freedom
- Nonparametric inference for quantile cointegrations with stationary covariates
- Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models
- Conditional quantile processes based on series or many regressors
- Large-scale portfolio allocation under transaction costs and model uncertainty
- Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors
- Tests for conditional ellipticity in multivariate GARCH models
- Threshold autoregressive models for interval-valued time series data
- Econometric duration analysis
- Smoothed quantile regression with large-scale inference
- Smoothed GMM for quantile models
- Nonparametric estimation of structural models for high-frequency currency market data
- Testing endogeneity with high dimensional covariates
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Probability and causation
- Earnings dynamics and intergenerational transmission of skill
- Test procedures and test problems for least squares algorithms
- Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process
- Difference-in-differences with variation in treatment timing
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