• Unit roots in white noise?!Joint with Harald Uhlig. A very short and, I hope, entertaining paper that shows that the empirical distribution of the characteristic roots of high-order VARs fitted to any stationary process (including white noise) converge to a uniform distribution over the unit circle in the complex plane as the order of the VAR and the number of observations go to infinity. Explains Granger and Jeon's (2006) "halo" phenomenon.
• Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices. (Previously referred to as "An extension of Baik, Ben Arous and Peche, 2005 to singular complex Wishart case") A useful paper for those who want to analize asymptotic behavior of largest eigenvalues of singular sample covariance matrices Also contains a 95% confidence set for the number of factors in excess stock returns. A March 13 version. To appear in Annals of applied probability
• Curve forecasting by functional auto-regression Joint with Vladislav Karguine. Develops a new method of dimension reduction which is particularly suited for forecasting of infinite-dimensional data (such as that represented by curves)
• An article on Model Uncertainty for new Palgrave Dictionary of Economics
• Testing hypotheses about the number of factors in large factor models Develops a formal test for the number of dynamic factors in large N large T panels. The test is based on Tracy-Widom distribution. A version of the test for the number of static factors is also developed. A January 31, January,2008 version
• Asymptotic distribution of the principal components estimator of large factor models when factors are relatively weak Establishes asymtotic distribution of the principal components estimator of factors and factor loadings when the cumulative effect of the normalized factors on the cross-sectional units is not overwhelmingly dominating idiosyncratic influences. (August 2007 version)
• Determining the number of factors form empirical distribution of eigenvalues An application of large random matrix theory results to factor models (NEW AND BETTER!!! VERSION)
• Monetary policy under uncertainty in micro-founded macroeconometric models, Joint with Andrew Levin, John Williams and Noah Williams. The most recent version is published in Macroeconomics Annual 2005, pp229-289
• Empirical and Policy Performance of a Forward-Looking Monetary Model Joint with Noah Williams.
• Modeling Model Uncertainty Joint with Noah Williams. A working paper version. The most recent can be read in Journal of European Economic Association Vol. 1, No. 5
• Winding Number Criterion for Existence and Uniqueness of Equilibrium in Linear Rational Expectations Models June 3, 2004 version. The most recent version is published in Journal of Economic Dynamics and Control (2006), Vol 30, pp.323-345.
• Robust Monetary Policy under Model Uncertainty: Incorporating Rational Expectations
• Testing Shape Restrictions on the Steady-State Distribution of a Finite Markov Chain
• Minimax Analysis of Model Uncertainty: Comparison to Bayesian Approach, Worst Possible Economies, and Optimal Robust Monetary Policies
• "Robust Monetary Policy under Model Uncertainty in a Small Model of the US Economy" Macroeconomic Dynamics, Vol. 6, No. 1. Joint with James Stock
• "Searching for Prosperity" Carnegie-Rochester Conference Series on Public Policy Vol. 55, December Joint with Michael Kremer and James Stock