Publications

Refereed Articles

• Boosting Diffusion Indices (with J. Bai, 3/08, Forthcoming Journal of Applied Econometrics) pdf


• Macro Factors in Bond Risk Premia (with S. Ludvigson 09/05, forthcoming Review of Financial Studies) pdf


• Forecasting Economic Time Series Using Targeted Predictors (with J. Bai, Revised 02/07, forthcoming Journal of Econometrics) pdf


• Large Dimensional Factor Analysis, (2008), Foundations and Trends in Econometrics , 3:2, 89-163. pdf


• Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers (with M. Shum), (2007), BE Journal of Economic Analysis and Policy, (Advancees), 7:1, Article 60 pdf


• A Simple Test for NoN-Stationarity in Mixed Panels, (2008) Journal of Business and Economic Statistics , 26:1, 113-127, pdf


• The Empirical Risk-Return Relation: A Factor Analysis Approach (with S. Ludvigson) , Journal of Financial Economics , 2007, 83:171-222 pdf


• "Determining the Number of Primitive Shocks in Factor Models" (with J. Bai), (2007), Journal of Business and Economic Statistics, 25:1, p.52-60. pdf


• "Confidence Intervals for Diffusion Index Forecasts and Inference for Factor Augmented Regressions, (with J. Bai), (2006) Econometrica, 74:4, p. 1133-1150". pdf file . Also available: long version


• "Are More Data Always Better for Factor Analysis", (with J. Boivin), (2006), Journal of Econometrics, 132, p. 169-194. pdf file


• " Evaluating Latent and Observed Factors in Macroeconomics and Finance", (with J. Bai), (2006) Journal of Econometrics, 113:1-2, p. 507-537". pdf file


• "Testing Cross-Section Correlation in Panel Data using Spacings", Journal of Bisiness and Economics Statistics , (2006), 24:1, 12-23. pdf file


• "Understanding and Comparing Factor Based Macroeconomic Forecasts", with J. Boivin, (2005) International Journal of Central Banking, 1:3, p.117-152. pdf file


• "Non-stationary Demand Systems" (with A. Lewbel), (2005), Review of Economics and Statistics , Vol 87:4, p. 479-494. pdf file


• "A Note on the Selection of Time Series Models", (with P. Perron), (2005), Oxford Bulletin of Economics and Statistics, 67:1, 115-134. pdf file


• "Tests of Skewness, Kurtosis, and Normality in Time Series Data" (with J. Bai), (2005), Journal of Bisiness and Economics Statistics , 23:1, 49-60. pdf file


• "Intergenerational Linkages in Consumption Behavior", (with A. Waldkirch and D. Cox), (2004), Journal of Human Resources , 39:2, p. 355-381. pdf file


• "A PANIC Attack on Unit Roots and Cointegration, ", (with J. Bai), Econometrica, (2004), 72:4, 1127-1177. pdf file


• A New Look at Panel Testing of Stationarity and the PPP Hypothesis with J. Bai, (2004), Indentification and Inference in Econometric Models: Essays in Honor of Thomas J. Rothenberg, Don Andrews and James Stock (ed), Cambridge University Press. pdf file


• "Intergenerational Time Transfers and ChildCare (with E. Cardia) Review of Economic Dynamics", (2003), 6:2, 431-454. pdf file


• "Analysis of Vector Autoregressions in the Presence of Mean Shifts", (with T. Vogelsang), (2002), Econometric Reviews, 21:3, 353-381, pdf file


• "Forecasting Dynamic Time Series in the Presence of Deterministic Components", (with T. Vogelsang), (2002) The Econometrics Journal, 5, 196-224, pdf file


• "Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates" , Journal of International Money and Finance,, (2003), 22:1, 65-85, pdf file


• "PPP May not Hold Afterall: A Further Investigation" (with P. Perron), Annals of Economics and Finance, (2002), 3, 41-64. pdf file


• "Determining the Number of Factors in Approximate Factor Models", (with J. Bai), Econometrica, (2002), 70:1, 191-221. pdf file


• "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power ", (with P. Perron), Econometrica, (2001), 69:6, 1519-1554. pdf file


• "A Test for Conditional Symmetry in Time Series Models", (with J. Bai), (2001), Journal of Econometrics, Vol 103, 1:2, 225-258. pdf file


• "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks", (with J. Gonzalo), (2001), Journal of Economic Dynamics and Control, 25:10, p. 1527-1546. pdf file


• "Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators", (with A. Michaelides), (2000), Journal of Econometrics, Vol 96:2, p. 231-266. pdf file


• "Testing for ARCH in the Presence of a Possibly Misspecified Mean". (with R. L. Lumsdaine), (1999), Journal of Econometrics, 93:2, p. 257-279. pdf file


• "Properties of the Autoregressive Spectral Density Estimator at Frequency Zero in ARIMA Processes". (with P.Perron), (1998), Econometric Theory, Vol 14, p. 560- 603. pdf file


• "A Semi-Parametric Factor Model for Interest Rates and Spreads" (with E. Ghysels), (1998), Review of Economics and Statistics , Vol 80:4, p. 489-502. pdf file


• "Parametric and Non-parametric Approaches to Price and Tax Policy Reform" (with A. Deaton), (1998), Journal of the American Statistical Association, Vol 93, p.900- 909. pdf file


• "Excess Sensitivity and Asymmetries in Consumption" (with A. Lusardi and R. Garcia), (1997), Journal of Money Credit and Banking, Vol. 29:2, 154-176. pdf file


• "Estimation and Inference in Nearly Unbalanced Nearly Cointegrated Systems" (with P. Perron),(1997), Journal of Econometrics, Vol 79, 54-81. pdf file


• "Useful Modifications to Unit Root Tests with Dependent Errors and their Local Asymptotic Properties" (with P. Perron). (1996), Review of Economic Studies , Volume 63, 435-464. pdf file


• "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information" (with Huntley Schaller), (1996), Review of Economics and Statistics , Vol. 78, 375-383. pdf file


• "Looking for Evidence of Speculative Stockholding in Commodity Markets", (1996), Journal of Economic Dynamics and Control, Volume 20, 123-144. pdf file


• "The Exact Error of the Spectral Density at the Origin" (with P. Perron). (1996) Journal of Time Series Analysis, Volume 17, 379-408.


• "Unit Root Tests in ARMA Models with Data Dependent Methods for the Truncation Lag" (with P. Perron) (1995), Journal of the American Statistical Association, Volume 429, 268-281. pdf file


• "Testing for Homogeneity in Demand Systems when the Regressors are Non-Stationary ", (1995), Journal of Applied Econometrics, Volume 10, 147-164. pdf file


• "Testing for Unit Roots in Flow Data Sampled at Different Frequencies", (1995),Economics Letters , Volume 47, p. 237-242. pdf file

Invited Papers

• "Explaining the Persistence of Commodity Prices" (with F. Ruge-Murcia), (2000), Computational Economics, Volume 16, 1:2, 149-171.


• "Review of Coint 2.0 by P.C.B. Phillips and S. Ouliaris", (1995),Journal of Applied Econometrics, Volume 10, 205-210. pdf file