Publications
Refereed Articles
A Likelihood Reverse Sampler of the Posterior Distribution, (with Jean-Jacques
Forneron, 2016)
pdf
Advances in Econometrics Vol 36, p.389-415.
FRED-MD: A Monthly Database for Macreconomic Research (with Michael McCracken, 06/1)
pdf & Journal of Business and Economic Statistcs,
download data here
Minimum Distance Estimation of Dynamic Models with Errors in Variables (with N.
Gospodinov and I. Komunjer, 08/14, revised 02/16), Forthcoming Journal of Economettrics,
pdf
Constructing Common Factors from Continuous and Categorical Data (2015), Econometric Reviews, 34,
1141-1171
pdf
Measuring Uncertainty (with K. Jurado and S. Ludvigson, (2015) American
Economic Review, 105:3, 1177-1216)
pdf    
Uncertainty Series   
Macro data
Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models
(with N. Gospodinov, 2015, Journal of Business and Economic Statistics, 33:3,
p.403-417)
pdf
Boosting Recessions (2014), Canadian Journal of Economics 47:1, p.1-34)
pdf
Measurement Errors in Dynamic Models
(2014, with I. Komunjer), Econometric Theory, 30, 150-175
pdf
Principal Components Estimation and Identification of the Factors
(2013, with J. Bai, Journal of Econometrics, 176:1, p.18-29)
pdf
Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
(with J. Wright, 2013, Journal of Economic Literature, 51L4, p.1120-1154)
pdf
Variable Selection in Predictive Regressions (2013, Handbook of Forecasting Vol.2B, p.753-786)
pdf
Dynamic Hierarchical Factor Models (2013, with E. Moench and S. Potter) Review
of Economics and Statistics, 95:5.
pdf
Data Appendix
Commodity Prices, Convenience Yields, and Inflation
(with N. Gospodinov, 03/13, Review of Economics and Statistics)
pdf
and
Matlab code
Estimators for Persistent and Possibly Non-Stationary Data with
Classical Properties (2012, with Yuriy
Gorodnichenko and Anna Mikusheva), Econometric Theory, 28, p.1003-1036
pdf
and
on line appendix
Estimation of Panel Data Models with Parameter Heterogeneity When
Group Membership is Unknown (2012, with CC Lin) Journal
of Economic Methods, 1, p.42-55
pdf
and
Matlab code
Dynamic Identification of DSGE Models
(2011, with I. Komunjer), Econometrica, 79:6, 1995-2032
pdf
and supp. file
Further
details
and
Matlab code
A Factor Analysis of Housing Market Dynamics in the U.S. and the
Regions
(with E. Moench, 2011,} Econometrics Journal, 14, C1-C24.
pdf
Estimaton of DSGE Models When the Data are Persistent (2010), with Yuriy
Gorodnichenko, Journal of Monetary Economics, 57, p.325-340.
pdf
and
Matlab code
A Factor Analysis of Bond Risk Premia (with Sydney Ludvigson, 2011)
pdf
and
data
Handbook of Empirical Economics and Finance, A. Ulah and D. Giles
Ed. p.313-372, Chapman and Hall.
Instrumental Variable Estimation in a Data Rich Environment (2010, with
J. Bai), Econometric Theory, 26:6, 1577-1606
pdf
Panel Unit Root Tests with Cross-Section Dependence (2010), with J. Bai
Econometric Theory, 26, 1088-1114
pdf
and
Matlab code
Selecting Instrumental Variables in a Data Rich Environment (2009)
with Jushan Bai, Journal of Time Series Econometrics, 1:1, Article 4
pdf
Panel Cointegration with Global Stochastic Trends (2009), with J. Bai and
C. Kao, Journal of Econometrics, 149, 82-99.
pdf
Boosting Diffusion Indices (2009), with J. Bai, Journal of
Applied Econometrics, 24:4, 607-629.
pdf
Macro Factors in Bond Risk Premia (2009) (with S. Ludvigson)
Review of Financial Studies, 22:12, 5027-5067
pdf and
Data
Forecasting Economic Time Series Using Targeted Predictors (2008) (with
J. Bai), Journal of Econometrics 146, 304-317
pdf
Extremum Estimation when the Predictors are
Estimated from Large Panels
(2008), with Jushan Bai, Annals of Economics and Fiance, 9-2, 201-222.
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
and
Matlab code
"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
and
Matlab code
"Testing Cross-Section Correlation in Panel Data using Spacings",
Journal of Bisiness and
Economics Statistics , (2006), 24:1, 12-23.
pdf file
and
Matlab code
"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
and
Matlab code
"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
and
Matlab code
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
and
Matlab code
"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
and
Gauss Code
"A Test for Conditional Symmetry in Time Series Models", (with
J. Bai), (2001), Journal
of Econometrics, Vol 103, 1:2, 225-258.
pdf file
and
Gauss code
"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
and
Gauss Code
"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),99> 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.
pdf file
"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