Working Papers

• Factor Augmented Autoregressive Distributed Lag Models (with D. Stevanovic, 05/12) pdf
• Constructing Common Factors from Continuous and Categorical Data Using Matrix Decompositions (5/12, new title) pdf
• Variable Selection in Predictive Regressions (Revised 05/12) pdf
• Principal Components Estimation and Identification of the Factors (with J. Bai, 06/10) pdf
• Dynamic Hierarchical Factor Models (with E. Moench and S. Potter, 4/10) pdf Data Appendix
• Determining the Number of Factors in Approximate Factor Models, Errata (with J. Bai, 05/ 06. ) pdf
• How Does Housing Afffects Consumption? (with Huntley. Schaller, 1998. ) pdf

Computer Code

• Gauss Code for PT Decomposition (JEDC 2001)
• Gauss Code for MIC and Unit Root Tests (Econometrica 2001)
• Gauss code for Testing Conditional Symmetry (JOE 2001)
• Matlab code for panel unit root and stationarity tests (Econometrica 2004)
• Matlab code for determining the number of factors (Econometrica 2002)
• Matlab code for determining the number of dynamic factors (JBES 2007)
• Matlab code Testing cross-section correlation using spacings (JBES 2006)
• Matlab code Testing Normality and Symmetry (JBES 2005)
• Matlab code Evaluating Latent Variables (JOE 2007)
• Matlab code Estimation of DSGE models with persistent data
• Matlab code Identification of DSGE models
• Matlab code New PANIC (ET 2010)
• Matlab code Commodity Prices (RESTAT 2011)
• Matlab code Dynamic Hierarchical Factor Models
• some matlab functions used in the programs