Working Papers

• Dynamic Hierarchical Factor Models (with E. Moench and S. Potter, 08/08) pdf
• Extremum Estimation when the Predictors are Estimated from Large Panels (with Jushan Bai 3/08) pdf
• Estimation of Panel Data Models with Parameter Heterogeneity When Group Membership is Unknown (with CC Lin 11/07) pdf
• Estimators Persistent and Possibly Non-Stationary Data with Classical Properties (with Yuriy Gorodnichenko, 12/07) pdf
• Selecting Instrumental Variables in a Data Rich Environment (with Jushan Bai, 05/08) pdf
• Treatment Decisions When There Are Multiple Options ( 10/07) pdf
• Estimaton of DSGE Models When the Data are Persistent (with Yuriy Gorodnichenko, Revised 12/07) pdf
• Panel Cointegration with Global Stochastic Trends (with J. Bai and C. Kao, 12/07) pdf
• Instrumental Variable Estimation in a Data Rich Environment (with J. Bai, 10/06) pdf
• Boosting Diffusion Indices (with J. Bai, 3/08) pdf
• Panel Unit Root Tests with Cross-Section Dependence (with J. Bai, 9/07) pdf
• Macro Factors in Bond Risk Premia (with S. Ludvigson 09/05) pdf
• 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)
• some matlab functions used in the programs