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Publications
- State-dependent local
projections, with A. Herrera, L. Kilian and E.
Pesavento, 2024.
manuscript,
and Appendix (a
previous version of this paper circulated under
the title "When do state-dependent local
projections work?), forthcoming in the Journal
of Econometrics.
-
Bootstrap
inference in the presence of bias, with G.
Cavaliere and M. Nielsen, 2023, manuscript,
forthcoming in the Journal of the American
Statistical Association.
- Boostrap
inference under cross sectional dependence,
with T. Conley, M. Kim and B. Perron, 2022, Quantitative
Economics,
May 2023, Vol. 14, Issue 2, 511-569.
-
Impulse
response analysis for structural dynamic
models with nonlinear regressors, with
A. Herrera, L. Kilian, and E. Pesavento, 2021, Journal
of Econometrics, 225,
107-130.
- Bootstrapping
factor models with cross sectional dependence,
with B. Perron, 2020, Journal
of Econometrics, 218, 476-495.
- Inference with Dependent Data in
Accounting and Finance Applications, with
Christian Hansen and Timothy Conley, 2018, Journal
of Accounting Research, Volume
56, Issue 4.
- Bootstrapping GMM
tests under first order underidentification,
with P. Dovonon, 2017,
Journal of
Econometrics, 43-71.
- Bootstrapping
pre-averaged realized volatility under market
microstructure noise,
with U. Hounyo and N. Meddahi, 2017, Econometric
Theory,
33,
791-833.
- Tests
of equal predictive ability in factor-augmented
models, with Michael
W. McCracken and Benoit Perron,
2017,
Journal of
Econometrics, 198, 231-252.
Bootstrap
prediction intervals for factor models, with B. Perron and A. Djogbenou,
2017, Journal
of Business and Economic Statistics,
35, 53-69.
Bootstrapping
regression models with estimated factors and
serial correlation,
with A. Djogbenou
and B. Perron,
2015, Journal
of Time Series Analysis, Volume
36, Issue 3, 481–-502.
Bootstrapping linear dynamic panel
models with individual fixed effects, with M. Kaffo,
2015, Journal of
Econometrics, 186, 407-426.
Discussion
of `Bootstrap prediction intervals for
linear, nonlinear, and nonparametric autoregressions',
by Li Pan and Dimitris Politis,
2016, joint with Benoit Perron,
Journal
of Statistical Planning and Inference,
177, 31-34.
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Bootstrapping factor-augmented
regression models,
with B. Perron, 2014, Journal
of Econometrics, 182, 156-173.
Bootstrap
inference for pre-averaged realized volatility based
on non-overlapping returns,
with U. Hounyo and N. Meddahi,
2014, Journal
of Financial Econometrics, 12 (4), 679-707.
Bootstrapping realized
multivariate volatility measures,
with P. Dovonon and N. Meddahi, 2013, Journal
of Econometrics, 172, 49-65.
Discussion: Bootstrap methods for
dependent data: A review,
with D. Politis, 2011, Jornal of the Korean Statistical
Association, 40, 383-386.
The moving blocks bootstrap for
panel linear regression models with individual fixed
effects,
2011, Econometric Theory,
27, 1048-1082.
Block bootstrap puzzles in HAC
robust testing: the sophistication of the naive
bootstrap, with T. Vogelsang, 2011, Econometric
Theory, 27,
745-791.
Box-Cox transforms for realized
volatility,
with N. Meddahi, 2011, Journal of Econometrics,
160, 129-144.
Bootstrapping realized volatility,
with N. Meddahi, 2009, Econometrica,
Vol. 77, 283-306. Appendix
Edgeworth
corrections for realized volatility, with N. Meddahi,
2008, Econometric
Reviews, 27 (1), 139-162.
Asymptotic and bootstrap inference
for AR(inf)
processes with conditional heteroskedasticity,
with L. Kilian, 2007, Econometric Reviews,
26 (6), 609-641.
Predictable dynamics in the
S&P 500 index options volatility surface, with M. Guidolin,
2006, Journal of Business,
Vol. 79, No. 3, May 2006, 1591-1635.
Estimation risk in financial risk
management,
with P. Christoffersen,
2005, Journal of Risk,
1-29.
Bootstrap standard error estimates
for linear regression,
with H. White, 2005, Journal of the American
Statistical Association, Vol. 100, No.
471, 970-979.
Bootstrapping autoregressions
with conditional heteroskedasticity
of unknown form,
with L. Kilian, 2004, Journal
of Econometrics, 123, 89-120.
Maximum likelihood and the
bootstrap for nonlinear dynamic models,
with H. White, 2004, Journal of Econometrics,
119, 199-220.
Consistency of the stationary
bootstrap under weak moment conditions,
with R. de Jong, 2003, Economics Letters,
81, 273-278. Long
Version
The
bootstrap of the mean for dependent heterogeneous
arrays,
with H. White, 2002, Econometric Theory,
18, 1367-1384.
Working papers
- When do
state-dependent local projections work? with A.
Herrera, L. Kilian and E. Pesavento, 2022, manuscript.
-
Bootstrapping
out-of-sample predictability tests with real-time
data,
with M. McCracken and Y. Yao, 2023, manuscript.
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