Publications 

 Nonlinear Log-Periodogram Regression Estimation of Long-Range Dependence for Perturbed Fractional Processes 
(with Peter Phillips),  Journal of Econometrics, Vol. 115 (2003), No. 2, pp. 355-389.

Adaptive Local Polynomial Whittle Estimation of Long Range Dependence
(with Donald Andrews),  Econometrica 72(2) (2004) 569-614

Understanding the Fisher Equation
 (with Peter Phillips), Journal of Applied Econometrics 19 (2004) 869-886

A Convergent t-statistic in Spurious Regressions
 Econometric Theory 20 (2004)  943-962

Estimation of the Long-run Average Relationship in Nonstationary Panel Time Series
First Version (March 2003)   Revised Version (Sept 2003) 
 Econometric Theory 20 (2004) 1227-1260

Spectral Density Estimation and Robust Hypothesis Testing using Steep Origin Kernels without Truncation
(with Peter Phillips and Sainan Jin). International Economic Review, Vol. 47 (2006), pp. 837-894

Spurious Regressions Between  Stationary  Generalized Long Memory Processes
Economics Letters, Vol. 90 (2006), pp. 446-454

A New Approach to Heteroskedasticity and Autocorrelation Robust Inference in Cointegration  
(with Peter Phillips and Sainan Jin). Economics Letters, Vol. 91 (2006), pp. 300-306

Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation
 (with Patrik Guggenberger) Econometric Theory, vol 22 (2006), pp. 863-912

 The Tobit Model with a Nonzero Threshold 
(with Carson, Richard) The Econometrics Journal, (2007), 10, pp. 488-502.

Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
 (with Peter Phillips and Sainan Jin).  Journal of Statistical Planning and Inference, Vol. 137 (2007), pp. 985-1023

 Optimal Bandwidth Selection in Heteroscedasicity-Autocorrlation Robust Testing 
  [Long Version] [Short Version]  [Supplement to the short version] The short version contains errata
 (with Peter Phillips and Sainan Jin), Econometrica, Vol. 76(1), (2008), pp. 175-194.

Power Maximization and Size Control in Heteroscedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
  (with Peter Phillips and Sainan Jin) Forthcoming in  Econometric Theory

Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix 
  (with Min Seong Kim)  Journal of Econometrics,  Volume 160, Issue 2, February 2011, Pages 349-371

Asymptotic Distributions of Impulse Response Functions in Short Panel Vector Autoregressions
 (with Bolong Cao)  Journal of Econometrics, Volume 163, Issue 2, August 2011, Pages 127-143

Robust Trend Inference with Series Variance Estimator and Testing-optimal Smoothing Parameter 
Journal of Econometrics,  Volume 164, Issue 2, October 2011, Pages 345-366

Simple and Powerful GMM Over-identification Tests with Accurate Size
 (with Min Seong Kim) Forthcoming in  Journal of Econometrics

 

Problem and Solutions in Econometric Theory

Non-orthogonal Hilbert Projections in Trend Regression 
(with Peter Phillips), Econometric Theory, Vol. 17(4), 2001

Regression with an Evaporating Logarithm Trend
(with Peter Phillips), Econometric Theory, Vol. 18(3), 2002.

Current Working Papers

Sieve Inference on Semi-nonparametric Time Series Models Cowles Foundation Discussion Paper 1849
(With Xiaohong Chen and Zhipeng Liao 2012) 

Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects
(with Min Seong Kim 2011) 

Heteroscedasticity and Autocorrelation Robust F Test Using Orthonormal Series Variance Estimator
(2012) This paper replaces an earlier working paper entitled 
 Autocorrelation Robust Inference Using Series Variance Estimator and Testing-optimal Smoothing Parameter

Optimal Threshold Selection for Realized Volatility Forecasts in the Presence of Jumps
(with Ben Fissel 2011) 

A New Asymptotic Theory for Vector Autoregressive Long-run Variance Estimation and Autocorrelation Robust Testing
(with David Kaplan 2011)

Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference 
(2010) This paper is now replaced by Asymptotic F Test in a GMM Framework (2011)

 Optimal Bandwith Choice for Interval Estimation in GMM Regression 
  (with Peter Phillips, 2008)

k-step Bootstrap Bias Correction for Fixed Effects Estimators in Nonlinear Panel Models
  (with Min Seong Kim, 2009)

Past Working Papers

Best Quadratic Unbiased Estimators of Integrated Variance in the Presence of Market Microstructure Noise

Adaptive Estimation of Regression Discontinuity Models  
(Click here for Romanian Translation  by Alexander Ovsov)

Estimation and Inference in Panel Structure Models

Catching up, Forging ahead, and Falling behind: a Panel Structure Analysis of Convergence Clubs 
      (First Version: June 2001. This version: November 2001) 

Efficient Detrending in the Presence of Fractional Errors
       (September 1999) with Peter Phillips and Chinchin Lee