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). Accepted. International Economic Review

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

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. 300-3006

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 
Carson, Richard, The Econometrics Journal, Forthcoming. 

 Optimal Bandwidth Selection in Heteroscedasicity-Autocorrlation Robust Testing
 (with Peter Phillips and Sainan Jin), Econometrica, Forthcoming

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

 Optimal Bandwith Choice for Interval Estimation in GMM Regression 
August 2007  (with Peter Phillips)

Best Quadratic Unbiased Estimators of Integrated Variance in the Presence of Market Microstructure Noise
July 2006.

Asymptotic Distributions of Impulse Response Functions in Short Panel Vector Autoregressions
(May 2006) With Bolong Cao. 

Estimation and Inference in Panel Structure Models  
(August 2005)

Adaptive Estimation of Regression Discontinuity Models  
   (February 2005)

Improved HAR Inference Using Power Kernels without Truncation
     (November 2004) with Peter Phillips and Sainan Jin

Balancing Size and Power in Non Parametric Studentized Testing with Quadratic Power Kernels without Truncation 
(2005) with Peter Phillips and Sainan Jin

Past Working Papers

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