CFDP 659, "Robust and Asymptotically Efficient Estimation of Location in a Stationary Strong Mixing Gaussian Parametric Model" (1982) [66pp, abstract]

CFDP 664, "First Order Autoregressive Processes and Strong Mixing" (1983) [24pp, abstract]

CFDP 697, "Robust Estimation of Location in a Gaussian Parametric Model: II" (1984) [47pp, abstract] [CFP 725]

CFDP 698, "A Zero-One Result for the Least Squares Estimator" (1984) [13pp, abstract] [CFP 621]

CFDP 710, "Stability Comparisons of Estimators" (1984) [45pp]

CFDP 710R, "Stability Comparisons of Estimators" (5/1985) [54pp]

CFDP 710R2, "Stability Comparisons of Estimators" (11/1985) [54pp, abstract] [CFP 663]

CFDP 734, "A Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood, Robust Adaptive, and Spectral Estimators of the Linear Model" (1985) [22pp, abstract]

CFDP 734R, "A Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood, Robust Adaptive, and Spectral Estimators of the Linear Model" (1985) [30pp, abstract] [CFP 658]

CFDP 761, "Asymptotic Results for Generalized Wald Tests" (1985) [12pp]

CFDP 761R, "Asymptotic Results for Generalized Wald Tests" (1986) [14pp, abstract] [CFP 694]

CFDP 762, "Random Cell Chi-Square Diagnostic Tests for Econometric Models: I. Introduction and Applications" (1985) [62pp, abstract] [CFP 698]

CFDP 763R, "Random Cell Chi-Square Diagnostic Tests for Econometric Models: II. Theory" (1985) [64pp, abstract] [CFP 719]

CFDP 786, "Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions" (1986) (with Peter C.B. Phillips) [28pp, abstract] [CFP 690]

CFDP 790, "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers" (1986) [26pp, abstract] [CFP 693]

CFDP 798, "On the Performance of Least Squares in Linear Regression with Undefined Error Means" (1986) [abstract, 54pp]

CFDP 800, "Power in Econometric Applications" (1986) [54pp, abstract] [CFP 737]

CFDP 832, "Inference in Econometric Models with Structural Change" (1987) (with Ray C. Fair) [60pp, abstract] [CFP 713]

CFDP 874R, "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models" (1988) [70pp, abstract] [CFP 776]

CFDP 877R, "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation" (1988) [62pp, abstract] [CFP 780]

CFDP 906, "Asymptotic Optimality of Generalized C_L, Cross-Validation, and Generalized Cross-Validation in Regression with Heteroskedastic Errors" (1989) [24pp, abstract] [CFP 790]

CFDP 907, "An Empirical Process Central Limit Theorem for Dependent Non-Identically Distributed Random Variables" (1989) [25pp, abstract] [CFP 792]

CFDP 908R, "Asymptotics for Semiparametric Econometric Models: I. Estimation" (1990) [100pp, abstract]

CFDP 909R, "Asymptotics for Semiparametric Econometric Models: II. Stochastic Equicontinuity and Nonparametric Kernel Estimation" (1990) [98pp, abstract] [CFP 863]

CFDP 910, "Asymptotics for Semiparametric Econometric Models: III. Testing and Examples" (1989) [53pp, abstract]

CFDP 925, "Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality" (1989) (with Yoon-Jae Whang) [20pp, abstract] [CFP 771]

CFDP 940, "Generic Uniform Convergence" (1990) [21pp, abstract] [CFP 810]

CFDP 942, "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator" (1990) (with Christopher J. Monahan) [35pp, abstract] [CFP 814]

CFDP 943, "Tests for Parameter Instability and Structural Change with Unknown Change Point" (1990) [78pp, abstract] [CFP 845]

CFDP 944, "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis" (1990) (with Eric Zivot) [52pp, abstract] [CFP 811]

CFDP 951, "A Functional Central Limit Theorem for Strong Mixing Stochastic Processes" (1990) (with David Pollard) [16pp, abstract] [CFP 870]

CFDP 968, "Tests of Specification for Parametric and Semiparametric Models" (1991) (with Yoon-Jae Whang) [80pp, abstract] [CFP 844]

CFDP 975, "Exactly Unbiased Estimation of First Order Autoregressive-Unit Root Models" (1991) [42pp, abstract] [CFP 832]

CFDP 1015, "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative" (1992) (with Werner Ploberger) [62pp, abstract] [CFP 879]

CFDP 1016, "Optimal Changepoint Tests for Normal Linear Regressions" (1992) (with Inpyo Lee, Werner Ploberger) [32pp, abstract] [CFP 925]

CFDP 1020, "An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables" (1992) [40pp, abstract] [CFP 837]

CFDP 1026, "Approximately Median-Unbiased Estimation of Autoregressive Models with Applications to U.S. Macroeconomic and Financial Time Series" (1992) (with Hong-Yuan Chen) [47pp, abstract] [CFP 867]

CFDP 1035, "The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests" (1992) [40pp, abstract] [CFP 874]

CFDP 1053, "Nonlinear Econometric Models with Deterministically Trending Variables" (1993) (with C. John McDermott) [25pp, abstract] [CFP 907]

CFDP 1058, "Admissibility of the Likelihood Ratio Test When a Nuisance Parameter is Present Only Under the Alternative" (1993) (with Werner Ploberger) [32pp, abstract] [CFP 916]

CFDP 1059, "Empirical Process Methods in Econometrics" (1993) [58pp, abstract] [CFP 887]

CFDP 1060R, "Hypothesis Testing with a Restricted Parameter Space" (1994) [63pp, abstract] [CFP 960]

CFDP 1077, "Testing for Serial Correlation Against an ARMA(1,1) Process" (1994) (with Werner Ploberger) [29pp, abstract] [CFP 933]

CFDP 1111R, "A Conditional Kolmogorov Test" (1996) [44pp, abstract] [CFP 949]

CFDP 1119, "Semiparametric Estimation of a Sample Selection Model" (1996) (with Marcia A. Schafgans) [35pp, abstract] [CFP 965]

CFDP 1120, "A Stopping Rule for the Computation of Generalized Method of Moments Estimators" (1996) [29pp, abstract] [CFP 945]

CFDP 1124, "Tests of Seasonal and Non-Seasonal Serial Correlation" (1996) (with Xuemei Liu, Werner Ploberger) [35pp, abstract] [CFP 971]

CFDP 1141R, "On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests" (1996) (with Moshe Buchinsky) [52pp, abstract] [CFP 1125]

CFDP 1146R, "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation" (1997) [23pp, abstract] [CFP 979]

CFDP 1153, "Estimation When a Parameter Is on a Boundary: Theory and Applications" (1997) [92pp, abstract] [CFP 988]

CFDP 1157, "A Simple Counterexample to the Bootstrap" (1997) [8pp, abstract]

CFDP 1229, "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis" (1999) [50pp, abstract] [CFP 1021]

CFDP 1230, "Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators" (1999) [74pp, abstract]

CFDP 1230R, "Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators" (1999) [66pp, abstract] [CFP 1031]

CFDP 1233, "Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models" (1999) (with Biao Lu) [47pp, abstract] [CFP 1015]

CFDP 1250, "On the Number of Bootstrap Repetitions for BC_a Confidence Intervals" (2000) (with Moshe Bushinksy) [22pp, abstract]

CFDP 1263, "A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter" (2000) (with Patrik Guggenberger) [38pp, abstract] [CFP 1051]

CFDP 1269, "Equivalence of the Higher-order Asymptotic Efficiency of k-step and Extremum Statistics" (2000) [42pp, abstract] [CFP 1044]

CFDP 1293, "Local Polynomial Whittle Estimation of Long-range Dependence" (2001) (with Yixiao Sun) [36pp, abstract]

CFDP 1334, "Higher-order Impovements of the Parametric Bootstrap for Markov Processes" (2001) [51pp, abstract]

CFDP 1361, "Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-memory Gaussian Time Series" (2002) (with Offer Lieberman) [25pp, abstract]

CFDP 1369, "End-of-Sample Instability Tests" (2002) [43pp, abstract] [CFP 1072]

CFDP 1370, "The Block-block Bootstrap: Improved Asymptotic Refinements" [36pp, abstract] Reprinted in Econometrica (May 2004), 72(3): 673-700 [CFP 1091]

CFDP 1378, "Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes" (2002) (with Offer Lieberman) [42pp, abstract]

CFDP 1384, "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence" (2002) (with Yixiao Sun) [50pp, abstract] [CFP 1080]

CFDP 1404, "End-of-Sample Cointegration Breakdown Tests" (2003) (with Jae-Young Kim) [55pp, abstract]

CFDP 1428, "Cross-section Regression with Common Shocks" (2003) [43pp, abstract] [CFP 1153]

CFDP 1476, "Optimal Invariant Similar Tests for Instrumental Variables Regression" (2004) (with Marcelo J. Moreira, James H. Stock) [83pp, abstract] [CFP 1168]

CFDP 1501, "Exactly Distribution-Free Inference in Instrumental Variables Regression with Possibly Weak Instruments" (2005) (with Vadim Marmer) [29pp, abstract]

CFDP 1530, "Inference with Weak Instruments" (2004) (with James H. Stock) [60pp, abstract]

CFDP 1564, "Rank Tests for Instrumental Regression with Weak Instruments" (2006) (with Gustavo Soares) [51pp, abstract]

CFDP 1605, "The Limit of Finite-Sample Size and a Problem with Subsampling" (2007) (with Patrik Guggenberger) [68pp, abstract]

CFDP 1605R, "The Limit of Finite-Sample Size and a Problem with Subsampling" (7/2007) (with Patrik Guggenberger) [68pp, abstract]

CFDP 1606, "Hybrid and Size-Corrected Subsample Methods" (with Patrik Guggenberger) [86pp, abstract]

CFDP 1607, "Asymptotics for Stationary Very Nearly Unit Root Processes" (2007) (with Patrik Guggenberger) [8pp, abstract]

CFDP 1608, "Applications of Subsampling, Hybrid, and Size-Correction Methods" (2007) (with Patrik Guggenberger) [45pp, abstract]

CFDP 1620, "Validity of Subsampling and 'Plug-in Asymptotic' Inference for Parameters Defined by Moment Inequalities" (2007) (with Patrik Guggenberger) [43pp, abstract] [CFP 1220]

CFDP 1631, "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection" (2007) (with Gustavo Soares) [58pp, abstract]

CFDP 1665, "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity" (June 2008) (with Patrik Guggenberger) [abstract, 46pp]

CFP 604, "Non-Strong Mixing Autoregressive Processes." Journal of Applied Probability (1984), 21: 930-934

CFP 621, "A Zero-One Result for the Least Squares Estimator." Econometric Theory (1985), 1: 85-96 [CFDP 698]

CFP 631, "A Nearly Independent, But Non-Strong Mixing, Triangular Array." Journal of Applied Probability (1985), 22: 729-731

CFP 643, "Complete Consistency: A Testing Analogue of Estimator Consistency." Review of Economic Studies (1986), 53: 263-269

CFP 658, "A Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood, Robust, Adaptive, and Spectral Estimators of the Linear Model." Econometrica (August 1986), 68(3): 453-458 [CFDP 734R]

CFP 663, "Stability Comparisons of Estimators." Econometrica (September 1986), 54(5): 1207-1235 [CFDP 710R2]

CFP 672, "A Simplified Proof of a Theorem on the Difference of the Moore-Penrose Inverses of Two Positive Semi-Definite Matrices." Communications in Statistics, Theory and Methods (1986), 15(10): 2973-2975 (with Peter C.B. Phillips)

CFP 682, "Least Squares Regression with Integrated or Dynamic Regressors Under Weak Error Assumptions." Econometric Theory (1987), 3: 98-116

CFP 690, "Best Median-Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions." Journal of the American Statistical Association (September 1987), 82(399): 886-893 (with Peter C.B. Phillips) [CFDP 786]

CFP 693, "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers." Econometrica (November 1987), 55(6): 1465-1471 [CFDP 790]

CFP 694, "Asymptotic Results for Generalized Wald Tests." Econometric Theory (1987), 3: 348-358 [CFDP 761R]

CFP 698, "Chi-Square Diagnostic Tests for Econometric Models." Journal of Econometrics (1988), 37: 135-156 [CFDP 762]

CFP 713, "Inference in Nonlinear Econometric Models with Structural Change." Review of Economic Studies (1988), 55: 615-640 (with Ray C. Fair) [CFDP 832]

CFP 717, "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables." Econometric Theory (1988), 4: 458-467

CFP 719, "Chi-Square Diagnostic Tests for Econometric Models: Theory." Econometrica (November 1988), 56(6): 1419-1458 [CFDP 763R]

CFP 725, "Robust Estimation of Location in a Gaussian Parametric Model." In Advances in Econometrics, Vol. 7, JAI Press, 1988, pp. 3-44 [CFDP 697]

CFP 737, "Power in Econometric Applications." Econometrica (September 1989), 57(5): 1059-1090 [CFDP 800]

CFP 771, "Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality." Econometric Theory (1990), 6: 455-479 (with Yoon-Jae Whang) [CFDP 925]

CFP 776, "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models." Econometrica (March 1991), 59(2): 307-345 [CFDP 874R]

CFP 780, "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation." Econometrica (May 1991), 59(3): 817-858 [CFDP 877R]

CFP 790, "Asymptotic Optimality of Generalized C_L, Cross-Validation, and Generalized Cross-Validation in Regression with Heteroskedastic Errors." Journal of Econometrics (1991), 47: 359-377 [CFDP 906]

CFP 792, "An Empirical Process Central Limit Theorem for Dependent Nonidentically Distributed Random Variables." Journal of Multivariate Analysis (August 1991), 38(2): 188-203 [CFDP 907]

CFP 810, "Generic Uniform Convergence." Econometric Theory (1992), 8: 241-257 [CFDP 940]

CFP 811, "Further Evidence on the Great Crash, the Oil-Price Stock, and the Unit-Root Hypothesis." Journal of Business and Economic Statistics (July 1992), 10(3): 251-270 (with Eric Zivot) [CFDP 944]

CFP 814, "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator." Econometrica (July 1992), 60(4): 953-966 (with Christopher J. Monahan) [CFDP 942]

CFP 822, "Estimation of Polynomial Distributed Lags and Leads with End Point Constraints." Journal of Econometrics (1992), 53: 123-139 (with Ray C. Fair)

CFP 832, "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models." Econometrica (January 1993), 61(1): 139-165 [CFDP 975]

CFP 837, "An Introduction to Econometric Applications of Empirical Process Theory for Dependent Random Variables." Econometric Review (1993), 12(2): 183-216

CFP 844, "Tests of Specification for Parametric and Semiparametric Models." Journal of Econometrics (1993), 57: 277-318 (with Yoon-Jae Whang) [CFDP 968]

CFP 845, "Tests for Parameter Instability and Structural Change with Unknown Change Point." Econometrica (July 1993), 61(4): 821-856 [CFDP 943]

CFP 863, "Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity." Econometrica (January 1994), 62(1): 43-72 [CFDP 908R]

CFP 867, "Approximately Median-Unbiased Estimation of Autoregressive Models." Journal of Business and Economic Statistics (April 1994), 12(2): 186-204 (with Hong-Yuan Chen)

CFP 870, "An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes." International Statistical Review (1994), 62(1): 119-132 (with David Pollard) [CFDP 951]

CFP 874, "The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests." Econometrica (September 1994), 62(5): 1207-1232 [CFDP 1035]

CFP 879, "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative." Econometrica (November 1994), 62(6): 1383-1414 (with Werner Ploberger) [CFDP 1015]

CFP 887, "Empirical Process Methods in Econometrics." In R.F. Engle and D.L. McFadden, eds., Handbook of Econometrics, Vol. IV, 1994, pp. 2248-2294 [CFDP 1059]

CFP 902, "Nonparametric Kernel Estimation for Semiparametric Models." Econometric Theory (1995), 11: 560-596

CFP 907, "Nonlinear Econometric Models with Deterministically Trending Variables." Review of Economic Studies (1995), 62: 343-360 (with John McDermott) [CFDP 1053]

CFP 916, "Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present Only Under the Alternative." Annals of Statistics (1995), 23(5): 1609-1629 (with Werner Ploberger) [CFDP 1058]

CFP 923, "Admissibility of the Likelihood Ratio Test When the Parameter Space is Restricted Under the Alternative." Econometrica (May 1996), 64(3): 705-718

CFP 925, "Optimal Changepoint Tests for Normal Linear Regressions." Journal of Econometrics (1996), 70: 9-38 (with Inpyo Lee, Werner Ploberger) [CFDP 1016]

CFP 933, "Testing for Serial Correlation Against an ARMA (1,1) Process." Journal of the American Statistical Association (September 1996), 91(435): 1331-1342 (with Werner Ploberger) [CFDP 1077]

CFP 945, "A Stopping Rule for the Computation of Generalized Method of Moments Estimators." Econometrica (July 1997), 65(4): 913-931 [CFDP 1120]

CFP 949, "A Conditional Kolmogorov Test." Econometrica (September 1997), 65(5): 1097-1128 [CFDP 1111R]

CFP 960, "Hypothesis Testing with a Restricted Parameter Space." Journal of Econometrics (1998), 84: 155-199 [CFDP 1060R]

CFP 965, "Semiparametric Estimation of the Intercept of a Sample Selection Model." Review of Economic Studies (1998), 65: 497-517 (with Marcia M.A. Schafgans) [CFDP 1119]

CFP 971, "Tests for White Noise Against Alternatives with Both Seasonal and Nonseasonal Serial Correlation." Biometrika (1998), 85: 727-740 (with Xuemei Liu, Werner Ploberger) [CFDP 1124]

CFP 979, "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation" Econometrica (May 1999), 67(3): 543-564 [CFDP 1146R]

CFP 988, "Estimation When a Parameter Is on a Boundary." Econometrica (November 1999), 67(6): 1341-1383 [CFDP 1153]

CFP 994, "Inconsistency of the Bootstrap when a Parameter Is on the Boundary of the Parameter Space." Econometrica (March 2000), 68(2): 399-405

CFP 1001, "A Three-Step Method for Choosing the Number of Bootstrap Repetitions," Econometrica (January 2000), 68: 23-51 (with Moshe Buchinsky)

CFP 1015, "Consistent Model and Moment Selection Procedures for GMM Estimation with Application to Dynamic Panel Data Models." Journal of Econometrics (2001), 101: 123-164 (with Biao Lu) [CFDP 1233]

CFP 1021, "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis." Econometrica (2001), 69(3): 683-734 [CFDP 1229]

CFP 1031, "Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators." Econometrica (January 2002), 70(1): 119-162 [CFDP 1230R]

CFP 1044, "Equivalence of the Higher Order Asymptotic Efficiency of k-Step and Extremum Statistics." Econometric Theory (2002), 18: 1040-1085 [CFDP 1269]

CFP 1051, "A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter." Econometrica (March 2003), 71(2): 675-712 (with Patrik Guggenberger) [CFDP 1263]

CFP 1069, "On the Number of Bootstrap Repetitions for BC_a Confidence Intervals." Economic Theory (2002), 18: 962-984 (with Moshe Buchinsky) [CFDP 1141R]

CFP 1072, "End-of-Sample Instability Tests." Econometrica (November 2003), 71(6): 1661-1694 [CFDP 1369]

CFP 1079, "A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter." Econometrica (2002), 105: 469-482 (with Patrik Guggenberger) [CFDP 1263]

CFP 1080, "Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence." Econometrica (2004), 72(2): 569-614 (with Yixiao Sun) [CFDP 1384]

CFP 1091, "The Block-Block Bootstrap: Improved Asymptotic Refinements." Econometrica (May 2004), 72(3): 673-700 [CFDP 1370]

CFP 1125, "Evaluation of a Three-Step Method for Choosing the Number of Bootstrap Repetitions." Journal of Econometrics (2001), 103: 345-386 (with Moshe Buchinsky) [CFDP 1141R]

CFP 1131, "Generalized Method of Moments Estimation When a Parameter Is on a Boundary." Journal of Business and Economic Statistics (October 2002), 20(4): 530-544

CFP 1138, "Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum." Econometrica (January 2003), 71(1): 395-397

CFP 1153, "Cross-Section Regression with Common Shocks." Econometrica (September 2005), 73(5): 1551-1585 [CFDP 1428]

CFP 1162, "Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-memory Gaussian Time Series." Econometric Theory (2005), 21: 710-734 (with Offer Lieberman) [CFDP 1361]

CFP 1168, "Optimal Two-sided Invariant Similar Tests for Instrumental Variables Regression." Econometrica (May 2006), 74(3): 715-752 (with Marcelo J. Moreira, James H. Stock) [CFDP 1476]

CFP 1220, "Asymptotics for Stationary Very Nearly Unit Root Processes." Journal of Time Series Analysis (2008), 29(1): 203-210 (with Patrik Guggenberger) [CFDP 1607]