CFDP 1161, "An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy" (1997) (with Peter C.B. Phillips) [17pp, abstract] [CFP 1105]

CFDP 1189, "A Primer on Unit Root Testing" (1998) (with Peter C.B. Phillips) [51pp, abstract] [CFP 972]

CFDP 1191, "How to Estimate Autoregressive Roots Near Unity" (1998) (with Peter C.B. Phillips, Hyungsik Moon) [39pp, abstract] [CFP 1028]

CFDP 1192, "Higher Order Approximations for Wald Statistics in Cointegrating Regressions" (1998) (with Peter C.B. Phillips) [43pp, abstract] [CFP 968]

CFDP 1329, "A CUSUM Test for Cointegration Using Regression Residuals" (2001) (with Peter C.B. Phillips) [22pp, abstract] [CFP 1046]

CFDP 1359, "Partially Linear Models with Unit Roots" (2002) (with Ted Juhl) [51pp, abstract]

CFDP 1363, "Efficient Regression in Time Series Partial Linear Models" (2002) (with Peter C.B. Phillips, Binbin Guo) [46pp, abstract]

CFDP 1375, "More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors" (2002) (with Oliver Linton, Raymond J. Carroll, E. Mammen) [49pp, abstract] Reprinted in Journal of the American Statistical Association (2003), 98: 980-992

CFDP 1679, "Copula-Based Nonlinear Quantile Autoregression" (October 2008) (with Xiaohong Chen, Roger Koenker) [31pp, abstract] [CFP 1282]

CFP 968, "Higher-Order Approximations for Frequency Domain Time Series Regressions." Journal of Econometrics (1998), 86: 297-336 (with Peter C.B. Phillips) [CFDP 1192]

CFP 972, "A Primer on Unit Root Testing" Journal of Economic Surveys (1998), 12(5): 423-469 (with Peter C.B. Phillips) [CFDP 1189]

CFP 1028, "How to Estimate Autoregressive Roots Near Unity." Econometric Theory (2001), 17: 29-59 (with Peter C.B. Phillips, Hyungsik Roger Moon) [CFDP 1191]

CFP 1046, "A CUSUM Test for Cointegration Using Regression Residuals." Journal of Econometrics (2002), 108: 43-61 (with Peter C.B. Phillips) [CFDP 1329]

CFP 1071, "Efficient Detrending in Cointegrating Regression." Econometric Theory (1999), 15: 519-548 (with Peter C.B. Phillips)

CFP 1094, "Higher Order Approximations for Wald Statistics in Time Series Regressions with Integrated Processes." Journal of Econometrics (2002), 108(1): 157-198 (with Peter C.B. Phillips)

CFP 1105, "An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the US Economy." Econometrics Journal (1998), 1: 27-43 (with Peter C.B. Phillips) [CFDP 1161]

CFP 1282, "Copula-based Nonlinear Quantile Autoregression." Econometrics Journal (January 2009), 12(1): S50-S67 (with Xiaohong Chen, Roger Koenker) [CFDP 1679]

CFDP 1734, "Uniform Topologies on Types" (October 2009) (with Yi-Chun Chen, Alfredo Di Tillio, Eduardo Faingold) [37pp, abstract]

CFDP 1875, "The Strategic Impact of Higher-Order Beliefs" (September 2012) (with Yi-Chun Chen, Alfredo Di Tillio, Eduardo Faingold) [48pp, abstract]

CFDP 1585, "Adaptive Estimation of Autoregressive Models with Time-Varying Variances"  (2006) (with Peter C.B. Phillips) [32pp, abstract]

CFDP 1585R, "Adaptive Estimation of Autoregressive Models with Time-Varying Variances" (revised November 2006) (with Peter C.B. Phillips) [30pp, abstract] [CFP 1219]

CFDP 1612, "Tilted Nonparametric Estimation of Volatility Functions  with Empirical Applications" (June 2007, revised July 2010) (with Peter C.B. Phillips) [31pp, abstract] [CFP 1337]

CFDP 1799, "Empirical Likelihood for Regression Discontinuity Design" (May 2011) (with Taisuke Otsu) [36, abstract]

CFP 1159, "Inference in Autoregression under Heteroskedasticity." Journal of Time Series Analysis (2005), 27(2): 289-308 (with Peter C.B. Phillips)

CFP 1219, "Adaptive Estimation of Autoregressive Models with Time-Varying Variances." Journal of Econometrics (2008), 142: 265-280 (with Peter C.B. Phillips) [CFDP 1585R]

CFP 1337, "Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications," Journal of Business and Economic Statistics (October 2011), 29(4): 518–528 (with Peter C.B. Phillips) [CFDP 1612]

CFDP 1775, "Mechanism Design with Limited Information: The Case of Nonlinear Pricing" (November 2010) (with Dirk Bergemann, Ji Shen, Edmund M. Yeh) [12pp, abstract]

CFDP 1859, "Multi-dimensional Mechanism Design with Limited Information" (April 2012) (with Dirk Bergemann, Ji Shen, Edmund Yeh) [22pp, abstract]