PUBLICATION LIST

| Publications | Papers Submitted for Publication | Unpublished Papers | Books Edited | Book Reviews |

PUBLICATIONS

| 1989-1984 | 1994-1990 | 1999-1995 | 2004-2000 | 2005-2009 |
 

"Asymptotic Size and a Problem with Subsampling and with the m Out of n Bootstrap," with P. Guggenberger, forthcoming in Econometric Theory, 2010, 26.

"Hybrid and Size-Corrected Subsampling Methods," with P. Guggenberger, forthcoming in Econometrica, 2009, 77(4). [Cowles Foundation Discussion Paper No. 1606, 2007]

"Incorrect Asymptotic Size of Subsampling Procedures Based on Post-Consistent Model Selection Estimators," with P. Guggenberger, forthcoming in Journal of Econometrics, 2009, 152(1): 19-27 [Cowles Foundation Paper No. 1278]

"Invalidity of the Bootstrap and the m Out of n Bootstrap for Confidence Interval Endpoints Defined by Moment Inequalities," with S. Han, Econometrics Journal, 2009, 12(2): S172-S199. [Cowles Foundation Paper 1273]

"Validity of Subsampling and 'Plug-in Asymptotic' Inference for Parameters Defined by Moment Inequalities," with P. Guggenberger, Econometric Theory, 2009, 25(3): 669-709. [Cowles Foundation Discussion Paper No. 1620, 2007] [Cowles Foundation Paper No 1268]

"Asymptotics for Stationary Very Nearly Unit Root Processes," with P. Guggenberger, Journal of Time Series Analysis, 2008, 29: 203-210. [Cowles Foundation Paper No. 1220]

"Efficient Two-Sided Nonsimilar Invariant Tests in IV Regression with Weak Instruments," with M.J. Moreira and J.H. Stock, Journal of Econometrics, 2008, 146: 241-254. [Cowles Foundation Paper No. 1252]

"Exactly Distribution-free Inference in Instrumental Variables Regression with Possibly Weak Instruments," with V. Marmer, Journal of Econometrics, 2008, 142: 183-200. [Cowles Foundation Paper No. 1253]

"Performance of Conditional Wald Tests in IV Regression with Weak Instruments," with M.J. Moreira and J.H. Stock, Journal of Econometrics, July 2007, 139(1): 116-132.

"Rank Tests for Instrumental Variables Regression with Weak Instruments," with G. Soares, Econometric Theory, 2007, 23(6): 1033-1082. [Cowles Foundation Paper No. 1250]

"Testing with Many Weak Instruments," with James H. Stock, Journal of Econometrics, May 2007, 138(1): 24-46. [Cowles Foundation Paper No. 1251]

"End-of-sample Cointegration Breakdown Tests," with J.-Y. Kim, Journal of Business and Economic Statistics, 2006, 24: 379-394. [Cowles Foundation Discussion Paper No. 1404]

"Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes," with O. Lieberman and V. Marmer, Journal of Econometrics, August 2006, 133(2): 673-702. [Cowles Foundation Discussion Paper No. 1378, 2002]

"Inference with Weak Instruments," with J.H. Stock, in R. Blundell, W.K. Newey and T. Persson, eds., Advances in Economics and Econometrics, Theory and Applications, 9th Congress of the Econometric Society, Vol. 3. Cambridge, UK: Cambridge University Press, 2006, Ch. 6. [Cowles Foundation Discussion Paper No. 1530, 2005]

"Optimal Two-sided Invariant Similar Tests for Instrumental Variables Regression," with M.M. Moreira and J.H. Stock, Econometrica, 2006, 74(3): 715-752.

"Cross-section Regression with Common Shocks," Econometrica, 2005, 73: 1551–1585. [Cowles Foundation Paper No. 1153]

"Higher-order Improvements of the Parametric Bootstrap for Markov Processes," in D.W.K. Andrews and J.H. Stock, eds., Identification and Inference for Econometric Models: A Festschrift in Honor of Thomas J. Rothenberg. Cambridge, UK: Cambridge University Press, 2005. [Cowles Foundation Discussion Paper, No. 1334, 2001]

"Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-memory Gaussian Time Series," with O. Lieberman, Econometric Theory, 2005, 21: 710-734. [Cowles Foundation Paper No. 1162]

"Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," with Y. Sun, Econometrica, 2004, 72, 569–614. [Cowles Foundation Paper No. 1080]

"The Block-block Bootstrap: Improved Asymptotic Refinements," Econometrica, 2004, 72: 673–700. [Cowles Foundation Paper No. 1091]

"A Bias-reduced Log-periodogram Regression Estimator of the Long-memory Parameter," with Patrik Guggenberger, Econometrica, 2003, 71: 675–712. [Cowles Foundation Paper No. 1051]

"End-of-sample Instability Tests," Econometrica, 2003, 71: 1661-1694. [Cowles Foundation Paper No. 1072]

"Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum." Econometrica, January 2003, 71(1): 395-397. [Cowles Foundation Paper No. 1138]

"Equivalence of the Higher-order Asymptotic Efficiency of k-step and Extremum Statistics," Econometric Theory, 2002, 18: 1040-1085. [Cowles Foundation Paper No. 1044]

"Generalized Method of Moments Estimation When a Parameter Is on a Boundary," Journal of Business and Economic Statistics, 2002, 20, 530–544. [Cowles Foundation Paper No. 1131]

"Higher-order Improvements of a Computationally Attractive k-step Bootstrap for Extremum Estimators," Econometrica, 2002, 70: 119-162. [Cowles Foundation Paper No. 1031]

"On the Number of Bootstrap Repetitions for BC_a Confidence Intervals," with M. Buchinsky, Econometric Theory, 2002, 18: 962-984. [Cowles Foundation Paper No. 1069]

"Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Models," with B. Lu, Journal of Econometrics, 2001, 101: 123-164. [Cowles Foundation Paper No. 1015]

"Evaluation of a Three-step Method for Choosing the Number of Bootstrap Repetitions," with M. Buchinsky," Journal of Econometrics, 2001, 103: 345-386. [Cowles Foundation Paper No. 1125]

"Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Econometrica, 2001, 69: 683:734. [Cowles Foundation Paper No. 1021]

"Inconsistency of the Bootstrap When a Parameter Is on the Boundary of the Parameter Space," Econometrica, 2000, 68: 399-405. [Cowles Foundation Paper No. 994]

"A Three-step Method for Choosing the Number of Bootstrap Repetitions," with M. Buchinsky, Econometrica, 2000, 68: 23-51. [Cowles Foundation Paper No. 1001]

"Estimation When a Parameter Is on a Boundary," Econometrica, 1999, 67: 1341-1383. [Cowles Foundation Paper No. 988]

"Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Econometrica, 1999, 67: 543-564. [Cowles Foundation Paper No. 979]

"Semiparametric Estimation of the Intercept of a Sample Selection Model," with M. Schafgans, Review of Economic Studies, 1998, 65: 497-517. [Cowles Foundation Paper No. 965]

"Tests for White Noise Against Alternatives with Both Seasonal and Non-seasonal Serial Correlation," with X. Liu and W. Ploberger, Biometrika, 1998, 85: 727-740. [Cowles Foundation Paper No. 971]

"Hypothesis Testing with a Restricted Parameter Space," Journal of Econometrics, 1998, 84: 155-199. [Cowles Foundation Paper No. 960]

"A Conditional Kolmogorov Test," Econometrica, 1997, 65: 1097-1128. [Cowles Foundation Paper No. 949]

"A Stopping Rule for the Computation of Generalized Method of Moments Estimators," Econometrica, 1997, 65: 913-931. [Cowles Foundation Paper No. 945]

"Admissibility of the Likelihood Ratio Test When the Parameter Space Is Restricted Under the Alternative," Econometrica, 64, 1996, 705–718. [Cowles Foundation Paper No. 923]

"Testing for Serial Correlation Against an ARMA(1,1) Process," with W. Ploberger, Journal of the American Statistical Association, 1996, 91: 1331–1342. [Cowles Foundation Paper No. 933]

"Optimal Changepoint Tests for Normal Linear Regression," with I. Lee and W. Ploberger, Journal of Econometrics, 1996, 70: 9-38. [Cowles Foundation Paper No. 925]

"Admissibility of the Likelihood Ratio Test When A Nuisance Parameter Is Present Only Under the Alternative," with W. Ploberger, Annals of Statistics, 1995, 23: 1609-1629. [Cowles Foundation Paper No. 916]

"Nonlinear Econometric Models with Deterministically Trending Variables," with C.J. McDermott, Review of Economic Studies, 62, 1995, 343–360. [Cowles Foundation Paper No. 907]

"Nonparametric Kernel Estimation for Semiparametric Econometric Models," Econometric Theory, 1995, 11: 560-596. [Cowles Foundation Paper No. 902]

"The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests," Econometrica, 1994, 62: 1207-1232. [Cowles Foundation Paper No. 874]

"Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," with W. Ploberger, Econometrica, 1994, 62: 1383-1414. [Cowles Foundation Paper No. 879]

"Empirical Process Methods in Econometrics," in Handbook of Econometrics, Volume 4, ed. by R.F. Engle and D. McFadden. New York: North-Holland, 1994, 2247-2294. [Cowles Foundation Paper No. 887]

"Approximately Median-Unbiased Estimation of Autoregressive Models," with H.-Y. Chen, Journal of Business and Economic Statistics, 1994, 12: 187-204. [Cowles Foundation Paper No. 867]

"An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes," with D. Pollard, International Statistical Review, 1994, 62: 119-132. [Cowles Foundation Paper No. 870]

"Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity," Econometrica, 1994, 62: 43-72. [Cowles Foundation Paper No. 863]

"An Introduction to Econometric Applications of Empirical Process Theory for Dependent Random Variables," Econometric Reviews, 1993, 12: 183-216. [Cowles Foundation Paper No. 837]

"Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, 1993, 61: 821-856. [Cowles Foundation Paper No. 845]

"Exactly Median-unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, 1993, 61: 139-165. [Cowles Foundation Paper No. 832]

"Tests of Specification for Parametric and Semiparametric Models," with Y.-J. Whang, Journal of Econometrics, 1993, 57: 277-318. [844]

"An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," with C.J. Monahan, Econometrica, 1992, 60: 953–966. [Cowles Foundation Paper No. 814]

"Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis," with E. Zivot, Journal of Business and Economic Statistics, 1992, 10: 251-270. Reprinted in Recent Developments in Time Series, ed. by P. Newbold and S. J. Leybourne, 2003, Edward Elgar Publishers, Cheltenham Glos UK. [Cowles Foundation Paper No. 811]

"Generic Uniform Convergence," Econometric Theory, 1992, 8: 241-257. [Cowles Foundation Paper No. 810]

"Estimation of Polynomial Distributed Lags and Leads with End Point Constraints," with R. C. Fair, Journal of Econometrics, 1992, 53: 123-139. [Cowles Foundation Paper No. 822]

"An Empirical Process Central Limit Theorem for Dependent Non-identically Distributed Random Variables," Journal of Multivariate Analysis, 1991, 38: 187-203. [Cowles Foundation Paper No. 792]

"Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Econometrica, 1991, 59: 307-345. [Cowles Foundation Paper No. 776]

"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, 1991, 59: 817-858. [Cowles Foundation Paper No. 780]

"Asymptotic Optimality of Generalized C_L, Cross-validation, and Generalized Cross-validation in Regression with Heteroskedastic Errors," Journal of Econometrics, 1991, 47: 359-377. [Cowles Foundation Paper No. 790]

"Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality," with Y.-J. Whang, Econometric Theory, 1990, 6: 466-479. [Cowles Foundation Paper No. 771]

"Power in Econometric Applications," Econometrica, 1989, 57: 1059–1090. [Cowles Foundation Paper No. 737]

"Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables," Econometric Theory,  1988, 4: 458-467. [Cowles Foundation Paper No. 717]

"Chi-Square Diagnostic Tests for Econometric Models: Theory," Econometrica, 1988, 56: 1419-1453. [Cowles Foundation Paper No. 719]

"Inference in Nonlinear Econometric Models with Structural Change" with R.C. Fair, Review of Economic Studies, 1988, 55: 615–640. [Cowles Foundation Paper No. 713]

"Chi-Square Diagnostic Tests for Econometric Models: Introduction and Applications," Journal of Econometrics, 1988, 35: 135-156. [Cowles Foundation Paper No. 698]

"Robust Estimation of Location in a Gaussian Parametric Model," Advances in Econometrics, 1988, 7: 3-44. [Cowles Foundation Paper No. 725]

"Asymptotic Results for Generalized Wald Tests," Econometric Theory, 1987, 3: 348-358. [Cowles Foundation Paper No. 694]

"Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers," Econometrica, 1987, 55: 1465–1472. [Cowles Foundation Paper No. 693]

"Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions," with P.C.B. Phillips, Journal of the American Statistical Association, 1985, 82: 886-893. [Cowles Foundation Paper No. 690]

"Least Squares Regression with Integrated or Dynamic Regressors Under Weak Error Assumptions," Econometric Theory, 1987, 3: 98–116. [Cowles Foundation Paper No. 682]

"A Simplified Proof of a Theorem on the Difference of the Moore-Penrose Inverses of Two Positive Semi-Definite Matrices," with P.C.B. Phillips, Communications in Statistics, 1986: 15(10):, 2973-2975. [Cowles Foundation Paper No. 672]

"Stability Comparisons of Estimators," Econometrica, 1986, 54: 1207–1235. [Cowles Foundation Paper No. 663]

"A Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood, Robust, Adaptive, and Spectral Estimators of the Linear Model," Econometrica, 1986, 54: 687-698. [Cowles Foundation Paper No. 658]

"Complete Consistency: A Testing Analogue of Estimator Consistency," Review of Economic Studies, 1986, 53: 263-269. [Cowles Foundation Paper No. 643]

"A Nearly Independent, but Non-Strong Mixing, Triangular Array," Journal of Applied Probability, 1985, 22: 729-731. [Cowles Foundation Paper No. 631

"A Zero-One Result for the Least Squares Estimator," Econometric Theory, 1985, 1: 85-96. [Cowles Foundation Paper No. 621]

"Non-Strong Mixing Autoregressive Processes, Journal of Applied Probability, 1984, 21: 930-934. [Cowles Foundation Paper No. 604]

PAPERS SUBMITTED FOR PUBLICATION

"Efficient Two-sided Nonsimilar Invariant Tests in IV Regression with Weak Instruments," with M.J. Moreira and J.H. Stock, 2006

"Exactly Distribution-free Inference in Instrumental Variables Regression with Possibly Weak Instruments," with V. Marmer, Cowles Foundation Discussion Paper No. 1501, 2005.

UNPUBLISHED PAPERS

"Inconsistency of Bootstrapping and Subsampling Interval Endpoints Defined by Moment Inequalities," 2005.

"The Limit of Finite Sample Size and a Problem with Subsampling," with P. Guggenberger, 2005.

"Heteroskedasticity-Autocorrelation Robust Invariant Similar Tests for Instrumental Variables Regression," with M.J. Moreira and J.H. Stock, 2005.

"Optimal One-Sided Invariant Similar Tests for Instrumental Variables Regression," with M.J. Moreira and J.H. Stock, 2005.

"A Rate Adaptive Smoothed Maximum Score Estimator," 2003.

"Confidence Regions for Parameters in Discrete Games with Multiple Equilibria, with an Application to Discount Chain Store Location," with S. Berry and P. Jia, 2002.

"An Improved Simulator for Multivariate Normal Rectangle Probabilities and Their Derivatives," 1999.

"Global Power Approximations for Econometric Test Statistics," 1988.

"Robust and Efficient Estimation of Nonlinear Regression Models with Dependent Errors," 1983.

BOOKS EDITED

Identification and Inference for Econometric Models: A Festschrift in Honor of Thomas J. Rothenberg, co-edited with James H. Stock. Cambridge, UK: Cambridge University Press, 2005.

BOOK REVIEWS

Review of A Unified Theory of Estimation and Inference for Non-linear Dynamic Models, by A.R. Gallant and H. White, in Econometric Theory, 5, 1989, 166–170.