My papers, starting from the most recent:
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Alternative asymptotics for cointegration tests in large VARs. May 2016 version, Joint work with Chen Wang.
Supplementary Appendix to "Alternative asymptotics for cointegration tests in large VARs" -
Testing in high-dimensional spiked models October 2015 version, also available as arXiv:1509.07269. Joint work with Iain Johnstone.
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Local Asymptotic Normality of the spectrum of high-dimensional spiked F-ratios Summer 2015 version. Joint work with Prathapa Dharmawansa and Iain Johnstone. An earlier version is available as arXiv:1411.3875.
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Asymptotic Analysis of the Squared Estimation Error in Misspecified Factor Models July 2013 version.
Supplementary Appendix to "Asymptotic Analysis of the Squared Estimation Error..." -
Group Invariance, Likelihood Ratio Tests,and the Incidental Parameter Problem in a High-Dimensional Linear Model January 2013 version.
joint work with Marcelo J. Moreira and Marc Hallin -
Signal Detection in High Dimension: The Multispiked Case to appear in the Annals of Statistics. October 2013 version, October 2012 is available at arXiv:1210.5663v1.
joint work with Marcelo J. Moreira and Marc Hallin -
Detection of Weak Signals in High-dimensional Complex Valued Data July 2012 version, also available at arXiv:1207.7098v1.
Supplementary Appendix to "Detection of Weak Signals..." -
Asymptotic Power of Sphericity Tests for High-dimensional Data August 2011 version. This paper has now been published in the Annals of Statistics 41, 1204-1231
joint work with Marcelo J. Moreira and Marc Hallin
Supplementary Appendix to "Asymptotic Power of Sphericity Tests..." -
Asymptotics of the Principal Components Estimator of Large Factor Models with Weakly Influential Factors (2012) Journal of Econometrics 168, 244-258
The first version of this paper has appeared in 2005. Since then, there have been many versions, some of which can be found below. The revisions contain substantially different material. For example, only the first revision contains a discussion of the consequences of the new asymptotics for diffusion forecast models. The final version excluded this material (perhaps regretfully) to save space.
A 2006 version, enitled "The Principal Components Estimation of Large Factor Models When Factors are Weak"
A 2007 version, entitled "Asymptotics of the Principal Components Estimator of Large Factor Models With Weak Factors and i.i.d. Gaussian Noise"
A 2009 version , entitled "Asymptotics of the Principal Components Estimator of Large Factor Models With Weak Factors"
A 2010 version , entitled as the final version
A 2011 version , entitled as the final version
And here is the Technical Appendix to the 2011 version of the paper -
Factor Analysis of a Large DSGE Model. To appear in Journal of Applied Econometrics Published online in Wiley Online Library DOI: 10.1002/jae.2287
joint work with Francisco J. Ruge-Murcia -
Set Coverage and Robust Policy. (2012) Economics Letters 115, 256-257.
Joint work with Marc Henry -
Unit Roots in White Noise. Journal of Econometric Theory, 28 (03), 485-508.
Joint work with Harald Uhlig -
Determining the Number of Factors From Empirical Distribution of Eigenvalues. (2010) Review of Economics and Statistics 92 (4), 1004-1016.
A 2008 version
An Appendix to the 2008 version
A matlab code with the criterion for determining the number of factors -
Testing Hypotheses About the Number of Factors in Large Factor Models. (2009) Econometrica 77 (5), 1447-1479.
Here is a version of the paper
A supplementary appendix to this version can be found here
A matlab code that implements the test for the number of dynamic factors
A matlab code that implements the test for the number of static factors
A file CVGUE.dat that is needed to compute critical values. This file should be in the working directory when you run the dynamic and static test codes. -
Empirical and Policy Performance of a Forward-Looking Monetary Model. (2010) Journal of Applied Econometrics 25 (10), 145-176.
Joint work with Noah Williams -
The Tracy-Widom Limit for the Largest Eigenvalues of Singular Complex Wishart Matrices. (2008) Annals of Applied Probability, 18 (2), 470-490.
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Curve Forecasting by Functional Autoregression. (2008) Journal of Multivariate Analysis 99 (10), 2508- 2526.
Joint work with Vladislav Kargin -
Winding Number Criterion for Existence and Uniqueness of Equilibrium in Linear Rational Expectations Models. (2006) Journal of Economic Dynamics and Control, 30, 323-345.
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Monetary Policy under Uncertainty in Microfounded Macroeconometric Models. (2005) Macro Annual 2005, MIT press
Joint work with Andrew Levin, Noah Williams, and John Williams -
Modeling Model Uncertainty. (2003) Journal of European Economic Association, 1 (5).
Joint work with Noah Williams -
Robust Monetary Policy under Model Uncertainty in a Small Model of the US Economy. (2002) Macroeconomic Dynamics, 6 (1).
Joint work with James Stock -
Searching for Prosperity. (2001) Carnegie-Rochester Conference Series on Public Policy 55, December.
Joint work with Michael Kremer and James Stock -
Testing Shape Restrictions on the Steady-State Distribution of a Finite Markov Chain. (2000) An unpublished manuscript.
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Minimax Analysis of Model Uncertainty: Comparison to Bayesian Approach, Worst Possible Economies, and Robust Monetary Policies (1999) An unpublished manuscript.