PUBLICATION LIST

| Books Edited | Book Reviews |

"A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Review of Economics and Statistics (May 2014), 96(2): 376-381 (with Patrik Guggenberger) [CFDP 1812R]

"GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Econometric Theory (April 2014), 20(2): 287-333 [Supplemental Appendix] (with Xu Cheng) [CFDP 1828R]

"Nonparametric Inference Based on Conditional Moment Inequalities," Journal of Econometrics (March 2014), 179(1): 31-45 [CFDP 1840RR]

"Inference Based on Conditional Moment Inequalities," Econometrica (March 2013), 81(2): 609-666 (with Xiaoxia Shi) [CFDP 1761RR]

Supplement to "Inference Based on Conditional Moment Inequalities," Econometrica (March 2013), 81(2): 609-666 (with Xiaoxia Shi) [CFDP 1761sRR]

"Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Journal of Econometrics (March 2013), 173(1): 36-56 (with Xu Cheng) [Supplemental material available in CFDP 1824R]

"Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedasticity," Journal of Econometrics (August 2012), 169(2): 196-210 (with Patrik Guggenberger) [CFDP 1665RR]

"Estimation and Inference with Weak, Semi-Strong, and Strong Identification," Econometrica (September 2012) 80(5): 2153-2211; Supplemental material (with Xu Cheng) [CFDP 1773R] Computer programs also available on the Econometric Society Website.

"Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure," Econometrica (November, 2012), 80(6): 2805–2826; Supplemental material (with Panle Jia Barwick) [CFDP 1676R] Computer programs also available on the Econometric Society Website.

"Applications of Subsampling, Hybrid, and Size-correction Methods," Journal of Econometrics (October 2010), 158(2): 285-305 (with Patrik Guggenberger) [CFDP 1608]

"Asymptotic Size and a Problem with Subsampling and with the m out of n Bootstrap." Econometric Theory (April 2010), 26(2): 426-468 (with Patrik Guggenberger) [CFDP 1605R]

"Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Econometrica (January 2010), 78(1): 119-157 (with Gustavo Soares) [CFDP 1631]

Supplement to "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection," Econometrica (January 2010), 78(1): 119-157 (with Gustavo Soares)

"Incorrect Asymptotic Size of Subsampling Procedures Based on Post-consistent Model Selection Estimators." Journal of Econometrics (September 2009), 152(1): 19-27 (with Patrik Guggenberger)

"Invalidity of the Bootstrap and the m Out of n Bootstrap for Interval Endpoints Defined by Moment Inequalities." Econometrics Journal (January 2009), 12: S172-S199; Supplemental material (with Sukjin Han)  [CFDP 1671]

"Validity of Subsampling and 'Plug-in Asymptotic' Inference for Parameters Defined by Moment Inequalities." Econometric Theory (June 2009), 25(3): 669-709 (with Patrik Guggenberger) [CFDP 1620]

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

"Efficient Two-sided Nonsimilar Invariant Tests in IV Regression with Weak Instruments, Journal of Econometrics (October 2008), 146(2): 241-254 (with Marcelo J. Moreira, James H. Stock)

"Exactly Distribution-Free Inference in Instrumental Variables Regression with Possibly Weak Instruments," Journal of Econometrics (September 2008) 142(1): 183-200 (with Vadim Marmer) [CFDP 1501]

"Inference with Weak Instruments." In Richard Blundell, W.K. Newey, and T. Persson, eds., Advances in Economics and Econometrics: Theory and Applications, 9th World Congress, vol. 3, Cambridge University Press, 2007, Ch. 6 (with James H. Stock) [CFDP 1530]

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

"Rank Tests for Instrumental Regression with Weak Instruments," Econometric Theory (December 2007), 23(6): 1033-1082 (with Gustavo Soares) [CFDP 1564]

"Testing with Many Weak Instruments," Journal of Econometrics (May 2007), 138(1): 24-46 (with James H. Stock)

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

"Tests for Cointegration Breakdown Over a Short Time Period," Journal of Business & Economic Statistics (October 2006), 24(4): 379-394 (with Jae-Young Kim)

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

"Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-memory Gaussian Time Series." Econometric Theory (August 2005), 21(4): 710-734 (with Offer Lieberman) [CFDP 1361]

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

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

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

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

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

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

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

"On the Number of Bootstrap Repetitions for BC_a Confidence Intervals." Econometric Theory (August 2002), 18(4): 962-984 (with Moshe Buchinsky) [CFDP 1250]

"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 (October 2002), 18(5): 1040-1085 [CFDP 1269]

"Evaluation of a Three-Step Method for Choosing the Number of Bootstrap Repetitions." Journal of Econometrics (July 2001), 103(1-2): 345-386 (with Moshe Buchinsky)

"Consistent Model and Moment Selection Procedures for GMM Estimation with Application to Dynamic Panel Data Models." Journal of Econometrics (March 2001), 101(1): 123-164 (with Biao Lu) [CFDP 1233]

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

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

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

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

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

"Hypothesis Testing with a Restricted Parameter Space." Journal of Econometrics (May 1998), 84(1): 155-199 [CFDP 1060R]

"Semiparametric Estimation of the Intercept of a Sample Selection Model." Review of Economic Studies (July 1998), 65(3): 497-517 (with Marcia M.A. Schafgans) [CFDP 1119]

"Tests for White Noise Against Alternatives with Both Seasonal and Nonseasonal Serial Correlation." Biometrika (September 1998), 85(3): 727-740 (with Xuemei Liu, Werner Ploberger) [CFDP 1124]

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

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

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

"Optimal Changepoint Tests for Normal Linear Regressions." Journal of Econometrics (January 1996), 70(1): 9-38 (with Inpyo Lee, Werner Ploberger) [CFDP 1016]

"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]

"Nonparametric Kernel Estimation for Semiparametric Models." Econometric Theory (June 1995), 11(3): 560-596

"Nonlinear Econometric Models with Deterministically Trending Variables." Review of Economic Studies (July 1995), 62(3): 343-360 (with John McDermott) [CFDP 1053]

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

"Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity." Econometrica (January 1994), 62(1): 43-72 [CFDP 909R]

"Approximately Median-Unbiased Estimation of Autoregressive Models." Journal of Business and Economic Statistics (April 1994), 12(2): 186-204 (with Hong-Yuan Chen) [CFDP 1026]

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

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

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

"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]

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

"An Introduction to Econometric Applications of Empirical Process Theory for Dependent Random Variables." Econometric Reviews (1993), 12(2): 183-216 [CFDP 1020]

"Tests of Specification for Parametric and Semiparametric Models." Journal of Econometrics (May-June 1993), 57(1-3): 277-318 (with Yoon-Jae Whang) [CFDP 968]

"Tests for Parameter Instability and Structural Change with Unknown Change Point." Econometrica (July 1993), 61(4): 821-856; also also "Corrigedum," Econometrica (January 2003), 71(1): 395-397 [CFDP 943]

"Generic Uniform Convergence." Econometric Theory (June 1992), 8(2): 241-257 [CFDP 940]

"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; also reprinted in and also P. Newbold and S.J. Leybourne, eds., Recent Developments in Time Series, Edward Elgar, 2003 (with Eric Zivot) [CFDP 944]

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

"Estimation of Polynomial Distributed Lags and Leads with End Point Constraints." Journal of Econometrics (July-September 1992), 53(1-3: 123-139 (with Ray C. Fair)

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

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

"Asymptotic Optimality of Generalized C_L, Cross-Validation, and Generalized Cross-Validation in Regression with Heteroskedastic Errors." Journal of Econometrics (June 1991), 47(3): 359-377 [CFDP 906]

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

"Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality." Econometric Theory (December1990), 6(4): 455-479 (with Yoon-Jae Whang) [CFDP 925]

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

"Chi-Square Diagnostic Tests for Econometric Models." Journal of Econometrics (January 1988), 37(1): 135-156 [CFDP 762]

"Inference in Nonlinear Econometric Models with Structural Change." Review of Economic Studies (October 1988), 55(4): 615-640 (with Ray C. Fair) [CFDP 832]

"Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables." Econometric Theory (December 1988), 4(3): 458-467

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

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

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

"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]

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

"Least Squares Regression with Integrated or Dynamic Regressors Under Weak Error Assumptions." Econometric Theory (February 1987), 3(1): 98-116

"Complete Consistency: A Testing Analogue of Estimator Consistency." Review of Economic Studies (April 1986), 53(2): 263-269

"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]

"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)

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

"A Nearly Independent, But Non-Strong Mixing, Triangular Array." Journal of Applied Probability (September 1985), 22(3): 729-731

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

"Non-Strong Mixing Autoregressive Processes." Journal of Applied Probability (December 1984), 21(4): 930-934

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.