PUBLISHED ARTICLES (1972–Present)

2016
Disentangling greenhouse warming and aerosol cooling to reveal Earth’s climate sensitivityNature Geoscience​ (March 2016), March 14, 2016: 1-6 [CFP 1512]
Meritocracy Voting: Measuring the Unmeasurable,” Econometric Reviews (2016), 35(1): 2-40 [CFP 1504]
New Methodology for Constructing Real Estate Price Indices Applied to the Singapore Residential Market,” Journal of Banking and Finance (December 2015), 61(2): S121-S131 (with Liang Jiang, Jun Yu)[CFP 1503]
2015
Automated Estimation of Vector Error Correction Models,” Econometric Theory (June 2015), 31(3): 581-646 [CFP 1476]
Incidental Parameters and Dynamic Panel Modeling,” in Badi H. Baltagi (ed.), Handbook of Panel Data, Oxford University Press, 2015, Ch. 4, pp. 111-148 (with Hyungsik Roger Moon, Benoit Perron) [CFP 1487]
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility,” Econometric Reviews (April 2015), 34(4): 512-536 (with Giuseppe Cavaliere, Stephan Smeekes, A.M. Robert Taylor) [CFP 1460]
Limit Theory for VARs with Mixed Roots Near Unity,” Econometric Reviews (May 2015), 34(6-10): 1034-1055 [CFP 1473]
Memorial to Edmond Malinvaud,” Econometric Theory (June 2015), 31(3): 423-425 [CFP 1477]
Model Selection in the Presence of Incidental Parameters,” Journal of Econometrics (October 2015), 188(2): 474-489 (with Yoonseok Lee) [CFP 1494]
Nonparametric Predictive Regression,” Journal of Econometrics (April 2015), 185(2): 468-494 (with Ioannis Kasparis, Elena Andreou) [CFP 1461]
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500,” International Economic Review (November 2015), 56(4): 1043-1078 (with Shu-Ping Shi, Jun Yu) [CFP 1498]
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors,” International Economic Review (November 2015), 56(4): 1079-1134 (with Shu-Ping Shi, Jun Yu) [CFP 1499]
Testing Linearity Using Power Transforms of Regressors,” Journal of Econometrics (July 2015), 187(1): 376-384 (with Yae In Baek, Jin Seo Cho) [CFP 1483]
"The True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression," Economics Letters (February 2015), 127: 89-92 (with Chirok Han) [CFP 1455]
2014
Homage to Halbert White,” Journal of Financial Econometrics (Fall 2014), 12(4): 618-619
"Introduction: SETA Special Issue 2010" Econometric Theory (February 2014), 30(1): 1-2 (with Jun Yu)
"Nonlinearity Induced Weak Instrumentation," Econometric Reviews (2014), 33(5-6): 676-712 (with Yannis Kasparis, Tassos Magdalinos) [CFP 1404]
"Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions," Journal of Time Series Analysis (November 2014), 35(6): 592-623 (with Offer Lieberman) [CFP 1454]
"On Confidence Intervals for Autoregressive Roots and Predictive Regression," Econometrica (May 2014), 82(3): 1177-1195 [CFP 1422]
"Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Journal of Econometrics (January 2014), 178(2): 210-214 [CFP 1400]
"Point-optimal Panel Unit Root Tests with Serially Correlated Errors," Econometrics Journal (October 2014), 17(3): 338-372 (with Hyungsik R. Moon, Benoit Perron) [CFP 1448]
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour,” Oxford Bulletin of Economics and Statistics (June 2014), 76(3): 315-333 [CFP 1425]
Testing the Martingale Hypothesis,” Journal of Business and Economic Statistics (2014), 32(4): 537-554 (with Sainan Jin) [CFP 1443]
Unit Roots in Life -- A Graduate Student Story,” Econometric Theory (August 2014), 30(4): 719-736 [CFP 1429]
"X-Differencing and Dynamic Panel Model Estimation," Econometric Theory (February 2014), 30(1): 201-251 (with Chirok Han, Donggyu Sul) [CFP 1406]
2013
"Bimodal t-ratios: The Impact of Thick Tails on Inference," Econometrics Journal (2010), 13(2): 271–289 (with Carlo V. Fiorio, Vassilis A. Hajivassiliou) [CFP 1385]
"First Difference Maximum Likelihood and Dynamic Panel Estimation," Journal of Econometrics (July 2013), 175(1): 35-45 (with Chirok Han) [CFP 1379]
"Inconsistent VAR Regression with Common Explosive Roots," Econometric Theory (August 2013), 29(4): 808-837 (with Tassos Magdalinos) [CFDP 1777]
"Predictive Regression under Various Degrees of Persistence and Robust Long-horizon Regression," Journal of Econometrics (December 2013), 177(2): 250-264 (with Ji Hyung Lee) [CFP 1399]
2012
"Cointegrating Rank Selection in Models with Time-varying Variance," Journal of Econometrics (August 2012), 169(2): 155–165 (with Xu Cheng) [CFP 1362]
"Dynamic Misspecification in Nonparametric Cointegrating Regression," Journal of Econometrics (June 2012), 168(2): 270-284 (with Ioannis Kasparis) [CFP 1374]
"The ET Interview: A Conversation with Eric Ghysels," Econometric Theory (February 2012), 28(1): 207–217 (Jun Yu) [CFP 1351]
"Exploring the Mysteries of Trends and Bubbles," in Anderson, K., Australia’s Economy and its International Context: The Joseph Fisher Lectures, Volume II (1956–2012), Adelaide: University of Adelaide Press, 2012, Ch. 54, pp. 599–616 [CFP 1373]
"Mean and Autocovariance Function Estimation near the Boundary of Stationarity," Journal of Econometrics (August 2012), 169(2): 166-178 (with Liudas Giraitis) [CFP 1363]
"Nonlinear Cointegrating Regression under Weak Identification." Econometric Theory (June 2012), 28(3): 509–547 (with Xiaoxia Shi) [CFP 1355]
"Optimal Estimation under Nonstandard Conditions," Journal of Econometrics (August 2012), 169(2): 258–265 (with Werner Ploberger) [CFP 1364]
"A Specification Test for Nonlinear Nonstationary Models," The Annals of Statistics (2012), 40(2): 2, 727–758 (with Qiying Wang) [CFP 1359]
"Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects," Econometrics Journal (2012), 15: 56–100 (with Yonghui Zhang, Liangjun Su) [CFP 1368]
2011
"Bias in Estimating Multivariate and Univariate Diffusions," Journal of Econometrics (2011), 161(2): 228–245 (with Xiaohu Wang, Jun Yu) [CFP 1343]
"Corrigendum" to 'A Gaussian Approach for Continuous Time Models of Short-term Interest Rates'," Econometrics Journal (February 2011), 14(4), 126–129 (with Jun Yu) [CFP 1347]
"Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?" International Economic Review (February 2011), 52(1): 201–226 (with Yangru Wu, Jun Yu) [CFP 1349]
"Folklore Theorems, Implicit Maps, and Indirect Inference," Econometrica (January 2012), 80(1): 425–454; includes Supplement, 1-36 [CFP 1350]
"Infinite Density at the Median and the Typical Shape of Stock Return Distributions." Journal of Business and Economic Statistics (April 2011), 29(2): 282-294 (with Jin Seo Cho, Chirok Han) [CFP 1338]
"Non-parametric Regression under Location Shifts," Econometrics Journal (October 2011), 14(3): 457-486 (with Liangjun Su) [CFP 1346]
"Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels," Econometric Theory (December 2011), 27(6): 1320-1368 [CFP 1340]
"Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications." Journal of Business and Economic Statistics (October 2011), 29(4): 518–528 (with Ke-Li Xu) [CFP 1337]
"Uniform Asymptotic Normality in Stationary and Unit Root Autoregression," Econometric Theory (December 2011), 27(6): 1117-1151 [CFP 1339]
2010
"Bimodal t-ratios: The Impact of Thick Tails on Inference." Econometrics Journal (July 2010), 13(2) 271-289 (with Carlo V. Fiorio, Vassilis A. Hajivassiliou)
"Bootstrapping I(1) Data." Journal of Econometrics (October 2010), 158(2): 280-284 [CFP 1310]
"Dating the Timeline of Financial Bubbles during the Subprime Crisis," Quantitative Economics (November 2010), 1(2): 455-491 (with Jun Yu) [CFP 1348]
"GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity." Econometric Theory (February 2010), 26(1): 119-151 (Chirok Han) [CFP 1290]
"Indirect Inference for Dynamic Panel Models." Journal of Econometrics (July 2010), 157: 68-77 (with Christian Gouriéroux, Jun Yu) [CFP 1301]
"LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities." Econometric Theory (2010), 26(3): 953-962 (with Jin Seo Cho, Chirok Han) [CFDP 1703]
"The Mysteries of Trend," Macroeconomic Review (October 2010), Special Feature C, 82-89 [CFP 1311]
"Smoothing Local-to-Moderate Unit Root Theory." Journal of Econometrics (October 2010), 158(2): 274-279 (with Tassos Magdalinos, Liudas Giraitis) [CFP 1309]
"Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity." Journal of Business and Economic Statistics (January 2010): 28(1): 96-114 (with Seung Hyun (Luke) Hong) [CFDP 1541]
"Two New Zealand Pioneer Econometricians." New Zealand Economic Papers (April 2010), 44(1): 1-26 [CFP 1308]
2009
"Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression." Econometric Theory (2009), 25(3): 710-738 (with Qiying Wang) [CFP 1270]
"Econometric Theory and Practice." Econometric Theory (June 2009), 25(3): 583-586 [CFP 1269]
"Economic Transition and Growth." Journal of Applied Econometrics (2009), 24(7): 1153-1185 (with Donggyu Sul) [CFDP 1514]
"Exact Distribution Theory in Structural Estimation with an Identity." Econometric Theory (August 2009), 25:(4): 958-984 [CFP 1271]
"GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity." Econometric Theory (2009), 26(1): 119-151 (with Chirok Han) [CFP 1290]
"Limit Theory for Cointegrated Systems with Moderately Integrated and Moderately Explosive Regressors." Econometric Theory (2009), 25(2): 482-526 (with Tassos Magdalinos) [CFP 1266]
"Local Limit Theory and Spurious Nonparametric Regression." Econometric Theory (2009), 25: 1466-1467 [CFDP 1654]
"Long Memory and Long Run Variation." Journal of Econometrics (2009), 151: 150-158. [CFP 1267]
"Nonstationary Continuous-Time Processes." In Y. Ait Sahalia and L.P. Hansen, eds., Handbook of Financial Econometrics. Elsevier (with Federico Bandi)
"Simulation-based Estimation of Contingent-claims Prices." Review of Financial Studies (March 2009), 22(9): 3669-3705 (with Jun Yu)
"Semiparametric Cointegrating Rank Selection." Econometrics Journal (2009), 12(2): S83-S104 (with Xu Cheng) [CFP 1272]
"Structural Nonparametric Cointegrating Regression." Econometrica (November 2009), 77(6): 1901-1948 (with Qiying Wang) [CFDP 1657]
"A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations." Journal of Econometrics (2009), 150(2): 139-150 (with Jun Yu) [CFDP 1523]
"Unit Root and Cointegrating Limit Theory when Initialization Is in the Infinite Past." Econometric Theory (December 2009), 25(6): 1682-1715 (with Tassos Magdalinos) [CFDP 1655]
2008
"Adaptive Estimation of Autoregressive Models with Time-Varying Variances" (with Ke-Li Xu), Journal of Econometrics (2008), 142: 265-280 [CFP 1219]
"A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process." Journal of Econometrics (2008), 147: 99-103 (with Offer Lieberman) [CFP 1247]
"Gaussian Inference in AR(1) Time Series with or without a Unit Root." Econometric Theory (June 2008), 24(3): 631-650 [CFP 1243]
"Limit Theory for Explosively Cointegrated Systems" (with Tassos Magdalinos) Econometric Theory (August 2008), 24(4): 865-887 [CFDP 1244]
"Local Limit Theory and Spurious Nonparametric Regression." Econometric Theory (2009), 25: 1466-1497 [CFDP 1654]
"Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing" (with Yixiao Sun and Sainan Jin), Econometrica (January 2008), 76(1): 175-194 [CFP 1221]
"Regression Asymptotics using Martingale Convergence Methods." Econometric Theory (August 2008), 24(4): 888-947 [CFDP 1245]
"Refined Inference on Long Memory in Realized Volatility" (with Offer Lieberman), Econometric Reviews (2008), 27(1-3): 254-267 [CFP 1248]
"Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution." Environmetrics (2008), 19: 567-581 [CFP 1242]
"Unit Root Model Selection," Journal of the Japan Statistical Society (2008), 38(1): 65-74 [CFP 1231]
"Unit Roots." In S. Durlauf and L. Blume (eds.) New Palgrave Dictionary of Economics, 2nd ed., Macmillan, 2008 [CFP 1246]
2007
"Albert Rex Bergstrom: 1925-2005." In J. King (ed.), Biographical Dictionary of Australian and New Zealand Economists, Edward Elgar, Cheltenham, 2007 [CFP 1241]
"Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence" (with Donnggyu Sul), Journal of Econometrics, (March 2007), 137(1): 162-188. [CFP 1204]
"Incidental Trends and the Power of Panel Unit Root Tests" (with Hyungsik Roger Moon and Benoit Perron), Journal of Econometrics (2007), 141: 416-459 [CFP 1215]
"Long-Run Covariance Matrices for Fractionally Integrated Processes" (with Chang Sik Kim). Econometric Theory (December 2007), 23(6): 1233-1247 [CFP 1217]
"A New Approach to Robust Inference in Cointegration" (with Sainan Jin and Yixiao Sun), Economics Letters (May 2006), 91(2): 300-306. [CFP 1203]
"Nonstationary Discrete Choice: A Corrigendum and Appendum" (with Sainan Jin and Ling Hu), Journal of Econometrics (2007), 141: 115-1130 [CFP 1214]
"A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions" (with Federico Bandi), Journal of Econometrics, (April 2007), 137(2): 354-395. [CFP 1205]
"Regression with Slowly Varying Regressors and Nonlinear Trends," Econometric Theory (2007), 23: 557-614. [CFP 1206]
"Some Empirics on Economic Growth under Heterogeneous Technology" (with Donggyu Sul), Journal of Macroeconomics 29 (2007) 455-469 [CFP 1210]
"Transition Modeling and Econometric Convergence Tests" (with Donggyu Sul), Econometrica (2007), 75(6): 1771-1855
2006
"Albert Rex Bergstrom 1925-2005," New Zealand Economic Papers, forthcoming December 2006.
"Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence" (with Donggyu Sul), Journal of Econometrics, forthcoming 2006.
"Comment on 'Realized Variance and Market Microstructure Noise', by Peter R. Hansen and Asger Lunde" (with Jun Yu), Journal of Business and Economic Statistics (April 2006), 24(2): 202-208. [CFP 1167]
"GMM with Many Moment Conditions" (with Chirok Han), Econometrica (January 2006), 74(1): 147-192. [CFP 1165]
"Inference in Autoregression under Heteroskedasticity" (with Ke-Li Xu), Journal of Time Series Analysis (2006), 27:2: 289-308.
"John Denis Sargan 1924-1996" (with David Hendry), New Palgrave Dictionary of Economics, 2nd ed, forthcoming 2006.
"Limit Theory for Moderate Deviations from a Unit Root" (with Tassos Magdalinos), Journal of Econometrics (2007), 136:115-130 [CFP 1172]
"Limit Theory for Moderate Deivations from Unity under Weak Dependence" (with Tassos Magdalinos), in G.D.A. Phillips and E. Tzavalis, eds., The Refinement of Econometric Estimation and Test Procedures: finite Sample and Asymptotic Analysis. Cambridge: Cambridge University Press, forthcoming 2006
"Local Whittle Estimation of Fractional Integration and Some of its Variants" (with Katsumi Shimotsu), Journal of Econometrics, forthcoming 2006.
"Long Run Variance Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation" (with Yixiao Sun and Sainan Jin), Journal of Statistical Planning and Inference, forthcoming 2006. [CFP 1178]
"Nonstationary Discrete Choice: A Corrigendum and Addendum" (with Sainan Jin and Ling Hu), Journal of Econometrics, forthcoming 2006.
"On the Breitung Test for Panel Unit Roots and Local Asymptotic Power" (with Hyungsik Moon and Benoit Perron), Econometric Theory, forthcoming 2006. [CFP 1179]
"A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation," Econometric Theory, (2006), 22: 947-960 [CFP 1171]
"Robust Inference in Cointegration" (with Sainan Jin and Yixiao Sun), Economeics Letters, forthcoming 2006.
"Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels without Truncation"(with Yixiao Sun and Sainan Jin), International Economic Review, (August 2006), 47(3): 837-894 [CFP 1170]
"A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions" (with Federico Bandi), Journal of Econometrics, forthcoming 2006.
"Uniform Limit Theory for Stationary Autoregression" (with Liudas Giraitis), Journal of Time Series Analysis (2006), 27(1): 51-60. [CFP 1166]
"Unit Root Log Periodogram Regression," Journal of Econometrics, forthcoming 2006.
2005
"Automated Discovery in Econometrics." Econometric Theory (2005), 21: 3-20 [CFP 1149]
"Challenges of Trending Time Series Econometrics." Mathematics and Computers in Simulation (2005), 68: 401-416. [CFP 1151]
"Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics" (with Jun Yu), Statistical Science (2005), 20(4): 338-343. [CFP 1152]
"Econometric Analysis of Fisher's Equation," American Journal of Economics and Sociology (January 2005), 64(1): 125-168. [CFP 1173]
"Exact Local Whittle Estimation of Fractional Integration" (with Katsumi Shimotsu), The Annals of Statistics (2005), 33(4): 1890-1933. [CFP 1156]
"Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter" (with Offer Lieberman), Econometrics Journal (2005), 8: 367-379 [CFP 1157]
"HAC Estimation by Automated Regression," Econometric Theory (2005), 21: 116-142 [CFP 1158]
"Inference in Autoregression under Heteroskedasticity" (with Ke-Li Xu), Journal of Time Series Analysis (2005), 27(2): 289-308. [CFP 1159]
"Jackknifing Bond Option Prices" (with Jun Yu), Review of Financial Studies (2005), 18(2): 707-742. [CFP 1119]
"Prewhitening Bias in HAC Estimation" (with Donggyu Sul, Chi-Young Choi), Oxford Bulletin of Economics and Statistics (2005), 67(4): 517-546. [CFP 1161]
2004
"Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach" (with Ling Hu), Journal of Applied Econometrics (2004), 19: 851-867. [CFP 1112]
"Early Development of Econometric Software at the University of Aukland" (with Viv B. Hall), Journal of Economic and Social Measurement (2004), 29: 127-133. [CFP 1101]
"Econometric Analysis of Fisher's Equation" in J. Geanakoplos and W.C. Brainard, eds., Essays in Memory of Irving Fisher, 2004. [CFDP 1180, abstract]
"Error Bounds and Asymptotic Expansions for Toeplitz Product Fundationals of Unbounded Spectra" (with Offer Lieberman), Journal of Time Series Analysis (2004), 25(5): 733-753. [CFP 1141]
"GMM Estimation of Autoregressive Roots Near Unity with Panel Data" (with Hyungsik Roger Moon), Econometrica (March 2004), 72(2): 467-522. [CFP 1085]
"Local Whittle Estimation in Unit Root and Nonstationary Cases" (with Katsumi Shimotsu), The Annals of Statistics (2004), 34(2): 656-692. [CFP 1098]
"Nonlinear Instrumental Variable Estimation of an Autoregression" (with Joon Park and Yoosoon Chang), Journal of Econometrics (2004), 118: 219-246. [CFP 1087]
"Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach" (with Andrew Jeffrey, Dennis Kristensen, Oliver Linton, Thong Nguyen), Journal of Financial Econometrics (2004), 2(2): 251-289. [CFP 1143]
"Nonstationary Discrete Choice" (with Ling Hu), Journal of Econometrics (2004), 120: 103-138. [CFP 1103]
"Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter" (with Offer Lieberman), Econometric Theory (2004), 20:3: 464-484.
Understanding the Fisher Equation" (with Yixiao Sun), Journal of Applied Econometrics (2004), 19: 869-886.
2003
"A CUSUM Test for Cointegration Using Regression Residuals" (with Zhijie Xiao), Journal of Econometrics (2002), 108: 43-61. [CFP 1046]
"Dynamic Panel Estimation and Homogeneity Testing under Cross Section Dependence" (with Donggyu Sul), Econometrics Journal (2003), 6: 217–259. [CFP 1136, CFDP 1362]
"Dynamics of the Federal Funds Target Rate: A Nonsstationary Discrete Choice Approach" (with Ling Hu), forthcoming in Journal of Applied Econometrics (June 2003), 6(1): 217-259 [CFP 1136]
"Empirical Limits for Time Series Econometric Models" (with Werner Ploberger), Econometrica (2003), 71(2): 627-673. [CFP 1062]
"Fractional Brownian Motion as a Differentiable Generalized Gaussian Process" (with Vicky Zinde-Walsh), Ch. 17 in K. Athreya, M. Majumdar, M. Puri and W. Waymire, eds., Probability Statistics and Their Applications: Papers in Honor of Rabi Bhattacharya. Institute of Mathematical Statistics Lecture Notes-Monograph Series, Vol. 41. Beachwood, Ohio: Institute of Mathematical Statistics, 2003, pp. 285-293. [CFP 1115]
"Fully Nonparametric Estimation of Scalar Diffusion Models" (with Federico Bandi), Econometrica (January 2003), 71(1): 241-283. [CFP 1050]
"In Memory of John Denis Sargan." Econometric Theory (2003), 19: 417-422 [CFP 1137]
"An Introduction to Best Empirical Models When the Parameter Space is Infinite Dimensional" (with Werner Ploberger), Oxford Bulletin of Economics and Statistics Supplement (December 2003), 65: 877-878. [CFP 1109]
"John Denis Sargan: 1924-1996" (with David F. Hendry), Proceedings of the British Academy, Vol. 120, 2003, pp. 384-409.
"Laws and Limits of Econometrics," Economic Journal (2003), 113(486): C26-C52. [CFP 1081]
"Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes" (with Yixiao Sun), Journal of Econometrics (2003), Vol. 115:  355–389. [CPF 1077]
"Understanding the Fisher Equation" (with Yixiao Sun), Journal of Applied Econometrics (2004), Vol. 19:  869-866. [CFP 1117]
"Vision and Influence in Econometrics: John Denis Sargan," Econometric Theory (2003), Vol. 19, No. 3:  495–511. [CFP 1054]
2002
"Band Spectral Regression with Trending Data" (with Dean Corbae and Sam Ouliaris), Econometrica, Vol. 70, No. 3, May 2002:  1067–1110. [CFP 1039]
"A CUSUM Test for Cointegration using Regression Residuals" (with Zhijie Xiao), Journal of Econometrics, Vol. 108, No. 1, May 2002:  43–61. [CFP 1046]
"Higher Order Approximations for Wald Statistics in Time Series Regressions with Integrated Processes'' (with Zhijie Xiao), Journal of Econometrics (May 2002), Vol. 108, No. 1:   157–198. [CFP 1094]
"Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n + 1 Endogenous Variables" (with John C. Chao), Journal of Econometrics (2002), Vol. 111:  251-283. [CFP 1107]
"The KPSS Test with Seasonal Dummies" (with Sainan Jin), Economics Letters (2002), Vol. 77:  239–243. [CFP 1132]
"New Unit Root Asymptotics in the Presence of Deterministic Trends," Journal of Econometrics (2002), 111: 323-353. [CFP 1059]
"Pooled Log Periodogram Regression" (with Katsumi Shimotsu), Journal of Time Series Analysis, 2002, Vol. 23, No. 1. [CFP 1041]
2001
"The Bill Phillips Legacy of Continuous Time Modelling and Econometric Model Design," in Robert Leeson (Ed.). "A.W.H. Phillips: Collected Works in Contemporary Perspective." Cambridge: Cambridge University Press. 2001. [CFP 1026]
"Descriptive Econometrics for Non-Stationary Time Series with Empirical Applications". Journal of Applied Econometrics, Vol. 16, No. 3, May–June 2001:  389–413. [CFP 1023]
"A Gaussian Approach for Continuous Time Models of the Short–Term Interest Rates" (with Jun Yu), The Econometrics Journal, Vol. 4, No. 2, 2001:  210–224. [CFP 1124]
"How to Estimate Autoregressive Roots Near Unity" (with Zhijie Xiao and Hyungsik Moon), Econometric Theory, Vol. 17 No. 1, February, 2001:  29–69. [CFP 1028]
"New Unit Root Asymptotics in the Presence of Deterministic Trends," Journal of Econometrics, 2001, Vol. 11:  323–353. [CFP 1059, CFDP 1196, abstract]
"Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors" (with Yoosoon Chang and Joon Park). Econometrics Journal, Vol. 4, June 2001: 1–36. [CFP 1032]
"Nonlinear Regressions with Integrated Time Series" (with Joon Park), Econometrica, Vol. 69, No. 1, January 2001:  117–161. [CFP 1016]
"Rethinking an Old Empirical Puzzle: Econometric Evidence on the Forward Discount Anomaly" (with Alex Maynard), Journal of Applied Econometrics, Vol. 16, No. 6, November–December 2001:  671–708. [CFP 1035]
"Rissanen's Theorem and Econometric Time Series" (with Werner Ploberger), in Hugo A. Keuzenkamp, Michael McAleer and Arnold Zellner "Simplicity, Inference and Modelling"; Cambridge: Cambridge University Press, 2001. [CFP 1037]
"Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges," Journal of Econometrics, Vol. 100, January 2001:  21–27. [CFP 1012]
"Structural Change Tests in Tail Behavior and the Asian Crisis" (with Carmela Quintos and Zhenhong Fan), Review of Economic Studies, Vol. 68, No. 3, July 2001:   633–663. [CFP 1030]
2000
"Estimation of Autoregressive Roots Near Unity Using Panel Data" (with Hyungsik Moon), Econometric Theory, Vol. 16, No. 6, December, 2000, pp 927–998. [CFP 1018]
"Forecasting New Zealand’s Real GDP" (with Aaron Schiff), New Zealand Economic Papers, Vol. 34, No. 2, 2000:  159–182. [CFP 1020]
"Nonstationary Binary Choice Models" (with Joon Park), Econometrica, Vol. 68, No. 5, September 2000:   1249–1280. [CFP 1003]
"Nonstationary Panel Data Analysis: An Overview of Some Recent Developments" (with Hyungsik R. Moon) Econometric Reviews, Vol. 19, No. 3, August 2000:  263–286. [CFP 1009]
"Pooled Log Periodogram Regression" (with Katsumi Shimotsu) Journal of Time Series Analysis, Vol. 23, No. 1, January 2002:  57–93. [CFP 1041]
1999
"Asymptotics for Nonlinear Transformations of Integrated Time Series" (with Joon Park), Econometric Theory, Vol. 15, No. 3, June 1999:  269–298. [CFP 980]
"Efficient Detrending in Cointegrating Regression" (with Zhijie Xiao), Econometric Theory (August 1999), Vol. 15, No. 4:  519–548. [CFP 1071]
"Linear Regression Limit Theory for Nonstationary Panel Data" (with Hyungsik R. Moon), Econometrica, Vol. 67, No. 5, September, 1999: 1057–1111. [CFP 986]
"Maximum Likelihood Estimation in Panels with Incidental Trends" (with H. Roger Moon), Oxford Bulletin of Economics and Statistics, Vol. 61, November, 1999:  711–748. [CFP 999]
"Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure" (with John C. Chao). Journal of Econometrics, Vol. 91, No. 2, August 1999:   227–271. [CFP 992]
1998
"An ADF Coefficient Test for A Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy" (with Zhijie Xiao), The Econometrics Journal (June 1998), Vol. 1:  27-43. [CFP 1005]
"Higher Order Approximations for Frequency Domain Time Series Regression" (with Zhijie Xiao), Journal of Econometrics, Vol. 86, No. 2, October 1998:  297–336. [CFP 968]
"Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Journal of Econometrics, Vol. 83, March–April 1998:  21–56. [CFP 953]
"New Tools for Understanding Spurious Regressions," Econometrica, Vol. 66, No. 6, November, 1998:  1299–1326. [CFP 966]
"Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior" (wiith John C. Chao), Journal of Econometrics, Vol. 87, November 1998:  49–86. [CFP 970]
"A Primer on Unit Root Testing" (with Zhijie Xiao), Journal of Economic Surveys, Vol. 12, No. 5, December 1998:  423–469. [CFP 972]
1997
"Economic Headline News on the Agenda: New Approaches to Understanding Causes and Effects" (with D.J. Blood), in M. McCombs, D. Shaw and D. Weaver, eds. Communication and Democracy: Exploring the Intellectual Frontiers in Agenda-Setting Theory, Lawrence Erlbaum. 1997:  97–114. [CFP 948]
"Forward Exchange Market Unbiasedness: The Case of the Australian Dollar since 1984" (with J. McFarland), Journal of International Money and Finance, Vol. 16, No. 6, 1997, 885–907. [CFP 1068]
"Fully Modified IV, GIVE and GMM Estimation with Possibly Nonstationary Regressors and Instruments" (with Yuichi Kitamura), Journal of Econometrics, Vol. 80, 1997, 85–123. [CFP 955]
"Unit Root Tests," in Encylopedia of Statistical Sciences, Update Vol. 1, 1997:  531–542. [CFP 944]
1996
"An Asymptotic Theory of Bayesian Inference for Time Series" (with Werner Ploberger), Econometrica, Vol. 64, No. 2, March 1996, 381–413. [CFP 917]
"Econometric Model Determination," Econometrica, Vol. 64, No. 4, July 1996:   763–812. [CFP 926, CFDP 1083, abstract]
"Efficiency Gains from Quasi-Differencing under Nonstationarity" (with Chin Chin Lee) in P. M. Robinson and M. Rosenblatt, eds., Athens Conference on Applied Probability and Time Series: volume II Time Series Analysis in memory of E. J. Hannan. New York: Springer Verlag. 1996. [CFP 936]
"An Empirical Bayesian Approach to Cointegration Rank Selection and Test of the Present Value Model for Stock Prices" (with John C. Chao), in J. C. Lee and A. Zellner, eds., Prediction, Forecasting and Modeling in Statistics and Econometrics, Springer-Verlag, 1996. [CFP 943]
"Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's" (with J. McFarland and P.C. McMahon), Journal of Applied Econometrics, Vol. 11, No. 1, January–February 1996:  1–23. [CFP 921]
1995
"The Asia–Pacific Economic Review," Asia–Pacific Economic Review, 1995, Vol. 1, No. 1, 1995:  1–2.
"Automated Forecasts of Asia–Pacific Economic Activity," Asia–Pacific Economic Review, Vol. 1, No. 1, 1995:  92–102.
"Bayesian Model Selection and Prediction with Empirical Applications," Journal of Econometrics, Vol. 69, No. 1, September 1995:  289–332. [CFP 911]
"Bayesian Prediction: A Response," Journal of Econometrics, Vol. 69, No. 1, September, 1995: 351–365. [CFP 908]
"Efficient IV Estimation in Nonstationary Regression: An Overview and Simulation Study" (with Yuichi Kitamura), Econometric Theory, Vol. 12, No. 5, December 1995:   1095–1130. [CFP 913]
"Fully Modified Least Squares and Vector Autoregression," Econometrica, Vol. 63, No. 5, September 1995:  1023–1078. [CFP 905, CFDP 1047 abstract]
"Nonstationarity Time Series and Cointegration," Journal of Applied Econometrics, Vol. 10, January–March 1995:  87–94. [CFP 893]
"On the Theory of Testing Covariance Stationarity under Moment Condition Failure" (with Mico Loretan):  198–233 in G. S. Maddala, P.C.B. Phillips and T.N. Srinivasan (eds.), Advances in Econometrics and Quantitative Economics: Essays in Honor of Professor C.R. Rao, Basil Blackwell, 1995. [CFP 903]
"Recession Headline News, Consumer Sentiment, the State of the Economy and Presidential Popularity: A Time Series Analysis 1989–1993" (with D.J. Blood), International Journal of Public Opinion Research, 1995, Vol. 7, No. 1:  2–22. [CFP 900]
"Robust Nonstationary Regression," Econometric Theory, Vol. 12, No. 5, December 1995:  912–951. [CFP 912]
"Time Series Regression with Mixtures of Integrated Regressors" (with Yoosoon Chang), Econometric Theory, Vol. 12, No. 5, December 1995:  1033–1094. [CFP 919]
"Trending Multiple Time Series: Editor's Introduction," Econometric Theory, Vol. 12, No. 5, December 1995:  811–817. [CFP 914]
1994
"A Bayesian Analysis of Trend Determination in Economic Time Series" (with E. Zivot), Econometric Reviews, Vol. 13, No. 5, November 1994:  291–336. [CFP 891, CFDP 1002]
"Bayes Methods and Unit Roots: Editors' Introduction" (with Herman van Dijk), Econometric Theory, Vol. 10, No. 3/4, August/October 1994:  453–460. [CFP 885]
"Bayes Models and Forecasts of Australian Macroeconomic Time Series," pp. 53–86 in C. Hargreaves (ed.), Nonstationary Time Series Analyses and Cointegration, Oxford: Oxford University Press, 1994. [CFP 897]
"Posterior Odds Testing for a Unit Root with Data-Based Model Selection" (with W. Ploberger), Econometric Theory, Vol. 10, No. 3/4, August/October 1994:  774–808. [CFP 878]
"A Reexamination of the Consumption Function Using Frequency Domain Regression" (with D. Corbae and S. Ouliaris), Empirical Economics, Vol. 19, 1994, 595–609. [CFP 894]
"Reflections on the Day," Journal of Economic Surveys, Vol. 8, No. 3, September 1994, 311–316.
"Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegration Coefficients in Error Correction Models," Econometrica, Vol. 62, No. 1, January 1994:   73–94. [CFP 864]
"Testing the Covariance Stationarity of Heavy-Tailed Time Series" (with Mico Loretan), Journal of Empirical Finance, Vol. 1, January 1994:  211–248. [CFP 866]
"Vector Autoregression and Causality: A Theoretical Overview and Simulation Study" (with H.Y. Toda), Econometric Reviews, Vol. 13, No. 2, July 1994:  259–285. [CFP 890, CFP 1001]
1993
"Operational Algebra and Regression t–Tests" in P.C.B. Phillips, Ed., Models, Methods and Applications of Econometrics: Essays in Honor of A. R. Bergstrom. Oxford: Basil Blackwell, 1993. [CFP 830]
"Parameter Constancy in Cointegrating Regressions" (with Carmela Quintos), Empirical Economics, Vol. 18, 1993:  675–706. [CFP 861]
"Rex Bergstrom's Career and Research" in P.C.B. Phillips (ed.), Models, Methods and Applications of Econometrics: Essays in Honor of A.R. Bergstrom, Oxford: Basil Blackwell, 1993.
"The Spurious Effect of Unit Roots on Vector Autoregressions: An Analytical Study" (with H.Y. Toda), Journal of Econometrics, Vol. 59, October 1993:  263–286. [CFP 854]
"Testing for a Unit Root by Frequency Domain Regression" (with In Choi), Journal of Econometrics, Vol. 59, October 1993:  263–286. [CFP 850]
"Vector Autoregression and Causality" (with H.Y. Toda), Econometrica, Vol. 61, No. 6, November 1993:  1367–1393. [CFP 858]
1992
"Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations" (with In Choi), Journal of Econometrics, Vol. 51, No. 1/2, January/February 1992:  113–150. [CFP 806]
"Asymptotics for Linear Processes" (with V. Solo), Annals of Statistics, Vol. 20, No. 2, June 1992:  971–1001. [CFP 815]
"The Characteristic Functions of the Dirichlet and Multivariate F Distributions" in M. Driscoll and S. Sen, eds., Risk and Uncertainty in Economics: Essays in Honour of J.L. Ford. Cheltenham: Edward Elgar, 1992.
"LM Tests for a Unit Root in the Presence of Deterministic Trends" (with P. Schmidt), Oxford Bulletin of Economics and Statistics, Vol. 54, No. 3, August 1992:  257–287. [CFP 820]
"The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Inference," Chapter 11 in C. Hargreaves (ed.), Long Run Equilibrium and Macroeconomic Modelling. Cheltenham: Edward Elgar, 1992:  287–322. [CFP 825]
"Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?" (with D. Kwiatkowski, P. Schmidt and Y. Shin), Journal of Econometrics, Vol. 54, October/December 1992:  159–178. [CFP 827]
"Unit Roots," in P. Newman, M. Milgate and J. Eatwell (eds.), The New Palgrave Dictionary of Money and Finance, 1992.
1991
"Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum," Journal of Applied Econometrics, Vol. 6, No. 4, October–December 1991:  435–474. [CFP 799]
"To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, Vol. 6, No. 4, October–December 1991:  333–364. [CFP 798]
"The Durbin–Watson Ratio under Infinite Variance Errors" (with Mico Loretan), Journal of Econometrics, Vol. 47, January 1991:  85–114. [CFP 772]
"Error Correction and Long-Run Equilibria in Continuous Time," Econometrica, Vol. 59, July 1991:  967–980. [CFP 788]
"Estimating Long-Run Economic Equilibria" (with Mico Loretan), Review of Economic Studies, 1991, Vol. 58, May 1991:  407–436. [CFP 785]
"Optimal Inference in Cointegrated Systems," Econometrica, Vol. 59, March 1991:   283–306. [CFP 777]
"Spectral Regression for Cointegrated Time Series" in W. Barnett (ed.), Nonparametric and Semiparametric Methods in Economics and Statistics, Cambridge: Cambridge University Press, 1991. [CFP 796]
"A Shortcut to LAD Estimator Asymptotics," Econometric Theory, Vol. 7, December 1991:   450–463. [CFP 801]
1990
"Asymptotic Properties of Residual Based Tests for Cointegration" (with S. Ouliaris), Econometrica, Vol. 58, No. 1, January 1990:  165–193. [CFP 746]
"Estimation and Inference in Models of Cointegration: A Simulation Study" (with B. E. Hansen), Advances in Econometrics, Vol. 8, 1990:  225–248. [CFP 747]
"Statistical Inference in Instrumental Variable Regressions with I(1) Processes" (with B.E. Hansen). Review of Economic Studies, Vol. 57, January 1990:  99–125. [CFP 743]
"T.W. Anderson's Contributions to the Study of Structural Equation Estimation," in G. Styan (ed.), The Collected Works of T.W. Anderson, New York: Wiley, 1990.
"Time Series Regression with a Unit Root and Infinite-Variance Errors," Econometric Theory, Vol. 6, No. 1, March 1990:  44–62. [CFP 755]
1989
"Partially Identified Econometric Models," Econometric Theory, Vol. 5, No. 2, August 1989:  181–240. [CFP 728]
"Spherical Matrix Distributions and Cauchy Quotients," Statistics and Probability Letters, Vol. 8, 1989:  51–53. [CFP 729]
"Statistical Inference in Regressions with Integrated Processes: "Part 2" (with Joon Y. Park), Econometric Theory, Vol. 5, No. 1, April 1989:  95–132. [CFP 722]
"Testing for a Unit Root in the Presence of a Maintained Trend" (with S. Ouliaris and J.Y. Park) in B. Raj (ed.), Advances in Econometrics and Modeling. Amsterdam: Kluwer, 1989:   7–28. [CFP 756]
1988
"Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions with Integrated Regressors" (with Joon Y. Park), Journal of the American Statistical Association, Vol. 83, No. 401, March 1988:  111–115. [CFP 703]
"Conditional and Unconditional Statistical Independence," Journal of Econometrics, Vol. 38, No. 3, July 1988:  341–348. [CFP 705]
"Multiple Regression with Integrated Processes," in N.U. Prabhu, ed., Statistical Inference from Stochastic Processes, American Mathematical Society, Contemporary Mathematics, Vol. 80, 1988:  79–106. [CFP 720]
"On the Formulation of Wald Tests of Nonlinear Restrictions" (with Joon Y. Park) Econometrica, Vol. 56, No. 5, September 1988:  1065–1084. [CFP 718]
"Reflections on Econometric Methodology," Economic Record, Vol. 64, December 1988:   344–359. [CFP 727]
"Regression Theory for Near-Integrated Time Series," Econometrica, Vol. 56, No. 5, September 1988:  1021–1044. [CFP 711]
"Statistical Inference in Regressions with Integrated Processes: Part 1" (with Joon Y. Park), Econometric Theory, Vol. 4, No. 3, December 1988:  468–497. [CFP 715]
"Testing for Cointegration Using Principal Components Methods" (with Sam Ouliaris), Journal of Economic Dynamics and Control, Vol. 12, No. 2/3, June/September 1988:   205–230. [CFP 723]
"Testing for a Unit Root in Time Series Regression" (with Pierre Perron), Biometrika, Vol. 75, No. 2, June 1988:  335–346. [CFP 706]
"Trends versus Random Walks in Time Series Analysis" (with S.N. Durlauf), Econometrica, Vol. 56, No. 6, November 1988:  1333–1354. [CFP 744]
"Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations," Econometric Theory, Vol. 4, No. 3, December 1988:  528–533. [CFP 716]
"Weak Convergence to the Matrix Stochastic Integral BdB," Journal of Multivariate Analysis, Vol. 24, No. 2, February 1988:  252–264. [CFP 697]
"Worldwide Institutional and Individual Rankings in Statistical Theory by Publications over the Period 1980–1986" (with I. Choi and P. Schochet), Econometric Theory, Vol. 4, No. 1, April 1988:  1–34.
1987
"Asymptotic Expansions for Non–stationary Vector Autoregressions," Econometric Theory, Vol. 3, No. 1, April 1987:  45–68. [CFP 679]

"Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions" (with D.W.K. Andrews), Journal of the American Statistical Association, 1987, Vol. 82, No. 399, September 1987:  886–893. [CFP 690]

"Does GNP Have a Unit Root: A Reevaluation" (with Pierre Perron), Economics Letters, 23, 1987:  139–145. [CFP 681]
"An Everywhere Convergent Series Representation of Hotelling's Generalized T02," Journal of Multivariate Analysis, Vol. 21, No. 2, April 1987:  238–248. [CFP 675]
"A Model of Output, Employment, Capital Formation and Inflation" (with R.W. Bailey and V.B. Hall) in G. Gandolfo and F. Marzano (eds.), Saggi in memoria di Victorio Marrama, Milano: Giuffrè 1987. [CFP 701]
"Time Series Regression with a Unit Root," Econometrica, Vol. 55, No. 2, March 1987:   277–301. [CFP 674]
"Towards a Unified Asymptotic Theory for Autoregression," Biometrika, Vol. 74, No. 3, September 1987:  535–547. [CFP 685]
1986
"The Distribution of FIML in the Leading Case," International Economic Review, Vol. 27, No. 1, February 1986:  239–243. [CFP 638]
"The Exact Distribution of the Wald Statistic," Econometrica, Vol. 54, No. 4, July 1986:  881–895. [CFP 654]
"Fractional Matrix Calculus and the Distribution of Multivariate Tests," in I.B. MacNeill and G.J. Umphrey (eds.), Time Series and Econometric Modeling, Dordrecht: D. Reidel, 1986:  219–234. [CFP 664]
"Multiple Time Series Regression with Integrated Processes" (with S.N. Durlauf), Review of Economic Studies, Vol. 53, No. 4, August 1986:  473–496. [CFP 659]
"Large Deviation Expansions in Econometrics," in D. Slottje, ed., Advances in Econometrics, Vol. 5, 1986:  199–226. [CFP 669]
"A Simplified Proof of a Theorem on the Difference of the Moore–Penrose Inverses of Two Positive Semi Definite Matrices" (with D.W.K. Andrews), Communications in Statistics, Vol.15, No.10, 1986:  2973–2975. [CFP 672]
"Testing for Serial Correlation and Unit Roots with a Computer Function Routine Based on Extended Rational Approximants (ERA's)" (with Peter C. Reiss), Advances in Statistical Analysis and Statistical Computing, Vol. 1, 1986:  1–50. [CFP 642]
"Understanding Spurious Regressions in Econometrics," Journal of Econometrics, Vol. 33, No. 3, December 1986:  311–340. [CFP 667]
1985
"The Distribution of Matrix Quotients," Journal of Multivariate Analysis, Vol. 16, No. 1, February 1985:  157–161. [CFP 608]
"Editorial," Econometric Theory, Vol. 1, No. 1, April 1985:  1–5.
"The Exact Distribution of the SUR Estimator," Econometrica, Vol. 53, No. 4, July 1985:  745–756. [CFP 625]
"The Exact Distribution of LIML: II," International Economic Review, Vol. 26, No. 1, February 1985:  21–36. [CFP 618]
"A Theorem on the Tail Behavior of Probability Distributions with an Application to the Stable Family," Canadian Journal of Economics, Vol. 18, No. 1, February 1985:  58–65. [CFP 622]
1984
"The Exact Distribution of Exogenous Variable Coefficient Estimators," Journal of Econometrics, Vol. 26, No. 3, December 1984:  387–398. [CFP 602]
"The Exact Distribution of LIML: I," International Economic Review, Vol. 25, No. 1, February 1984:  249–261. [CFP 589]
"The Exact Distribution of the Stein–Rule Estimator," Journal of Econometrics, Vol. 25, No. 1/2, May/June, 1984:  123–131. [CFP 594]
"Finite Sample Econometrics Using ERA's," Journal of Japan Statistical Society, Vol. 14, No. 2, November 1984:  107–124. [CFP 605]
1983
"ERA's: A New Approach to Small Sample Theory," Econometrica, Vol. 51, No. 5, September 1983:  1505–1525. [CFP 573]
"Exact Small Sample Theory in the Simultaneous Equations Model," Chapter 8 and pp. 449–516 in M.D. Intriligator and Z. Griliches (eds.), Handbook of Econometrics, North-Holland, 1983. [CFP 587]
"Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case," Advances in Econometrics, Vol. 2, 1983:  1–24. [CFP 582]
1982
"Best Uniform and Modified Padé Approximations of Probability Densities in Econometrics," Chapter 5 in W. Hildenbrand (ed.), Advances in Econometrics, Cambridge University Press, 1982:  123–167. [CFP 557]
"On the Behavior of Inconsistent Instrumental Variable Estimators" (with E. Maasoumi), Journal of Econometrics, Vol. 19, No. 2/3, August, 1982:  183–203. [CFP 554]
"On the Consistency of Non-Linear FIML," Econometrica, Vol. 50, No. 5, September 1982:  1307–1324. [CFP 549]
"A Simple Proof of the Latent Root Sensitivity Formula," Economics Letters, Vol. 9, 1982:   57–59. [CFP 546]
"The True Characteristic Function of the F Distribution," Biometrika, Vol. 69, No. 1, April 1982:  261–264. [CFP 560]
1980
"The Exact Finite Sample Density of Instrumental Variable Estimators in an Equation with n+1 Endogenous Variables," Econometrica, Vol. 48, No. 4, May 1980:   861–878.
"Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume," Review of Economic Studies, Vol. 47, No. 1, January 1980:   183–224.
1979
"The Concentration Ellipsoid of a Random Vector," Journal of Econometrics, Vol. 11, No. 2/3, October/December 1979:  363–365.
"A Saddlepoint Approximation to the Distribution of the k–Class Estimator of a Coefficient in a Simultaneous System" (with A. Holly), Econometrica, Vol. 47, No. 6, November 1979:  1527–1548.
"The Sampling Distribution of Forecasts from a First Order Autoregression," Journal of Econometrics, Vol. 9, No. 3, February 1979:  241–261.
1978
"Edgeworth and Saddlepoint Approximations in a First Order Non-Circular Autoregression," Biometrika, Vol. 65, No. 1, February 1978:  91–98.
"The Treatment of Flow Data in the Estimation of Continuous Time Systems," Ch. 15 in A. R. Bergstrom, A.J.L. Catt and M. Preston, eds., Stability and Inflation: Essays in Memory of A. W. Phillips, New York, 1978:  257–274.
1977
"An Approximation to the Finite Sample Distribution of Zellner's Seemingly Unrelated Regression Estimator," Journal of Econometrics, Vol. 6, No. 2, September 1977:  147–164.
"Approximations to Some Finite Sample Distributions Associated with a First Order Stochastic Difference Equation," Econometrica, Vol. 45, No. 2, March 1977:  463–485.
"Econometrics: A View from the Toolroom," Inaugural Lecture, published by the University of Birmingham, April 1977.
"A General Theorem in the Theory of Asymptotic Expansions as Approximations to Finite Sample Distributions of Econometric Estimators," Econometrica, Vol. 45, No. 6, September 1977:  1517–1534.
"A Large Deviation Limit Theorem for Multivariate Distributions," Journal of Multivariate Analysis, Vol. 7, No. 1, March 1977:  50–62.
1976
"The Estimation of Linear Stochastic Differential Equations with Exogenous Variables," in A.R. Bergstrom, ed., Statistical Inference in Continuous Time Economic Models, North-Holland, 1976.
"The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator," Econometrica, Vol. 44, No. 3, May 1976:  449–460.
"Some Computations Based on Observed Data Series of the Exogenous Variable Component in Continuous Systems," in A. R. Bergstrom (ed.), Statistical Inference in Continuous Time Economic Models, North-Holland, 1976.
1975
"A Quarterly Forecasting Model of the New Zealand Economy" (with J. Yeabsley), New Zealand Economic Papers, Vol. 9, 1975:  181–195.
1974
"The Estimation of Some Continuous Time Models," Econometrica, Vol. 42, No. 5, September, 1974:  803–823.
1973
"The Problem of Identification in Finite Parameter Continuous Time Models," Journal of Econometrics, Vol. 1, No. 4, December 1973:  351–262.
1972
"The Structural Estimation of a Stochastic Differential Equation System," Econometrica, Vol. 40, No. 6, November 1972:  1021–1041.

PROBLEMS AND SOLUTIONS

"Regression with an Evaporating Logarithmic Trend" (with Yixiao Sun), Econometric Theory, 2003 (forthcoming).
"Nonorthogonal Hilbert Projections in Trend Regresion" (with Yixiao Sun), Econometric Theory, Vol. 17, No. 4, August 2001:  854–855.
"Convergence of a Nonlinear Time Series Model," Econometric Theory, Vol. 10, No. 2, June 1994, p. 442 (Solution in Vol. 11, No. 4, October 1995:  808–809).
"Fully Modified Least Squares in I(2) Regression" (with Yoosoon Chang), Econometric Theory, Vol. 10, No. 5, December 1994, p. 957.
"Spurious Regression and Generalized Least Squares" (with D.J. Hodgson), Econometric Theory, Vol. 10, No. 5, December 1994:  957–958.
"Spurious Regression in Forecast-Encompassing Tests," Econometric Theory, Vol. 10, No. 3/4, August/October 1994:  818–819. (Solution in Vol. 12, No. 5, December 1995:  1188–1190.)
"Some Exponential Martingales" (with D.J. Hodgson), Econometric Theory, Vol. 10, No. 3/4, August 1994, p. 819.
"Nonlinear Testing and Forecasting Asymptotics with Potential Rank Failure," Econometric Theory, Vol. 9, No. 4, December 1993:  689–690. (Solution in Vol. 11, No. 3:  666–668.)
"Reduced Rank Regression Asymptotics in Multivariate Regression," Econometric Theory, Vol. 9, No. 4, December 1993, p. 689. (Solution in Vol. 11, No. 3, 1994:  661–666.)
"Efficiency of Maximum Likelihood," Econometric Theory, Vol. 8, No. 3, September 1992, p. 427. (Solution in Vol. 9, No. 3, September 1993:  534–535.)
"Generalized Inverses of Partitioned Matrices," Econometric Theory, Vol. 8, No. 3, September 1992:  426–427.
"Limit Theory in Cointegrated Vector Autoregressions" (with H. Toda), Econometric Theory, Vol. 8, No. 1, March 1992, p. 146. (Solution in Vol. 9, No. 1, March 1993:  149–152.)
"Partitioned Regression with Rank–Deficient Regressors," Econometric Theory, Vol. 8, No. 2, June 1992:  307–309.
"Simultaneous Equations Bias in Level VAR Estimation," Econometric Theory, Vol. 8, No. 2, June 1992, p. 307. (Solution in Vol. 9, No. 2, June, 1993:  326–328.)
"Estimating and Testing in Linear Models with Singular Error Covariance Matrices," Econometric Theory, Vol. 5, No. 3, December 1989, p. 455. (Solution in Vol. 7, No. 1, March 1991:  153–159.)
"Testing for Stationarity in the Components Representation of a Time Series" (with D. Kwiatkowski and P. Schmidt), Econometric Theory, Vol. 7, No. 4, December 1991:   543–544. (Solution in Vol. 8, No. 4, December 1992:  586–591.)
"Joint Estimation of Equilibrium Coefficients and Short Run Dynamics," Econometric Theory, Vol. 6, No. 2, June 1990, p. 286.
"Geometry of the Equivalence of OLS and GLS in the Linear Model," Econometric Theory (December 1990), 6(4): 489–490. (Solution in (March 1992), 8(1):  158–159.)
"Optimal Structural Estimation of Triangular Systems," Econometric Theory (June 1990), 6(2): 285.
"Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case," Econometric Theory (September 1990), 6(3): 407. (Solution in (December 1991), 7(4):  549–553.)
"Testing Causality in an Autoregression with Cointegrated Regressors" (with Hiro Toda), Econometric Theory (December 1990), 6(4): 489.
"The Limit Distribution of the Generalized Inverse of a Singular Covariance Matrix Estimate," Econometric Theory (December 1989), 5(3): 455.
"Asymptotic Properties of OLS and GLS," Econometric Theory (April 1988), 4(1): 171.
"Structural Estimation under Partial Identification," Econometric Theory (April 1988), 4(1): 179.
"The Distribution of LIML in the Leading Case," Econometric Theory (December 1987), 3(3): 469.
"Distribution of the F Ratio" (with Aman Ullah), Econometric Theory (December 1986), 2(3): 449–452.
"An Integral over a Matrix Space," Econometric Theory (December 1986), 2(3): 446.
"A Non-Normal Limiting Distribution," Econometric Theory (1985) 1(1): 145.
"Yale Examinations and Problem Series in Econometrics," in E. Tower (ed.), Economics Exams, Puzzles and Problems, Dunham: Eno River Press, 1981, pp. 3–27. [Second set of problems published in E. Tower (ed.), Econometrics Reading Lists, Eno River Press, 1985, pp. 103–118.]

PAPERS SUBMITTED FOR PUBLICATION

"An ARMA-prefiltered Estimator of the Long Run Variance with an Application to Unit Root Tests" (with Chin Chin Lee).
"Bootstrapping Spurious Regressions" [CFDP 1330]
"Consistent HAC Estimation and Robust Regression Testing using Sharp Origin Kernels with No Truncation" (with Yixiao Sun and Sainan Jin)
"Discrete Fourier Transforms of Fractional Processes" [CFDP 1243]
"Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach" (with Ling Hu) [CFDP 1365]
"Efficient Detrending in the Presence of Fractionally Integrated Errors" (with Yixiao Sun and Chin Chin Lee).
"Efficient Estimation of Second Moment Parameters in ARCH Models" (with Binbin Guo).
"Efficient Regression in Time Series Partial Linear Models" (with Zhijie Xiao and Binbin Guo) [CFDP 1363]
"The Elusive Empirical Shadow of Growth Convergence" (with Donggyu Sul)
"Exact Local Whittle Estimation of Fractional Integration" (with Katsumi Shimotsu) [CFDP 1367]
"Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra" (with Offer Lieberman) [CFDP 1374]
"Fully Modified Estimation of Fractional Cointegration Models" (with Chang Sik Kim)
"Log Periodogram Regression: The Nonstationary Case" (with Chang Sik Kim)
"Modified Log Periodogram Regression" (with Chang Sik Kim)
"Nonstationary Continuous-Time Processes" (with Federico Bandi)
"Nonstationary Density Estimation and Kernel Autoregression" (with Joon Park) [CFDP 1181]
"Prewhitening Bias in HAC Estimation" (with Donggyu Sul and Chi-Young Choi)
"Regressions for Partially Identified, Cointegrated Simultaneous Equations" (with In Choi) [CFDP 1162]
"A Reinterpretation of the Feldstein–Horioka Regressions from a Nonstationary Panel Viewpoint" (with Hyungsik Moon)
"Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter" (with Offer Lieberman) [CFDP 1308]
"Understanding the Fisher Equation" (with Yixiao Sun)
"Unit Root Log Periodogram Regression" [CFDP 1244]

CREATIVE WRITING (POETRY)

"signposts," Landfall (New Zealand Literary Journal), Vol. 34, No. 2, June 1980, p. 145.
"to ms libra," Landfall, Vol. 34, No. 4, December 1980, p. 341.