PUBLISHED ARTICLES
(1972–Present) |
| 2008 |
|
"Adaptive
Estimation of Autoregressive Models with Time-Varying Variances" (with Ke-Li Xu),
Journal of Econometrics (2008), 142: 265-280 [CFP 1219] |
|
"Optimal Bandwidth Selection in
Heteroskedasticity-Autocorrelation Robust Testing" (with Yixiao Sun and Sainan
Jin), Econometrica (January 2008), 76(1): 175-194 [CFP 1221] |
|
"Unit Root
Model Selection," Journal of the Japan Statistical Society (2008),
38(1): 65-74 [CFP 1231] |
| 2007 |
|
"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. |
|
"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 |
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. |
|
|
|