Working Papers

• Local Projection Based Inference under General Conditions. [Supplement]

• Standard Errors for Predictive Regression with Overlapping Observations.

• A New Test for Multiple Predictive Regression (with Junjie Guo).

• • <MATLAB codes for replication and empirical implementation>

• On the Serial Correlation in Multi-Horizon Predictive Quantile Regression.

• Testing for Return Predictability with Co-moving Predictors of Unknown Form. 

• • <MATLAB codes>

• Estimation and Inference under Weak Identification and Persistence in Dynamic Nonlinear Regression (with Jui-Chung Yang).

Publications

• [21] Testing for Multiple-Horizon Predictability: Direct Regression Based versus Implication Based. 

Review of Financial Studies, 33 (Issue 9, September 2020), 4403-4443.

• • <Preprint> <Online Appendix> <MATLAB codes (updated Jan 20, 2020)> <Older version (Nov 2018)>

• [20] Inference for Local Regression in the Presence of Nuisance Parameters. 

Journal of Econometrics, 218 (Issue 2, October 2020), 532-560. <Preprint>

• • <MATLAB codes>

• [19] A Semi-Nonparametric Estimator of Regression Discontinuity Design with Discrete Duration Outcomes. 

Journal of Econometrics, 206 (Issue 1, September 2018, 258-278). 

• • <MATLAB codes for empirical implementation> <On-line Supplement> <Preprint>

• [18] Regression Discontinuity with Categorical Outcomes. 

Journal of Econometrics, 201 (Issue 1, November 2017), 1-18. 

• • <MATLAB codes> <R Package> <Stata codes> <Preprint>

• [17] Model-Free Inference for Financial Risk Measures. 

Econometric Theory, 32, (Issue 1, 2016), 122–153. <Preprint>

• [16] Multivariate Trend Function Testing with Mixed Stationary and Integrated Disturbances. 

Journal of Multivariate Analysis, 147, (May 2016),  38–57. <Preprint> <Data and MATLAB codes>

• [15] Testing for Structural Change under Nonstationary Variances. 

Econometrics Journal, 18, (Issue 2, 2015) 274-305. <Preprint> <Data file>

• [14] Empirical Likelihood for Regression Discontinuity Design (with Taisuke Otsu and Yukitoshi Matsushita). 

Journal of Econometrics, 186 (Issue 1, 2015), 94-112. <Preprint>

• [13] Towards Efficient Trend Estimation under Weak/Strong Correlation and Nonstationary Volatility (with Jui-Chung Yang).

Scandinavian Journal of Statistics, 42 (Issue 1, 2015), 63-86.

• [12] Power Monotonicity in Detecting Volatility Levels Change. 

Economics Letters, 121 (Issue 1, October 2013), 64-69.

• [11] Estimation and Inference of Discontinuity in Density (with Taisuke Otsu and Yukitoshi Matsushita). 

Journal of Business and Economic Statistics, 31, (Issue 4, 2013), 507-524. <Preprint>

• [10] Powerful Tests of Structural Changes in Volatility. 

Journal of Econometrics, 173 (Issue 1, March 2013), 126-142. <Data and MATLAB codes>

• [9] Nonparametric Inference for Conditional Quantiles of Time Series. 

Econometric Theory, 29 (Issue 4, August 2013), pp 673-698.

• [8] Robustifying Multivariate Trend Tests to Nonstationary Volatility. 

Journal of Econometrics, 169 (Issue 2, August 2012), 147-154.

• [7] Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications (with Peter Phillips). 

Journal of Business and Economic Statistics, 29 (Issue 4, October 2011), 518-528.

• [6] Re-weighted Functional Estimation of Diffusion Models. 

Econometric Theory, 26 (Issue 02, April 2010), 541-563.

• [5] Empirical Likelihood-Based Inference for Nonparametric Recurrent Diffusions. 

Journal of Econometrics, 153 (Issue 01, November 2009), 65-82.

• [4] Adaptive Estimation of Autoregressive Models with Time-Varying Variances (with Peter Phillips). 

Journal of Econometrics, 142 (Issue 01, January 2008), 265-280.

• [3] Testing Against Nonstationary Volatility in Time Series. 

Economics Letters, 101 (Issue 03, December 2008), 288-292.

• [2] Bootstrapping Autoregression under Nonstationary Volatility. 

Econometrics Journal, 11 (Issue 01, March 2008), 1-26.

• [1] Inference in Autoregression under Heteroskedasticity (with Peter Phillips). 

Journal of Time Series Analysis, 27 (Issue 02, March 2006), 289-308.

Claim: The PDF files and program codes posted here are only for academic and non-commercial use.