publication venue for
- Fast inference for quantile regression with tens of millions of observations. 105673-105673. 2024
- Identification of time-varying counterfactual parameters in nonlinear panel models. 105639-105639. 2024
- Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach. 237:105372-105372. 2023
- Time-varying unobserved heterogeneity in earnings shocks. 235:1378-1393. 2023
- Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares. 232:576-597. 2023
- Infinite Markov pooling of predictive distributions. 228:302-321. 2022
- Sparse HP filter: Finding kinks in the COVID-19 contact rate. 220:158-180. 2021
- Nonparametric analysis of a duration model with stochastic unobserved heterogeneity. 217:112-139. 2020
- Nonparametric heteroskedasticity in persistent panel processes: An application to earnings dynamics. 203:283-296. 2018
- Nonparametric conditional quantile estimation: A locally weighted quantile kernel approach. 201:72-94. 2017
- Bayesian semiparametric modeling of realized covariance matrices. 192:19-39. 2016
- A solution to aggregation and an application to multidimensional ‘well-being’ frontiers. 191:374-383. 2016
- Infinite order cross-validated local polynomial regression. 185:510-525. 2015
- Jackknife model averaging. 167:38-46. 2012
- A nonparametric test for equality of distributions with mixed categorical and continuous data. 148:186-200. 2009
- A consistent model specification test with mixed discrete and continuous data. 140:802-826. 2007
- A versatile and robust metric entropy test of time-reversibility, and other hypotheses. 138:547-567. 2007
- Growth and convergence: A profile of distribution dynamics and mobility. 136:483-508. 2007
- Nonparametric estimation of regression functions with both categorical and continuous data. 119:99-130. 2004
- Entropy and predictability of stock market returns. 107:291-312. 2002
- Consistent cross-validatory model-selection for dependent data: hv-block cross-validation. 99:39-61. 2000
- Single-equation estimators and aggregation restrictions when equations have the same sets of regressors. 8:173-179. 1978
- The small sample bias of Durbin's tests for serial correlation. 3:249-254. 1975
- Modeling covariance breakdowns in multivariate GARCH 2016
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 2014
- Bayesian semiparametric multivariate GARCH modeling 2013
- Do high-frequency measures of volatility improve forecasts of return distributions? 2011
- Bayesian semiparametric stochastic volatility modeling 2010