Publications: *[1]---Structural Breaks; *[2]---Large VARs; *[3]---(Dynamic) Panel Data Models; *[4]---Model Averaging.
1. Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series, *[1]
with Mohitosh Kejriwal and Pierre Perron, 2020, Journal of Time Series Analysis, 41, 676-690.
Working paper version Relication files, Matlab code
1. Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series, *[1]
with Mohitosh Kejriwal and Pierre Perron, 2020, Journal of Time Series Analysis, 41, 676-690.
Working paper version Relication files, Matlab code
2. Generalised Forecast Averaging in Autoregressions with a Near Unit Root, *[1], [4]
with Mohitosh Kejriwal, 2021, The Econometrics Journal, 24, 83-102.
Working paper version Replication files, Matlab code
with Mohitosh Kejriwal, 2021, The Econometrics Journal, 24, 83-102.
Working paper version Replication files, Matlab code
3. A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models, *[1]
with Mohitosh Kejriwal and Pierre Perron, 2021, forthcoming, Journal of Time Series Analysis.
Working paper version Replication files, Matlab code
with Mohitosh Kejriwal and Pierre Perron, 2021, forthcoming, Journal of Time Series Analysis.
Working paper version Replication files, Matlab code
Working Papers:
4. Indirect Inference Estimation of Dynamic Panel Data Models, *[3]
with Yong Bao, under revision at Journal of Econometrics.
(draft available upon request)
4. Indirect Inference Estimation of Dynamic Panel Data Models, *[3]
with Yong Bao, under revision at Journal of Econometrics.
(draft available upon request)
5. Inference in Mildly Explosive Autoregressions under Unconditional Heteroskedasticity, *[1]
with Mohitosh Kejriwal, November 2021. Job Market Paper.
Working paper version Replication files, Matlab code
with Mohitosh Kejriwal, November 2021. Job Market Paper.
Working paper version Replication files, Matlab code
6. Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility, *[2]
with Joshua Chan, under revision. First draft November 2020, last update March 2021.
Working paper version Replication files, Matlab code
with Joshua Chan, under revision. First draft November 2020, last update March 2021.
Working paper version Replication files, Matlab code
7. Large Order-Invariant Bayesian VARs with Stochastic Volatility, *[2]
with Joshua Chan and Gary Koop, under review. October 2021.
Working paper version Replication files, Matlab code
with Joshua Chan and Gary Koop, under review. October 2021.
Working paper version Replication files, Matlab code
8. Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Model Comparison, *[2]
with Joshua Chan and Eric Eisenstat, draft available upon request.
with Joshua Chan and Eric Eisenstat, draft available upon request.
Working in Progress:
9. Testing for Multiple Bubbles under Nonstationary Volatility, with Mohitosh Kejriwal and Pierre Perron. *[1]
9. Testing for Multiple Bubbles under Nonstationary Volatility, with Mohitosh Kejriwal and Pierre Perron. *[1]
10. Multistep Forecast Averaging with Stochastic and Deterministic Trends, with Mohitosh Kejriwal and Linh Nguyen. *[1], [4]
11. Complete Subset Averaging Methods for Program Evaluation by Panel Data Approach, with Xinyu Zhang. *[3], [4]
12. Comparing Shrinkage Prior Specifications for Large Bayesian VARs by Variational Bayes, with Joshua Chan and Wei Zhang. *[2]
