"Tests for parameter instability in regressions with I(1) Processes." Journal of Business and Economic Statistics (1992). [Download].
"Testing for parameter instability in linear models." Journal of Policy Modeling (1992). [Download].
"The likelihood ratio test under non-standard conditions: Testing the Markov switching model of GNP." Journal of Applied Econometrics, (1992 and 1996). [Download].
"Autoregressive conditional density estimation." International Economic Review, (1994). [Download].
"Rethinking the univariate approach to unit root tests: How to use covariates to increase power." Econometric Theory, (1995). [Download].
"Are seasonal patterns constant over time? A test for seasonal stability." with Fabio Canova, Journal of Business and Economic Statistics, (1995). [Download].
"Inference when a nuisance parameter is not identified under the null hypothesis." Econometrica, (1996). [Download].
"Residual-based tests for cointegration in models with regime shifts." with Allan Gregory, Journal of Econometrics, (1996). [Download].
"Approximate asymptotic p-values for structural change tests." Journal of Business and Economic Statistics, (1997). [Download].
"Inference in TAR models." Studies in Nonlinear Dynamics and Econometrics, (1997). [Download].
"Threshold effects in non-dynamic panels: Estimation, testing and inference." Journal of Econometrics, (1999). [Download].
"Testing for Linearity." Journal of Economic Surveys, (1999). [Download].
"The grid bootstrap and the autoregressive model." Review of Economics and Statistics, (1999). [Download].
"Sample splitting and threshold estimation." Econometrica, (2000). [Download].
"Testing for structural change in conditional models." Journal of Econometrics, (2000). [Download].
"Threshold Autoregression with a Unit Root." Econometrica (2001), with Mehmet Caner. [Download].
"The new econometrics of structural change: Dating Changes in U.S. Labor Productivity." Journal of Economic Perspectives (2001). [Download].
"Testing for threshold cointegration," with Byeongseon Seo, Journal of Econometrics (2002). [Download].
"Recounts from Undervotes: Evidence from the 2000 Presidential Election," Journal of the American Statistical Association (2003), 98, 292-298. [Download].
"How responsive are private transfers to income? Evidence from a laissez-faire economy."
with Donald Cox and Emmanuel Jimenez, Journal of Public Economics, (2004), 88, 2193-2219. [Download]."Instrumental Variable Estimation of a Threshold Model," with Mehmet Caner, Econometric Theory, (2004), 20, 813-843.[Download].
"Exact Mean Integrated Squared Error of Higher-Order Kernels." Econometric Theory (2005). [Download].
"Edgeworth expansions for the Wald and GMM statistics for nonlinear restrictions." Econometric Theory and Practice (2006). [Download].
"Interval Forecasts and Parameter Uncertainty." Journal of Econometrics (2006), 135, 377-398. [Download].
"Bandwidth Selection for Nonparametric Distribution Estimation." (5/2004), unpublished working paper. [Download].
"Nonparametric Estimation of Smooth Conditional Distributions." (5/2004), unpublished working paper. [Download].
"Least Squares Model Averaging." Econometrica (2007), 75, 1175-1189 [Download].
"Least Squares Forecast Averaging." (2008), Journal of Econometrics. [Download].
"Averaging Estimators for Autoregressions with a Near Unit Root." (2010), Journal of Econometrics. [Download].
"Jackknife Model Averaging." (2012) Journal of Econometrics [Download].
"Nonparametric Sieve Regression: Least Squares, Averaging Least Squares, and Cross-Validation" (2014) Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics, [Download].
"Model Averaging, Asymptotic Risk, and Regressor Groups" Quantitative Economics (2014) [Download].
"Purchasing Power Parity and the Taylor Rule" (2015) with Kim, Fujiwara, and Masao Ogaki, Journal of Applied Econometrics [Download].
"Asymptotic Moments of Autoregressive Estimates with a Near Unit Root and Minimax Risk" (2014) Advances in Econometrics, [Download].
"Shrinkage Efficiency Bounds" (2015), Econometric Theory, 31, 860-879. [Download].
"Forecasting with Factor-Augmented Regression" (2015) with Xu Cheng, Journal of Econometrics, 186, 280-293. [Download].
"The Risk of James-Stein and Lasso Shrinkage" (2016) Econometric Reviews, [Download].
"Efficient Shrinkage in Parametric Models" (2016) Journal of Econometrics, 190, 115-132. [Download].
"Regression Kink with an Unknown Threshold" (2017) Journal of Business and Economic Statistics. [Download].
"A Stein-like 2SLS Estimator" (2017) Econometric Reviews. [Download].
"Stein Combination Shrinakge for Vector Autoregressions" (2016) [Download].
"Time Series Econometrics for the 21st Century", The Journal of Economic Education (2017) [Download].
"Bootstrap Model Averaging Unit Root Inference", with Jeffrey Racine (2018 ) R Package.
"Inference for Iterated GMM Under Misspecification", with Seojeong Lee (2021) Econometrica, 89, 1417. [Download].
"Criterion-Based Inference without the Information Equality: The Weighted Chi-Square Distribution", (2021) [Download].
"The Exact Distribution of the White t-ratio", (2021) [Download].
"Jackknife Standard Errors for Clustered Regression", (2023) [Download].
"Standard Errors for Two-Way Clustering with Serially Correlated Time Effects", with Harold Chiang and Yuya Sasaki (2023) xtregtwo Stata command.
"Standard Errors for Difference-in-Difference Regression", (2024) [Download].