Research

Journal Articles

 

Working Papers

  • “Inference for Impulse Responses under Model Uncertainty”, with Lenard Lieb.
    Abstract     PDF     Code
     
  • “Autoregressive Wild Bootstrap Inference for Nonparametric Trends”, with Marina Friedrich and Jean-Pierre Urbain. GSBE Research Memorandum RM/17/010.
    Abstract     PDF
     
  • “Macroeconomic forecasting using penalized regression methods”, with Etiënne Wijler. GSBE Research Memorandum RM/16/039.
    Abstract     PDF
     
  • “A Multivariate Invariance Principle for Modified Wild Bootstrap Methods with an Application to Unit Root Testing” (2014), with Jean-Pierre Urbain. GSBE Research Memorandum RM/14/008.
    Abstract      PDF     Code
     
  • “Robust Block Bootstrap Panel Predictability Tests” (2013), with Joakim Westerlund. GSBE Research Memorandum RM/13/060.
    Abstract     PDF     Code
     

 

Work in Progress

  • “Bootstrap inference on deterministic trends in the presence of heteroskedastic and possibly integrated errors”, with A. M. Robert Taylor.
    Abstract
     
  • “Bootstrap simultaneous confidence bands for time-varying coefficient models”, with Marina Friedrich.
    Abstract
     
  • “Nonparametric estimation and bootstrap inference on the recent trends in atmospheric ethane (C2H6) above Europe”, with Whitney Bader, Bruno Franco, Marina Friedrich, Bernard Lejeune, Emmanuel Mahieu, Hanno Reuvers and Jean-Pierre Urbain.
    Abstract
     
  • “Nonlinear heterogeneity in cointegrated panels”, with Peter Pedroni and Jean-Pierre Urbain.
    Abstract