Publications 1. "On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood", with Hélène Bonnal and Eric Renault, Journal of Econometrics, Volume 138, Issue 2, June 2007, Pages 461-487. 2. "Efficient GMM with Nearly-Weak Identification" with Eric Renault, The Econometrics Journal, Tenth Anniversary Issue, Volume 12, Issue 1, March 2009, Pages 135-171. 3. "Efficient Inference with Poor Instruments: a General Framework", with Eric Renault, Chapter 2 in Handbook of Empirical Economics and Finance; Editors A. Ullah and D. Giles, December 2010. 4. "Portfolio Selection with Estimation Risk: a Test-based Approach", 2012, Journal of Financial Econometrics , Volume 10, Pages 164-197. 5. "Efficient Minimum Distance Estimation with Multiple Rates of Convergence", with Eric Renault, 2012, Journal of Econometrics, Volume 170, Issue 2, Pages 350-367. 6. "Conditional Moment Models under Semi-Strong Identification", with Pascal Lavergne, 2014, Journal of Econometrics, Volume 182, Issue 1, Pages 59–69. Technical appendix. 7. "On the relevance of weaker instruments", with Eric Renault, 2017 Econometric Reviews, Volume 36, Issue 6-9, Pages 928-945. 8. "Efficient Estimation with Time-Varying Information and the New Keynesian Phillips Curve", with Otilia Boldea, 2018, Journal of Econometrics, Volume 204, Issue 2, Pages 268-300. ** Older version from 2016 titled "Efficient Inference with Time-Varying Information and the NKPC". ** Older version from 2015 with break-point tests. 9. "Pseudo-True SDFs in Conditional Asset Pricing Models" joint with Kevin Proulx and Eric Renault, 2018, Halbert White Jr. Memorial JFEC Invited Lecture, Journal of Financial Econometrics, Pages 1-59. 10. "Testing identification strength" joint with Eric Renault, 2020, Journal of Econometrics, Volume 218, Issue 2, Pages 271-293 - https://doi.org/10.1016/j.jeconom.2020.04.017 11. "Rejoinder: Pseudo-True SDFs in Conditional Asset Pricing Models" joint with Kevin Proulx and Eric Renault, 2020, Journal of Financial Econometrics, Volume 18, Issue 4, Pages 776-790 - https://doi.org/10.1093/jjfinec/nbaa019 12. "Robust Estimation with Exponentially Tilted Hellinger Distance" joint with Prosper Dovonon, 2021, Journal of Econometrics, Volume 224, Issue 2, Pages 330-344 - https://doi.org/10.1016/j.jeconom.2020.03.027 13. "Partially Linear Models with Endogeneity: a conditional moment based approach" joint with Xiaolin Sun, 2022, The Econometrics Journal, Volume 25, Issue 1, Pages 256–275 - https://doi.org/10.1093/ectj/utab025 14. "Identification-robust inference with simulation-based pseudo-matching" joint with Lynda Khalaf, Maral Kichian and Zhenjiang Lin, 2023, Journal of Business & Economic Statistics, Volume 41, Pages 321-338 - https://doi.org/10.1080/07350015.2021.2019046 15. "Identification-robust non-parametric inference in a linear IV model" joint with Pascal Lavergne, Journal of Econometrics, 2023, Volume 235, Pages 1-24 - https://doi.org/10.1016/j.jeconom.2022.01.011 16. "GMM with Nearly-Weak Identification" joint with Eric Renault (Accepted at Econometrics and Statistics) - October 2021 - https://doi.org/10.1016/j.ecosta.2021.10.010 17. "Factor IV Estimation in Conditional Moment Models with an Application to Inflation Dynamics" joint with Xiaolin Sun (Accepted at Journal of Financial Econometrics) - March 2024 Working papers [available
upon request]
18. "Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis" joint with Wenqian Sun (Revise and Resubmit at Journal of Econometrics) 19. "Inference in linear models with structural changes and mixed identification strength" joint with Otilia Boldea and Niccolo Zaccarria [older version - new draft coming up soon!] 20. "Coordinated Testing for Identifi cation Failure and Correct Model Specification" joint with David Frazier and Eric Renault - [draft coming up soon!] Work in progress
"Robust Specification Testing in Structural Models" joint with Pascal Lavergne. "Asset Pricing with a Large Matching Model" "Iterative and Recursive Estimation in Misspeci fied Conditional Moment Models" joint with Eric Renault. "On the Inference on Parameter Ratios with Applications to Weak Identification" "Inference with mixed-frequency data" |