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,
Econometrics
and Statistics,
2024, Volume 30, Pages 36-59
- 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,
Journal
of Financial
Econometrics,
2024,
Pages 1-46.
18. "Simulation-based
estimation with many auxiliary statistics
applied to long-run dynamic analysis"
joint with Wenqian Sun, 2024, in
Press and available online
at Journal of
Econometrics - https://doi.org/10.1016/j.jeconom.2024.105814
Working papers
19. "Efficient
two-sample instrumental variable estimators with
change-points and near-weak identification" joint with Otilia Boldea
and Niccolo
Zaccarria - [submitted]
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"
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