Work in Progress

Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models
joint with Y. Zhu.
Journal of Econometrics (2020), 218 (2), 561-586.

Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts
joint with J. Caunedo, R. DiCecio, and M. Owyang.
Journal of Money, Credit and Banking (2020), 52 (1), 205-228.

Simulated Minimum Distance Estimation of Dynamic Models with Errors-in-Variables
joint with N. Gospodinov and S. Ng
Journal of Econometrics (2017), 200, 181-193.

Existence and Characterization of Conditional Density Projections
joint with G. Ragusa
Econometric Theory (2016), 32, 947-987.

Identification and Estimation of Nonparametric Transformation Models
joint with P-A. Chiappori and D. Kristensen.
Journal of Econometrics (2015), 188 (1), 22-39.

Measurement Errors in Dynamic Models
joint with S. Ng
Econometric Theory (2014), 30, 150-175.

A Test for Monotone Comparative Statics
joint with F. Ecehnique
In Structural Econometric Models (Advances in Econometrics, Volume 31), Edited by Choo, E. and M. Shum (2013), 183 – 232.

Quantile Prediction
Handook of Forecasting (2013), Vol. 2 , Ch. 17, 961 - 994, Elsevier [PDF]

Multivariate Forecast Evaluation and Rationality Testing
joint with M. Owyang.
The Review of Economics and Statistics, 94 (4), November 2012, 1066-1080.

Global Identification in Nonlinear Models with Moment Restrictions
Econometric Theory, 28 (4), (August 2012), 719-729.

What Goods Do Countries Trade? A Quantitative Exploration of Ricardo's Ideas
joint with A. Costinot and D. Donaldson.
The Review of Economic Studies, 79 (2), April 2012, 581-608.

Learning from a Piece of Pie
joint with P-A. Chiappori and O. Donni
The Review of Economic Studies, 79 (1), January 2012, 162-195.

Dynamic Identification of DSGE Models
joint with S. Ng
Econometrica, Vol. 79, No. 6 (November, 2011), 1995-2032
[PDF: Main Paper and PDF: Supplementary Material]
[Matlab Code: Main Paper and Matlab Code: Supplementary Material]

Semiparametric Estimation of Nonseparable Models: A Minimum Distance from Independence Approach
joint with A. Santos
The Econometrics Journal, Vol. 13 (2010), S28-S55.

Efficient Estimation in Dynamic Conditional Quantile Models
joint with Q. Vuong.
Journal of Econometrics, Vol.157, No. 2 (August 2010), 272-285.

Semiparametric Efficiency Bound in Time-Series Models for Conditional Quantiles
joint with Q. Vuong.
Econometric Theory, Vol. 26, Issue 2 (April 2010), 383-405.

Global Identification of the Semiparametric Box-Cox Model
Economics Letters, Vol. 104, No. 2 (August 2009), 53-56.

Testing Models with Multiple Equilibria by Quantile Methods
joint with F. Echenique.
Econometrica, Vol. 77, No. 4 (July 2009), 1281-1297.

Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
joint with G. Elliott and A. Timmermann.
Journal of the European Economic Association, Vol. 6, No. 1 (March 2008), 122-157.

Asymmetric Power Distribution: Theory and Applications to Risk Measurement
Journal of Applied Econometrics, Vol. 22, No. 5 (August 2007), 891-921.

Estimation and Testing of Forecast Rationality under Flexible Loss
joint with G. Elliott and A. Timmermann.
The Review of Economic Studies, Vol. 72, No. 4 (October 2005), 1107-1125.

Evaluation and Combination of Conditional Quantile Forecasts
joint with R.Giacomini.
Journal of Business and Economic Statistics, Vol. 23, No. 4 (October 2005), 416-431.

Quasi-Maximum Likelihood Estimation for Conditional Quantiles
Journal of Econometrics, Vol. 128, No. 1 (September 2005), 137-164.

Efficient Conditional Quantile Estimation: The Time Series Case
joint with Q. Vuong.
UCSD Working Paper Series 2006-10, October 2006
[PDF]

Consistent Estimation for Aggregated GARCH Processes
UCSD Working Paper Series 2001-08, May 2001.
[PDF]