Econometrics, HAR inference in time series, Stochastic frontier model
Working papers
[1] “Approximating Long Memory Processes with Low Order Autoregressions: Implications for Modeling Realized Volatility ” (with Richard T. Baillie and Dooyeon Cho) forthcoming, Empirical Economics
[3] [non-econ] “Physical and mental burden among Hispanic caregivers caring for elderly with stroke and multimorbidity” (with Shilpa Krishnan, Tony Chen, and Sarah Caston), R & R, Ethnicity & Disease
Publications
[1] “ Combining Long and Short Memory in Time Series Models: The Role of Asymptotic Correlations of the MLEs ” (with Richard T. Baillie and Dooyeon Cho), forthcoming, Econometrics and Statistics
[3] “Inference in Time Series Models using Smoothed Clustered Standard Errors” (with Timothy J. Vogelsang), Journal of Econometrics, vol. 224, 113-133, 2021, pdf, supplemental appendix, additional results
[4] “Time Variation in the Persistence of Unemployment over the Past Century” (with Dooyeon Cho), Economics Letters, vol. 182, 19-22, 2019
[5] “Long Memory, Realized Volatility and Heterogeneous Autoregressive Models” (with Richard T. Baillie, Fabio Calonaci, and Dooyeon Cho), Journal of Time Series Analysis, vol. 40, 609-628, 2019
[6] “Heteroskedasticity Autocorrelation Robust Inference in Time Series Regressions with Missing Data” (with Timothy J. Vogelsang), Econometric Theory, vol. 35, 601-629, 2019, pdf,supplemental appendix
[7] “Are All Firms Inefficient?” (with Peter J. Schmidt), Journal of Productivity Analysis, vol. 43, 327-349, 2015, pdf