Theoretical and Applied Econometrics
EXPERTISE
Econometric Theory
Semiparametric and Nonparametric Estimation
Bootstrap Methods
Functional Data Analysis
Estimation of High-Dimensional Models
Current Projects:
Nonparametric Estimation with Shape Restrictions
Estimation of High-Dimensional Models
Nonparametric Instrumental Variables
Functional Data Analysis
BOOKS
Semiparametric and Nonparametric Methods in Econometrics, Springer-Verlag, 2009.
Semiparametric Methods in Econometrics, Springer-Verlag, 1998.
Air Quality Analysis for Urban Transportation Planning, MIT Press, 1982.
SOME RECENT ARTICLES
“Bootstrap Methods in Econometrics.” Annual Review of Economics, 11, 193-224, 2019.
“Testing Exogeneity in Nonparametric Instrumental Variables Models Identified by Conditional Quantile Restrictions. The Econometrics Journal, forthcoming. (with Jia-Young Michael Fu and Matthias Parey).
“Using Penalized Likelihood to Select Parameters in a Random Coefficients Multinomial Logit Model. Journal of Econometrics, forthcoming. (with Lars Nesheim).
“A Bootstrap Method for Construction of Pointwise and Uniform Confidence Bands for Conditional Quantile Functions.” Statistica Sinica, 28, 2609-2632, 2018 (with A. Krishnamurthy).
“Bias-Corrected Confidence Intervals in a Class of Linear Inverse Problems.” Annals of Economics and Statistics, 128, 203-228, 2017 (with Jean-Pierre Florens and Ingrid Van Keilegom).
“Nonparametric estimation and inference under shape restrictions,” Journal of Econometrics, 201, 108-126, 2017 (with S. Lee).
“Nonparametric Estimation of a Nonseparable Demand Function under the Slutsky Inequality Restriction, Review of Economics and Statistics, 99, 291-304, 2017 (with R. Blundell and M. Parey).
“Variable Selection and Estimation in High-Dimensional Models,”Canadian Journal of Economics 48, 389-407, 2015.
“Identification and Shape Restrictions in Nonparametric Instrumental Variables Estimation,”Journal of Econometrics189, 41-53, 2015 (with J. Freyberger).
“Ill-Posed Inverse Problems in Economics,”Annual Review of Economics,6, 21-51,2014
“Adaptive Nonparametric Instrumental Variables Estimation: Empirical Choice of the Regularization Parameter,”Journal of Econometrics, Journal of Econometrics, 180, 158-173, 2014.
“A Simple Bootstrap Method for Constructing Confidence Bands for Functions,” Annals of Statistics, 41, 1892-1941, 2014 (with P. Hall).
SOFTWARE
Click here to obtain GAUSS and MATLAB programs that implement some of the estimators described in the foregoing papers.
WORKING PAPERS
