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Details about Tae Hwy Lee

Homepage:https://faculty.ucr.edu/~taelee/
Workplace:Department of Economics, University of California-Riverside, (more information at EDIRC)

Access statistics for papers by Tae Hwy Lee.

Last updated 2023-10-07. Update your information in the RePEc Author Service.

Short-id: ple784


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Working Papers

2023

  1. Asymmetric AdaBoost for High-dimensional Maximum Score Regression
    Working Papers, University of California at Riverside, Department of Economics Downloads
  2. Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant
    Working Papers, University of California at Riverside, Department of Economics Downloads
  3. Combining Forecasts under Structural Breaks Using Graphical LASSO
    Working Papers, University of California at Riverside, Department of Economics Downloads
    Also in Working Papers, University of California at Riverside, Department of Economics (2022) Downloads View citations (1)
    Papers, arXiv.org (2023) Downloads
  4. Elicitability and Encompassing for Volatility Forecasts by Bregman Functions
    Working Papers, University of California at Riverside, Department of Economics Downloads
  5. Estimation and Testing of Forecast Rationality with Many Moments
    Papers, arXiv.org Downloads
    Also in Working Papers, University of California at Riverside, Department of Economics (2023) Downloads
  6. Inferential Theory for Granular Instrumental Variables in High Dimensions
    Papers, arXiv.org Downloads View citations (1)
    Also in Working Papers, University of California at Riverside, Department of Economics (2022) Downloads
    Working Papers, University of California at Riverside, Department of Economics (2023) Downloads
  7. Optimal Portfolio Using Factor Graphical Lasso
    Papers, arXiv.org Downloads View citations (1)
    Also in Working Papers, University of California at Riverside, Department of Economics (2023) Downloads View citations (1)
    Working Papers, University of California at Riverside, Department of Economics (2020) Downloads View citations (6)

2022

  1. Forecasting under Structural Breaks Using Improved Weighted Estimation
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics Downloads View citations (2)
    Also in Working Papers, University of California at Riverside, Department of Economics (2022) Downloads View citations (2)
  2. Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting
    Working Papers, University of California at Riverside, Department of Economics Downloads
  3. Optimal Forecast under Structural Breaks
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics Downloads View citations (1)
    Also in Working Papers, University of California at Riverside, Department of Economics (2022) Downloads View citations (1)

    See also Journal Article Optimal forecast under structural breaks, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) Downloads View citations (1) (2022)

2021

  1. Density Forecast of Financial Returns Using Decomposition and Maximum Entropy
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Journal Article Density Forecast of Financial Returns Using Decomposition and Maximum Entropy, Journal of Econometric Methods, De Gruyter (2023) Downloads (2023)
  2. Efficient Combined Estimation under Structural Breaks
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics Downloads
    Also in Working Papers, University of California at Riverside, Department of Economics (2021) Downloads

    See also Chapter Efficient Combined Estimation under Structural Breaks, Advances in Econometrics, Emerald Group Publishing Limited (2022) Downloads View citations (1) (2022)
  3. Learning from Forecast Errors: A New Approach to Forecast Combinations
    Papers, arXiv.org Downloads
    Also in Working Papers, University of California at Riverside, Department of Economics (2020) Downloads

2020

  1. Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination
    Working Papers, University of California at Riverside, Department of Economics Downloads
  2. Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference
    Working Papers, University of California at Riverside, Department of Economics Downloads
  3. Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility
    Working Papers, University of California at Riverside, Department of Economics Downloads View citations (1)
    See also Journal Article Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility, Journal of Econometric Methods, De Gruyter (2021) Downloads View citations (1) (2021)
  4. Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection
    Working Papers, University of California at Riverside, Department of Economics Downloads View citations (40)
    See also Journal Article Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection, Journal of Empirical Finance, Elsevier (2020) Downloads View citations (38) (2020)

2019

  1. Boosting
    Working Papers, University of California at Riverside, Department of Economics Downloads
  2. Bootstrap Aggregating and Random Forest
    Working Papers, University of California at Riverside, Department of Economics Downloads

2018

  1. A Combined Random Effect and Fixed Effect Forecast for Panel Data Models
    Working Papers, University of California at Riverside, Department of Economics Downloads
  2. Combined Estimation of Semiparametric Panel Data Models
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Journal Article Combined estimation of semiparametric panel data models, Econometrics and Statistics, Elsevier (2020) Downloads View citations (4) (2020)
  3. Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction
    Working Papers, University of California at Riverside, Department of Economics Downloads
  4. Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function
    Working Papers, University of California at Riverside, Department of Economics Downloads
  5. Forecasting Using Supervised Factor Models
    Working Papers, University of California at Riverside, Department of Economics Downloads
  6. Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Chapter Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects, Advances in Econometrics, Emerald Group Publishing Limited (2019) Downloads (2019)
  7. The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Journal Article The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation, Sankhya B: The Indian Journal of Statistics, Springer (2019) Downloads View citations (1) (2019)
  8. Using the Entire Yield Curve in Forecasting Output and Inflation
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Journal Article Using the Entire Yield Curve in Forecasting Output and Inflation, Econometrics, MDPI (2018) Downloads View citations (10) (2018)
  9. Variable Selection in Sparse Semiparametric Single Index Models
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Chapter Variable Selection in Sparse Semiparametric Single Index Models, Advances in Econometrics, Emerald Group Publishing Limited (2019) Downloads (2019)

2017

  1. A Combined Estimator of Regression Models with Measurement Errors
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Journal Article A combined estimator of regression models with measurement errors, Indian Economic Review, Springer (2017) Downloads (2017)
  2. Time-varying Model Averaging
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Journal Article Time-varying model averaging, Journal of Econometrics, Elsevier (2021) Downloads View citations (9) (2021)

2015

  1. Finding SPF Percentiles Closest to Greenbook
    Working Papers, University of California at Riverside, Department of Economics Downloads

2014

  1. Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters
    Working Papers, University of California at Riverside, Department of Economics Downloads View citations (20)
    See also Journal Article Asymmetric loss in the Greenbook and the Survey of Professional Forecasters, International Journal of Forecasting, Elsevier (2014) Downloads View citations (19) (2014)
  2. Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Journal Article Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) Downloads View citations (6) (2015)
  3. Forecasting Realized Volatility Using Subsample Averaging
    Working Papers, University of California at Riverside, Department of Economics Downloads
  4. Forecasting Value-at-Risk Using High Frequency Information
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Journal Article Forecasting Value-at-Risk Using High-Frequency Information, Econometrics, MDPI (2013) Downloads View citations (9) (2013)
  5. Granger-Causality in Quantiles between Financial Markets: Using Copula Approach
    Working Papers, University of California at Riverside, Department of Economics Downloads View citations (33)
    See also Journal Article Granger-causality in quantiles between financial markets: Using copula approach, International Review of Financial Analysis, Elsevier (2014) Downloads View citations (32) (2014)
  6. Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting
    Working Papers, University of California at Riverside, Department of Economics Downloads View citations (8)
    See also Journal Article Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting, Journal of Econometrics, Elsevier (2014) Downloads View citations (7) (2014)
  7. Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Journal Article Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations, Journal of Time Series Econometrics, De Gruyter (2013) Downloads (2013)

2013

  1. Bagging Constrained Equity Premium Predictors
    Working Papers, University of California at Riverside, Department of Economics Downloads View citations (3)

2012

  1. Let's Do It Again: Bagging Equity Premium Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2012) Downloads
  2. Money-Income Granger-Causality in Quantiles
    Working Papers, University of California at Riverside, Department of Economics Downloads View citations (17)
    See also Chapter Money–Income Granger-Causality in Quantiles, Advances in Econometrics, Emerald Group Publishing Limited (2012) Downloads View citations (2) (2012)
  3. Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Chapter Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors, Advances in Econometrics, Emerald Group Publishing Limited (2012) Downloads (2012)
  4. Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks
    Working Papers, University of California at Riverside, Department of Economics Downloads

2011

  1. Using the Yield Curve in Forecasting Output Growth and In?flation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)

2009

  1. To Combine Forecasts or to Combine Information?
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Journal Article To Combine Forecasts or to Combine Information?, Econometric Reviews, Taylor & Francis Journals (2010) Downloads View citations (57) (2010)

2008

  1. Nonlinear Time Series in Financial Forecasting
    Working Papers, University of California at Riverside, Department of Economics Downloads View citations (1)

2007

  1. Permanent and transitory components of GDP and stock prices: further analysis
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    See also Journal Article Permanent and transitory components of GDP and stock prices: further analysis, Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals (2008) Downloads View citations (2) (2008)

2004

  1. Bagging Binary Predictors for Time Series
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads View citations (2)
  2. Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions
    Econometric Society 2004 North American Winter Meetings, Econometric Society
  3. Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads

2000

  1. Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models
    Working papers, Centre for Development Economics, Delhi School of Economics Downloads View citations (5)

1996

  1. On the robustness of cointegration tests when series are fractionally integrated
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    Also in The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside (1995) View citations (1)

    See also Journal Article On the robustness of cointegration tests when series are fractionally intergrated, Journal of Applied Statistics, Taylor & Francis Journals (2000) Downloads View citations (10) (2000)

1995

  1. No lack of relative power of the Dickey-Fuller tests for unit roots
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Pitfalls in Testing for Long Run Relationships
    Working Papers, Boston University - Department of Economics View citations (20)
    See also Journal Article Pitfalls in testing for long run relationships, Journal of Econometrics, Elsevier (1998) Downloads View citations (131) (1998)
  3. Relative Power of t Type Tests of Stationary and Unit Root Processes
    Working Papers, Boston University - Department of Economics View citations (1)
    See also Journal Article RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES, Journal of Time Series Analysis, Wiley Blackwell (1996) Downloads View citations (9) (1996)

Journal Articles

2023

  1. Density Forecast of Financial Returns Using Decomposition and Maximum Entropy
    Journal of Econometric Methods, 2023, 12, (1), 57-83 Downloads
    See also Working Paper Density Forecast of Financial Returns Using Decomposition and Maximum Entropy, Working Papers (2021) Downloads (2021)

2022

  1. Optimal forecast under structural breaks
    Journal of Applied Econometrics, 2022, 37, (5), 965-987 Downloads View citations (1)
    See also Working Paper Optimal Forecast under Structural Breaks, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS (2022) Downloads View citations (1) (2022)

2021

  1. Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility
    Journal of Econometric Methods, 2021, 10, (1), 1-19 Downloads View citations (1)
    See also Working Paper Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility, Working Papers (2020) Downloads View citations (1) (2020)
  2. Time-varying model averaging
    Journal of Econometrics, 2021, 222, (2), 974-992 Downloads View citations (9)
    See also Working Paper Time-varying Model Averaging, Working Papers (2017) Downloads (2017)

2020

  1. Combined estimation of semiparametric panel data models
    Econometrics and Statistics, 2020, 15, (C), 30-45 Downloads View citations (4)
    See also Working Paper Combined Estimation of Semiparametric Panel Data Models, Working Papers (2018) Downloads (2018)
  2. Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection
    Journal of Empirical Finance, 2020, 58, (C), 36-49 Downloads View citations (38)
    See also Working Paper Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection, Working Papers (2020) Downloads View citations (40) (2020)

2019

  1. Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function
    Journal of Quantitative Economics, 2019, 17, (2), 345-360 Downloads
  2. The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation
    Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 201-233 Downloads View citations (1)
    See also Working Paper The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation, Working Papers (2018) Downloads (2018)

2018

  1. The second-order bias of quantile estimators
    Economics Letters, 2018, 173, (C), 143-147 Downloads View citations (3)
  2. Using the Entire Yield Curve in Forecasting Output and Inflation
    Econometrics, 2018, 6, (3), 1-27 Downloads View citations (10)
    See also Working Paper Using the Entire Yield Curve in Forecasting Output and Inflation, Working Papers (2018) Downloads (2018)

2017

  1. A combined estimator of regression models with measurement errors
    Indian Economic Review, 2017, 52, (1), 73-91 Downloads
    See also Working Paper A Combined Estimator of Regression Models with Measurement Errors, Working Papers (2017) Downloads (2017)

2015

  1. Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints
    Journal of Business & Economic Statistics, 2015, 33, (3), 393-402 Downloads View citations (6)
    See also Working Paper Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints, Working Papers (2014) Downloads (2014)

2014

  1. Asymmetric loss in the Greenbook and the Survey of Professional Forecasters
    International Journal of Forecasting, 2014, 30, (2), 235-245 Downloads View citations (19)
    See also Working Paper Asymmetric Loss in the Greenbook and the Survey of Professional Forecasters, Working Papers (2014) Downloads View citations (20) (2014)
  2. Granger-causality in quantiles between financial markets: Using copula approach
    International Review of Financial Analysis, 2014, 33, (C), 70-78 Downloads View citations (32)
    See also Working Paper Granger-Causality in Quantiles between Financial Markets: Using Copula Approach, Working Papers (2014) Downloads View citations (33) (2014)
  3. Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting
    Journal of Econometrics, 2014, 182, (1), 196-210 Downloads View citations (7)
    See also Working Paper Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting, Working Papers (2014) Downloads View citations (8) (2014)

2013

  1. Forecasting Value-at-Risk Using High-Frequency Information
    Econometrics, 2013, 1, (1), 1-14 Downloads View citations (9)
    See also Working Paper Forecasting Value-at-Risk Using High Frequency Information, Working Papers (2014) Downloads (2014)
  2. Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations
    Journal of Time Series Econometrics, 2013, 5, (1), 61-68 Downloads
    See also Working Paper Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations, Working Papers (2014) Downloads (2014)

2010

  1. To Combine Forecasts or to Combine Information?
    Econometric Reviews, 2010, 29, (5-6), 534-570 Downloads View citations (57)
    See also Working Paper To Combine Forecasts or to Combine Information?, Working Papers (2009) Downloads (2009)

2009

  1. Copula-based multivariate GARCH model with uncorrelated dependent errors
    Journal of Econometrics, 2009, 150, (2), 207-218 Downloads View citations (73)

2008

  1. Jumps in cross-sectional rank and expected returns: a mixture model
    Journal of Applied Econometrics, 2008, 23, (5), 585-606 Downloads View citations (4)
  2. Permanent and transitory components of GDP and stock prices: further analysis
    Macroeconomics and Finance in Emerging Market Economies, 2008, 1, (1), 105-120 Downloads View citations (2)
    See also Working Paper Permanent and transitory components of GDP and stock prices: further analysis, UC3M Working papers. Economics (2007) Downloads (2007)

2007

  1. Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003; see Bao et al. (2004)
    Journal of Forecasting, 2007, 26, (3), 203-225 Downloads View citations (21)
  2. Optimality of the RiskMetrics VaR model
    Finance Research Letters, 2007, 4, (3), 137-145 Downloads View citations (4)

2006

  1. Bagging binary and quantile predictors for time series
    Journal of Econometrics, 2006, 135, (1-2), 465-497 Downloads View citations (32)
  2. Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
    Journal of Forecasting, 2006, 25, (2), 101-128 Downloads View citations (95)

2004

  1. ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models
    The Review of Economics and Statistics, 2004, 86, (3), 840-840 Downloads
  2. Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
    International Journal of Forecasting, 2004, 20, (4), 629-645 Downloads View citations (109)

2003

  1. DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
    Econometric Theory, 2003, 19, (6), 1065-1121 Downloads View citations (31)
  2. Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models
    The Review of Economics and Statistics, 2003, 85, (4), 1048-1062 Downloads View citations (86)

2002

  1. Assessing the risk forecasts for Japanese stock market
    Japan and the World Economy, 2002, 14, (1), 63-85 Downloads View citations (3)

2001

  1. Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models
    Studies in Nonlinear Dynamics & Econometrics, 2001, 4, (4), 1-15 Downloads View citations (7)

2000

  1. On the robustness of cointegration tests when series are fractionally intergrated
    Journal of Applied Statistics, 2000, 27, (7), 821-827 Downloads View citations (10)
    See also Working Paper On the robustness of cointegration tests when series are fractionally integrated, DES - Working Papers. Statistics and Econometrics. WS (1996) Downloads (1996)

1999

  1. The effect of aggregation on nonlinearity
    Econometric Reviews, 1999, 18, (3), 259-269 Downloads View citations (22)

1998

  1. Pitfalls in testing for long run relationships
    Journal of Econometrics, 1998, 86, (1), 129-154 Downloads View citations (131)
    See also Working Paper Pitfalls in Testing for Long Run Relationships, Working Papers (1995) View citations (20) (1995)

1996

  1. Cointegration tests with conditional heteroskedasticity
    Journal of Econometrics, 1996, 73, (2), 401-410 Downloads View citations (81)
  2. RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
    Journal of Time Series Analysis, 1996, 17, (1), 37-47 Downloads View citations (9)
    See also Working Paper Relative Power of t Type Tests of Stationary and Unit Root Processes, Working Papers (1995) View citations (1) (1995)
  3. Stock Adjustment for Multicointegrated Series
    Empirical Economics, 1996, 21, (4), 633-39 View citations (10)
  4. The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis
    Journal of International Money and Finance, 1996, 15, (3), 447-465 Downloads View citations (25)

1995

  1. Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence
    Economics Letters, 1995, 49, (2), 157-161 Downloads

1994

  1. Spread and volatility in spot and forward exchange rates
    Journal of International Money and Finance, 1994, 13, (3), 375-383 Downloads View citations (35)
  2. Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors
    Canadian Journal of Economics, 1994, 27, (1), 129-42 Downloads View citations (5)

1993

  1. Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests
    Journal of Econometrics, 1993, 56, (3), 269-290 Downloads View citations (226)

1992

  1. On the Predictive Power of the Spread Between Spot and Forward Exchange Rates for Volatility
    Korean Economic Review, 1992, 8, 99-115 Downloads
  2. Stock-Flow Relationships in U.S. Housing Construction
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 419-30 View citations (17)

1989

  1. Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models
    Journal of Applied Econometrics, 1989, 4, (S), S145-59 Downloads View citations (302)

Chapters

2022

  1. Efficient Combined Estimation under Structural Breaks
    A chapter in Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, 2022, vol. 43A, pp 119-142 Downloads View citations (1)
    See also Working Paper Efficient Combined Estimation under Structural Breaks, University of Kansas, Department of Economics (2021) Downloads (2021)

2019

  1. Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects
    A chapter in Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, 2019, vol. 40A, pp 249-274 Downloads
    See also Working Paper Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects, University of California at Riverside, Department of Economics (2018) Downloads (2018)
  2. Variable Selection in Sparse Semiparametric Single Index Models
    A chapter in Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part B, 2019, vol. 40B, pp 65-88 Downloads
    See also Working Paper Variable Selection in Sparse Semiparametric Single Index Models, University of California at Riverside, Department of Economics (2018) Downloads (2018)

2012

  1. Money–Income Granger-Causality in Quantiles
    A chapter in 30th Anniversary Edition, 2012, pp 385-409 Downloads View citations (2)
    See also Working Paper Money-Income Granger-Causality in Quantiles, University of California at Riverside, Department of Economics (2012) Downloads View citations (17) (2012)
  2. Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors
    A chapter in 30th Anniversary Edition, 2012, pp 171-196 Downloads
    See also Working Paper Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (6) (2012)

2008

  1. Chapter 13 Bagging Binary and Quantile Predictors for Time Series: Further Issues
    A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 477-534 Downloads

2006

  1. Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison
    A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 41-62 Downloads
 
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