Details about Aman Ullah

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Workplace:	Department of Economics, University of California-Riverside, (more information at EDIRC)

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Working Papers

2022

1. Forecasting under Structural Breaks Using Improved Weighted Estimation
   WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics
   Also in Working Papers, University of California at Riverside, Department of Economics (2022)
2. Machine Learning Based Semiparametric Time Series Conditional Variance: Estimation and Forecasting
   Working Papers, University of California at Riverside, Department of Economics
   See also Journal Article in JRFM (2022)
3. Nonlinear Modal Regression for Dependent Data with Application for Predicting COVID-19
   Working Papers, University of California at Riverside, Department of Economics View citations (1)
   See also Journal Article in Journal of the Royal Statistical Society Series A (2022)
4. Optimal Forecast under Structural Breaks
   WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics
   Also in Working Papers, University of California at Riverside, Department of Economics (2022)
   See also Journal Article in Journal of Applied Econometrics (2022)
5. Semiparametric Partially Linear Varying Coefficient Modal Regression
   Working Papers, University of California at Riverside, Department of Economics View citations (1)
6. Weighted Average Estimation in Panel Data
   Working Papers, University of California at Riverside, Department of Economics

2021

7. Analytical Finite Sample Econometrics-from A.L.Nagar to Now
   Working Papers, University of California at Riverside, Department of Economics View citations (1)
   See also Journal Article in Journal of Quantitative Economics (2021)
8. Efficient Combined Estimation under Structural Breaks
   WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics
   Also in Working Papers, University of California at Riverside, Department of Economics (2021)

2020

9. Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination
   Working Papers, University of California at Riverside, Department of Economics
   See also Journal Article in Econometric Reviews (2021)
10. Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference
    Working Papers, University of California at Riverside, Department of Economics
11. Improved Average Estimation in Seemingly Unrelated Regressions
    Working Papers, University of California at Riverside, Department of Economics View citations (2)
    See also Journal Article in Econometrics (2020)
12. Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility
    Working Papers, University of California at Riverside, Department of Economics
    See also Journal Article in Journal of Econometric Methods (2021)
13. Modal Regression for Fixed Effects Panel Data
    Working Papers, University of California at Riverside, Department of Economics View citations (1)
    See also Journal Article in Empirical Economics (2021)
14. On the Exact Statistical Distribution of Econometric Estimators and Test Statistics
    Working Papers, University of California at Riverside, Department of Economics
15. THE ET INTERVIEW: ESFANDIAR (ESSIE) MAASOUMI
    Working Papers, University of California at Riverside, Department of Economics

2019

16. Boosting
    Working Papers, University of California at Riverside, Department of Economics
17. Bootstrap Aggregating and Random Forest
    Working Papers, University of California at Riverside, Department of Economics
18. Information Theoretic Estimation of Econometric Functions
    Working Papers, University of California at Riverside, Department of Economics View citations (1)
19. Information-Theoretic Approach for Forecasting Interval-Valued SP500 Daily Returns
    Working Papers, University of California at Riverside, Department of Economics
20. Nonparametric Estimation of Marginal Effects in Regression-spline Random Effects Models
    Working Papers, University of California at Riverside, Department of Economics
    See also Journal Article in Econometric Reviews (2020)
21. Semiparametric Estimation of Correlated Random Coefficient Models without Instrumental Variables
    Papers, arXiv.org View citations (1)

2018

22. A Class of Model Averaging Estimators
    Working Paper series, Rimini Centre for Economic Analysis View citations (3)
23. A Combined Random Effect and Fixed Effect Forecast for Panel Data Models
    Working Papers, University of California at Riverside, Department of Economics
24. Combined Estimation of Semiparametric Panel Data Models
    Working Papers, University of California at Riverside, Department of Economics
25. Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction
    Working Papers, University of California at Riverside, Department of Economics
26. Nonparametric Estimation of the Marginal Effect in Fixed-Effect Panel Data Models
    Working Papers, University of California at Riverside, Department of Economics View citations (8)
27. Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects
    Working Papers, University of California at Riverside, Department of Economics
    See also Chapter (2019)
28. The Second-order Asymptotic Properties of Asymmetric Least Squares Estimation
    Working Papers, University of California at Riverside, Department of Economics
    See also Journal Article in Sankhya B: The Indian Journal of Statistics (2019)
29. Variable Selection in Sparse Semiparametric Single Index Models
    Working Papers, University of California at Riverside, Department of Economics
    See also Chapter (2019)

2017

30. A Combined Estimator of Regression Models with Measurement Errors
    Working Papers, University of California at Riverside, Department of Economics
    See also Journal Article in Indian Economic Review (2017)

2015

31. Grouped Model Averaging for Finite Sample Size
    Working Papers, University of California at Riverside, Department of Economics
32. Nonparametric Regression-Spline Random Effects Models
    Department of Economics Working Papers, McMaster University View citations (3)

2014

33. A Semiparametric Conditional Duration Model
    Working Papers, University of California at Riverside, Department of Economics
    See also Journal Article in Economics Letters (2014)
34. A Semiparametric Generalized Ridge Estimator and Link with Model Averaging
    Working Papers, University of California at Riverside, Department of Economics
    See also Journal Article in Econometric Reviews (2017)
35. Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process
    Working Papers, University of California at Riverside, Department of Economics
36. Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
    Working Papers, University of California at Riverside, Department of Economics
    See also Journal Article in Journal of Business & Economic Statistics (2015)
37. Moment Approximation for Unit Root Models with Nonnormal Errors
    Working Papers, University of California at Riverside, Department of Economics View citations (2)
38. Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting
    Working Papers, University of California at Riverside, Department of Economics View citations (7)

2013

39. Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes
    Working Papers, Singapore Management University, School of Economics View citations (2)

2009

40. Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model Variables with Econometric Applications
    Working Papers, University of California at Riverside, Department of Economics View citations (2)
41. Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications
    Working Papers, University of California at Riverside, Department of Economics
42. Functional Coefficient Estimation with Both Categorical and Continuous Data
    Working Papers, University of California at Riverside, Department of Economics View citations (1)

2006

43. A Bias-Adjusted LM Test of Error Cross Section Independence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
    See also Journal Article in Econometrics Journal (2008)
44. A Remark on the Asymptotic Distribution of the OLS Estimator for a Purely Autoregressive Spatial Model
    MPRA Paper, University Library of Munich, Germany View citations (1)

2000

45. Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models
    Working papers, Centre for Development Economics, Delhi School of Economics View citations (5)
46. Semiparametric Panel Data Estimation: An Application to Immigrants Homelink Effect on U.S. Producer Trade Flows
    Working papers, Centre for Development Economics, Delhi School of Economics View citations (1)

1999

47. VAR_BASED ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL AND LINKS BETWEEN WHOLESALE AND RETAIL INVENTORIES
    Departmental Working Papers, McGill University, Department of Economics

1996

48. Estimation of moments and production decisions under uncertainty
    Working Papers, York University, Department of Economics
    See also Journal Article in The Review of Economics and Statistics (1997)

1992

49. "Chinese Earnings-Age Profile: A Nonparametric Analysis
    The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside View citations (2)
50. General Nonparametric Regression Estimation and Testing in Econometrics
    The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside View citations (3)
51. Performance Properties of Classical in Inverse Calibration Estimators
    The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside

1991

52. Confidence Sets Centered at James-Stein Estimators--A Surprise Concerning the Unknown Variance Case
    The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside
    Also in University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics (1989)
    See also Journal Article in Journal of Econometrics (1994)
53. Higher Order Moments of Econometric Estimators and test Statistics Under Non-Normality: A unified Approach
    The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside
54. RAO's Score Test in Econometrics
    Discussion Paper, Tilburg University, Center for Economic Research
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1991)
    Working Papers, Tilburg - Center for Economic Research (1991) View citations (2)
55. The Exact Density of Nonparametric Regression Estimators: Fixed Design Case
    The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside

1990

56. On the Estimation of Residual Variance in Nonparametric Regression
    The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside View citations (1)
57. On the Inverse Moments of Non-Central Wishart Matrix
    The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside

1989

58. ASYMPTOTIC EXPANSIONS AND CURVATURE MEASURES IN A NONLINEAR REGRESSION MODEL
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
59. NONPARAMETRIC ESTIMATION OF P-TH DERIVATIVE OF A REGRESSION FUNCTION: STOCHASTIC CASE
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
60. Resource Discoveries and "Excessive" External Borrowing
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1986

61. The Econometric Analysis of Risk Terms
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

1984

62. A Rehabilitation of Absolute Advantage
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
63. Estimation and Testing in a Regression Model with Spherically Symmetric Errors
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
    See also Journal Article in Economics Letters (1985)
64. Nonparametric Time Series Estimation of Joint DGP, Conditional DGP and Vector Autoregression
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
    See also Journal Article in Econometric Theory (1985)
65. Tariff Policy and Equilibrium Growth in the World Economy
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1983

66. Concurrent Renting and Selling in a Durable-Goods Monopoly Under Threat of Entry
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
67. On the Robustness of LM, LR and W Tests in Regression Models
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
    See also Journal Article in Econometrica (1984)
68. Properties of shrinkageestimators in linear regression when disturbances are not normal
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
    Also in University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics (1982)
    See also Journal Article in Journal of Econometrics (1983)
69. Sampling Distribution of Shrinkage Estimators and Their F-Ratios in the Regression Model
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
    See also Journal Article in Journal of Econometrics (1984)
70. The "Buffer Stock" Notion in Monetary Economics
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1982

71. Analysis of a Monopoly
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
72. Asymptotic Expansion of the Distribution of Stein-Rule Estimators when Disturbances Are Small
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
73. Efficiency of Estimators in Regression Model with AR(1) Errors
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
74. Intergenerational Transfers, Redistribution, and Inequality
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
75. On the Global Univalence of Piecewise Differentiable Mappings
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1981

76. Lindley and Smith Type Improved Estimators of Regression Coefficients
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1980

77. The Effects of Alternative Urban Transit Subsidy Formulas
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
78. The Finite Sample Properties of OLS and IV Estimators in Special Rational Distributed Lag Models
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1979

79. An Empirical Test of the Risk Aversion Hypothesis
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
    See also Journal Article in Pakistan Journal of Applied Economics (1984)
80. World Demand and Transportation Costs: Determinants of Prices and Output of Wheat in Exporting and Importing Regions, 1850-1913
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1978

81. A FAMILY OF IMPROVED ORDINARY RIDGE ESTIMATORS
    Econometric Institute Archives, Erasmus University Rotterdam
82. A Polynomial Distributed Lag Model with Stochastic Coefficients
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
83. A Theory of Property Rights and Crime
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
84. An Analysis of the Demand and Supply of Shiftworkers
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
85. Evaluation of the Mean Squared Error of Certain Generalized Ridge Estimators
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics View citations (19)
86. Generalized Two Stage Least Squares Estimators for a Structural Equation with Both Fixed and Random Coefficients
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
    See also Journal Article in International Economic Review (1980)
87. Italy and the Cost-Push Hypothesis: A Critique of Ward and Zis, Laidler and Hibbs
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1976

88. Added- and Discouraged-Worker Effects in Canada, 1953-1974
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
89. Double k-Class Estimators of Coefficients in Linear Regression
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
    See also Journal Article in Econometrica (1978)
90. Expectations and the Behavior of Prices and Output under Fixed and Flexible Exchange Rates
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics View citations (1)
91. Industrial Structure of Micro-Economies and the Distribution of Earnings
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
92. On the Estimation of Regression Coefficients and Residual Variance in Linear Regression Model Using Stein's Estimator
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
93. On the Sampling Distribution of the Two-Stage Least Squares Estimator of the Coefficients of Explanatory Values
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
94. Optimal Foreign Exchange Market Intervention
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
95. The Finite Sample Properties of OLS and IV Estimators in Regression Models with a Lagged Dependent Variable
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1975

96. On the Estimation of the Cobb-Douglas Production Function under Uncertainty
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics View citations (1)
97. Rural-Urban Migration and Second-Best Policy Intervention in LDCs
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
98. Stochastic Demand and the Theory of Price Discrimination
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
99. The Bias and Mean Squared Error of Forecasts from Partially Restricted Reduced Form
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

1972

100. Exact Moments of the Two-Stage Least-Squares Estimator and Their Approximations
     University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
101. Measurement of Structural Change: An Application of Random Coefficient Regression Model
     University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics

Journal Articles

2022

1. Machine-Learning-Based Semiparametric Time Series Conditional Variance: Estimation and Forecasting
   JRFM, 2022, 15, (1), 1-0
   See also Working Paper (2022)
2. Nonlinear modal regression for dependent data with application for predicting COVID‐19
   Journal of the Royal Statistical Society Series A, 2022, 185, (3), 1424-1453 View citations (1)
   See also Working Paper (2022)
3. Optimal forecast under structural breaks
   Journal of Applied Econometrics, 2022, 37, (5), 965-987
   See also Working Paper (2022)

2021

4. Analytical Finite Sample Econometrics: From A. L. Nagar to Now
   Journal of Quantitative Economics, 2021, 19, (1), 17-37
   See also Working Paper (2021)
5. Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
   Econometric Reviews, 2021, 40, (10), 905-918
   See also Working Paper (2020)
6. Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility
   Journal of Econometric Methods, 2021, 10, (1), 1-19
   See also Working Paper (2020)
7. Modal regression for fixed effects panel data
   Empirical Economics, 2021, 60, (1), 261-308 View citations (5)
   See also Working Paper (2020)
8. The Special Issue in Honor of Anirudh Lal Nagar: An Introduction
   Journal of Quantitative Economics, 2021, 19, (1), 1-8

2020

9. Improved Average Estimation in Seemingly Unrelated Regressions
   Econometrics, 2020, 8, (2), 1-22 View citations (2)
   See also Working Paper (2020)
10. Nonparametric estimation of marginal effects in regression-spline random effects models
    Econometric Reviews, 2020, 39, (8), 792-825
    See also Working Paper (2019)

2019

11. Note on approximate skewness and kurtosis of the two-stage least-square estimator
    Indian Economic Review, 2019, 54, (1), 147-157
12. The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation
    Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 201-233 View citations (1)
    See also Working Paper (2018)

2017

13. A combined estimator of regression models with measurement errors
    Indian Economic Review, 2017, 52, (1), 73-91
    See also Working Paper (2017)
14. A semiparametric generalized ridge estimator and link with model averaging
    Econometric Reviews, 2017, 36, (1-3), 370-384 View citations (2)
    See also Working Paper (2014)
15. Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
    Econometric Reviews, 2017, 36, (6-9), 1039-1056 View citations (5)
16. Econometric Reviews honors Esfandiar Maasoumi
    Econometric Reviews, 2017, 36, (6-9), 563-567
17. Interval estimation: An information theoretic approach
    Econometric Reviews, 2017, 36, (6-9), 781-795 View citations (3)

2015

18. Bias in the estimation of mean reversion in continuous-time Lévy processes
    Economics Letters, 2015, 134, (C), 16-19 View citations (2)
19. Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints
    Journal of Business & Economic Statistics, 2015, 33, (3), 393-402 View citations (5)
    See also Working Paper (2014)
20. Testing Additive Separability of Error Term in Nonparametric Structural Models
    Econometric Reviews, 2015, 34, (6-10), 1057-1088 View citations (7)

2014

21. A semiparametric conditional duration model
    Economics Letters, 2014, 124, (3), 362-366
    See also Working Paper (2014)
22. Robustify Financial Time Series Forecasting with Bagging
    Econometric Reviews, 2014, 33, (5-6), 575-605 View citations (15)

2013

23. Local Linear GMM Estimation of Functional Coefficient IV Models With an Application to Estimating the Rate of Return to Schooling
    Journal of Business & Economic Statistics, 2013, 31, (2), 184-207 View citations (18)
24. Nonparametric regression estimation with general parametric error covariance: a more efficient two-step estimator
    Empirical Economics, 2013, 45, (2), 1009-1024 View citations (8)
25. On existence of moment of mean reversion estimator in linear diffusion models
    Economics Letters, 2013, 120, (2), 146-148 View citations (1)
26. Parametric and Nonparametric Frequentist Model Selection and Model Averaging
    Econometrics, 2013, 1, (2), 1-23 View citations (10)

2012

27. Direct and indirect effects of happiness on wage: A simultaneous equations approach
    Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2012, 41, (2), 143-152 View citations (5)
28. Why Does Growing up in an Intact Family during Childhood Lead to Higher Earnings during Adulthood in the United States?
    American Journal of Economics and Sociology, 2012, 71, (3), 662-695 View citations (10)

2011

29. Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model
    Journal of Business & Economic Statistics, 2011, 29, (1), 109-125 View citations (40)

2009

30. On skewness and kurtosis of econometric estimators
    Econometrics Journal, 2009, 12, (2), 232-247 View citations (3)
31. Testing Conditional Uncorrelatedness
    Journal of Business & Economic Statistics, 2009, 27, 18-29 View citations (4)

2008

32. A Class of Improved Parametrically Guided Nonparametric Regression Estimators
    Econometric Reviews, 2008, 27, (4-6), 542-573 View citations (14)
33. A bias-adjusted LM test of error cross-section independence
    Econometrics Journal, 2008, 11, (1), 105-127 View citations (335)
    See also Working Paper (2006)
34. Asymptotic distribution of the OLS estimator for a purely autoregressive spatial model
    Journal of Multivariate Analysis, 2008, 99, (2), 245-277 View citations (7)
35. Local polynomial estimation of nonparametric simultaneous equations models
    Journal of Econometrics, 2008, 144, (1), 193-218 View citations (39)
36. Risk-based portfolio strategy in emerging stock markets: economic significance from Brazil, Russia, India and China
    Macroeconomics and Finance in Emerging Market Economies, 2008, 1, (1), 31-49

2007

37. Finite sample properties of maximum likelihood estimator in spatial models
    Journal of Econometrics, 2007, 137, (2), 396-413 View citations (40)
38. More efficient estimation of nonparametric panel data models with random effects
    Economics Letters, 2007, 96, (3), 375-380 View citations (12)
39. The second-order bias and mean squared error of estimators in time-series models
    Journal of Econometrics, 2007, 140, (2), 650-669 View citations (58)

2006

40. MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS
    Econometric Theory, 2006, 22, (1), 98-126 View citations (17)
41. Moments of the estimated Sharpe ratio when the observations are not IID
    Finance Research Letters, 2006, 3, (1), 49-56 View citations (6)
42. Profile likelihood estimation of partially linear panel data models with fixed effects
    Economics Letters, 2006, 92, (1), 75-81 View citations (62)

2005

43. A nonparametric random effects estimator
    Economics Letters, 2005, 88, (3), 403-407 View citations (28)
44. Corrigendum to "The second-order bias and mean squared error of nonlinear estimators": [Journal of Econometrics 75(2) (1996) 369-395]
    Journal of Econometrics, 2005, 124, (1), 203-204 View citations (5)

2004

45. Bias of a Value-at-Risk estimator
    Finance Research Letters, 2004, 1, (4), 241-249 View citations (6)
46. Testing Marshall-Lerner condition: a non-parametric approach
    Applied Economics Letters, 2004, 11, (4), 231-236 View citations (16)

2002

47. ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
    Econometric Reviews, 2002, 21, (2), 205-219 View citations (12)
48. Uses of entropy and divergence measures for evaluating econometric approximations and inference
    Journal of Econometrics, 2002, 107, (1-2), 313-326 View citations (10)

2001

49. Consistent Estimation of Regression Coefficients in Replicated Data with Non-Normal Measurement Errors
    Annals of Economics and Finance, 2001, 2, (1), 249-264 View citations (3)

1999

50. Asymptotic Normality of a Combined Regression Estimator
    Journal of Multivariate Analysis, 1999, 71, (2), 191-240 View citations (30)
51. Parametric and semi-parametric estimation of the effect of firm attributes on efficiency: the electricity generating industry in India
    The Journal of International Trade & Economic Development, 1999, 8, (4), 419-430 View citations (9)

1997

52. Estimation Of Moments And Production Decisions Under Uncertainty
    The Review of Economics and Statistics, 1997, 79, (4), 631-637 View citations (39)
    See also Working Paper (1996)

1996

53. The second-order bias and mean squared error of nonlinear estimators
    Journal of Econometrics, 1996, 75, (2), 369-395 View citations (74)

1994

54. Confidence sets centered at James--Stein estimators: A surprise concerning the unknown-variance case
    Journal of Econometrics, 1994, 60, (1-2), 145-156 View citations (1)
    See also Working Paper (1991)
55. Moments of the ratio of quadratic forms in non-normal variables with econometric examples
    Journal of Econometrics, 1994, 62, (2), 129-141 View citations (9)

1990

56. Unbiased Estimation of the MSE Matrix of Stein-Rule Estimators, Confidence Ellipsoids, and Hypothesis Testing
    Econometric Theory, 1990, 6, (1), 63-74 View citations (4)

1988

57. Non-parametric Estimation of Econometric Functionals
    Canadian Journal of Economics, 1988, 21, (3), 625-58 View citations (18)
58. Nonparametric Estimation and Hypothesis Testing in Econometric Models
    Empirical Economics, 1988, 13, (3/4), 223-49 View citations (9)
59. The Econometric Analysis of Models with Risk Terms
    Journal of Applied Econometrics, 1988, 3, (2), 87-105 View citations (166)
60. The positive-part Stein-rule estimator and tests of linear hypotheses
    Economics Letters, 1988, 26, (1), 49-51

1986

61. Moments of OLS estimators in an autoregressive moving average model with explanatory variables
    Economics Letters, 1986, 21, (3), 265-269 View citations (1)

1985

62. Estimation and testing in a regression model with spherically symmetric errors
    Economics Letters, 1985, 17, (1-2), 127-132 View citations (1)
    See also Working Paper (1984)
63. Nonparametric Time-Series Estimation of Joint DGP, Conditional DGP, and Vector Autoregression
    Econometric Theory, 1985, 1, (1), 27-52 View citations (6)
    See also Working Paper (1984)

1984

64. AN EMPIRICAL TEST OF THE RISK AVERSION HYPOTHESIS
    Pakistan Journal of Applied Economics, 1984, 3, (1), 57-64
    See also Working Paper (1979)
65. On the Robustness of LM, LR, and W Tests in Regression Models
    Econometrica, 1984, 52, (4), 1055-66 View citations (8)
    See also Working Paper (1983)
66. The sampling distribution of shrinkage estimators and theirF-ratios in the regression model
    Journal of Econometrics, 1984, 25, (1-2), 109-122
    See also Working Paper (1983)

1983

67. Properties of shrinkage estimators in linear regression when disturbances are not normal
    Journal of Econometrics, 1983, 21, (3), 389-402 View citations (7)
    See also Working Paper (1983)

1982

68. The approximate distribution function of the Stein-rule estimator
    Economics Letters, 1982, 10, (3-4), 305-308 View citations (2)

1980

69. A Polynomial Distributed Lag Model with Stochastic Coefficients and Priors
    Empirical Economics, 1980, 5, (3/4), 219-32 View citations (1)
70. Generalized Two Stage Least Squares Estimators for a Structural Equation with Both Fixed and Random Coefficients
    International Economic Review, 1980, 21, (1), 171-83 View citations (2)
    See also Working Paper (1978)
71. On Lindley-like mean correction in the improved estimation of linear regression models
    Economics Letters, 1980, 6, (1), 29-35
72. The exact, large-sample and small-disturbance conditions of dominance of biased estimators in linear models
    Economics Letters, 1980, 6, (4), 339-344 View citations (1)

1979

73. A distributed lag estimator derived from Shiller's smoothness priors: An extension
    Economics Letters, 1979, 2, (3), 219-223 View citations (1)

1978

74. Double k-Class Estimators of Coefficients in Linear Regression
    Econometrica, 1978, 46, (3), 705-22 View citations (18)
    See also Working Paper (1976)

1976

75. The Consumption Function: The Permanent Income Versus the Habit Persistence Hypothesis
    The Review of Economics and Statistics, 1976, 58, (1), 96-103 View citations (2)

1974

76. Competitive Firm and the Theory of Input Demand under Price Uncertainty
    Journal of Political Economy, 1974, 82, (3), 537-48 View citations (126)
77. On the sampling distribution of improved estimators for coefficients in linear regression
    Journal of Econometrics, 1974, 2, (2), 143-150 View citations (9)
78. The Exact Mean of the Two-Stage Least Squares Estimator of the Structural Parameters in an Equation Having Three Endogenous Variables
    Econometrica, 1974, 42, (4), 749-58 View citations (4)

Books

2004

1. Finite Sample Econometrics
   OUP Catalogue, Oxford University Press View citations (89)

1999

2. Nonparametric Econometrics
   Cambridge Books, Cambridge University Press View citations (626)
   Also in Cambridge Books, Cambridge University Press (1999) View citations (626)

Chapters

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
   See also Working Paper (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
   See also Working Paper (2018)

2014

3. Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 14, pp 65-92 View citations (2)