Details about Aman Ullah
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Short-id: pul22
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Working Papers
2022
- 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)
- 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)
- 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)
- 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)
- Semiparametric Partially Linear Varying Coefficient Modal Regression
Working Papers, University of California at Riverside, Department of Economics View citations (1)
- Weighted Average Estimation in Panel Data
Working Papers, University of California at Riverside, Department of Economics
2021
- 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)
- 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
- 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)
- Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference
Working Papers, University of California at Riverside, Department of Economics
- 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)
- 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)
- 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)
- On the Exact Statistical Distribution of Econometric Estimators and Test Statistics
Working Papers, University of California at Riverside, Department of Economics
- THE ET INTERVIEW: ESFANDIAR (ESSIE) MAASOUMI
Working Papers, University of California at Riverside, Department of Economics
2019
- Boosting
Working Papers, University of California at Riverside, Department of Economics
- Bootstrap Aggregating and Random Forest
Working Papers, University of California at Riverside, Department of Economics
- Information Theoretic Estimation of Econometric Functions
Working Papers, University of California at Riverside, Department of Economics View citations (1)
- Information-Theoretic Approach for Forecasting Interval-Valued SP500 Daily Returns
Working Papers, University of California at Riverside, Department of Economics
- 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)
- Semiparametric Estimation of Correlated Random Coefficient Models without Instrumental Variables
Papers, arXiv.org View citations (1)
2018
- A Class of Model Averaging Estimators
Working Paper series, Rimini Centre for Economic Analysis View citations (3)
- A Combined Random Effect and Fixed Effect Forecast for Panel Data Models
Working Papers, University of California at Riverside, Department of Economics
- Combined Estimation of Semiparametric Panel Data Models
Working Papers, University of California at Riverside, Department of Economics
- Component-wise AdaBoost Algorithms for High-dimensional Binary Classi fication and Class Probability Prediction
Working Papers, University of California at Riverside, Department of Economics
- 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)
- 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)
- 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)
- Variable Selection in Sparse Semiparametric Single Index Models
Working Papers, University of California at Riverside, Department of Economics 
See also Chapter (2019)
2017
- 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
- Grouped Model Averaging for Finite Sample Size
Working Papers, University of California at Riverside, Department of Economics
- Nonparametric Regression-Spline Random Effects Models
Department of Economics Working Papers, McMaster University View citations (3)
2014
- A Semiparametric Conditional Duration Model
Working Papers, University of California at Riverside, Department of Economics 
See also Journal Article in Economics Letters (2014)
- 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)
- Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process
Working Papers, University of California at Riverside, Department of Economics
- 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)
- Moment Approximation for Unit Root Models with Nonnormal Errors
Working Papers, University of California at Riverside, Department of Economics View citations (2)
- 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
- 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
- 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)
- Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications
Working Papers, University of California at Riverside, Department of Economics
- Functional Coefficient Estimation with Both Categorical and Continuous Data
Working Papers, University of California at Riverside, Department of Economics View citations (1)
2006
- 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)
- 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
- Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models
Working papers, Centre for Development Economics, Delhi School of Economics View citations (5)
- 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
- 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
- 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
- "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)
- 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)
- 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
- 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)
- 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
- 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)
- 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
- 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)
- 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
- 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
- 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
- Resource Discoveries and "Excessive" External Borrowing
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
1986
- The Econometric Analysis of Risk Terms
CEPR Discussion Papers, C.E.P.R. Discussion Papers
1984
- A Rehabilitation of Absolute Advantage
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
- 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)
- 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)
- 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
- 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
- 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)
- 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)
- 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)
- The "Buffer Stock" Notion in Monetary Economics
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
1982
- Analysis of a Monopoly
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
- 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
- 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
- Intergenerational Transfers, Redistribution, and Inequality
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
- On the Global Univalence of Piecewise Differentiable Mappings
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
1981
- 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
- The Effects of Alternative Urban Transit Subsidy Formulas
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
- 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
- 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)
- 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
- A FAMILY OF IMPROVED ORDINARY RIDGE ESTIMATORS
Econometric Institute Archives, Erasmus University Rotterdam
- A Polynomial Distributed Lag Model with Stochastic Coefficients
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
- A Theory of Property Rights and Crime
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
- An Analysis of the Demand and Supply of Shiftworkers
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
- 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)
- 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)
- 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
- Added- and Discouraged-Worker Effects in Canada, 1953-1974
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
- 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)
- 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)
- 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
- 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
- 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
- Optimal Foreign Exchange Market Intervention
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
- 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
- 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)
- 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
- Stochastic Demand and the Theory of Price Discrimination
University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
- 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
- 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
- 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
- Machine-Learning-Based Semiparametric Time Series Conditional Variance: Estimation and Forecasting
JRFM, 2022, 15, (1), 1-0 
See also Working Paper (2022)
- 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)
- Optimal forecast under structural breaks
Journal of Applied Econometrics, 2022, 37, (5), 965-987 
See also Working Paper (2022)
2021
- Analytical Finite Sample Econometrics: From A. L. Nagar to Now
Journal of Quantitative Economics, 2021, 19, (1), 17-37 
See also Working Paper (2021)
- 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)
- 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)
- Modal regression for fixed effects panel data
Empirical Economics, 2021, 60, (1), 261-308 View citations (5)
See also Working Paper (2020)
- The Special Issue in Honor of Anirudh Lal Nagar: An Introduction
Journal of Quantitative Economics, 2021, 19, (1), 1-8
2020
- Improved Average Estimation in Seemingly Unrelated Regressions
Econometrics, 2020, 8, (2), 1-22 View citations (2)
See also Working Paper (2020)
- Nonparametric estimation of marginal effects in regression-spline random effects models
Econometric Reviews, 2020, 39, (8), 792-825 
See also Working Paper (2019)
2019
- Note on approximate skewness and kurtosis of the two-stage least-square estimator
Indian Economic Review, 2019, 54, (1), 147-157
- 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
- A combined estimator of regression models with measurement errors
Indian Economic Review, 2017, 52, (1), 73-91 
See also Working Paper (2017)
- 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)
- Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
Econometric Reviews, 2017, 36, (6-9), 1039-1056 View citations (5)
- Econometric Reviews honors Esfandiar Maasoumi
Econometric Reviews, 2017, 36, (6-9), 563-567
- Interval estimation: An information theoretic approach
Econometric Reviews, 2017, 36, (6-9), 781-795 View citations (3)
2015
- Bias in the estimation of mean reversion in continuous-time Lévy processes
Economics Letters, 2015, 134, (C), 16-19 View citations (2)
- 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)
- Testing Additive Separability of Error Term in Nonparametric Structural Models
Econometric Reviews, 2015, 34, (6-10), 1057-1088 View citations (7)
2014
- A semiparametric conditional duration model
Economics Letters, 2014, 124, (3), 362-366 
See also Working Paper (2014)
- Robustify Financial Time Series Forecasting with Bagging
Econometric Reviews, 2014, 33, (5-6), 575-605 View citations (15)
2013
- 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)
- Nonparametric regression estimation with general parametric error covariance: a more efficient two-step estimator
Empirical Economics, 2013, 45, (2), 1009-1024 View citations (8)
- On existence of moment of mean reversion estimator in linear diffusion models
Economics Letters, 2013, 120, (2), 146-148 View citations (1)
- Parametric and Nonparametric Frequentist Model Selection and Model Averaging
Econometrics, 2013, 1, (2), 1-23 View citations (10)
2012
- 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)
- 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
- 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
- On skewness and kurtosis of econometric estimators
Econometrics Journal, 2009, 12, (2), 232-247 View citations (3)
- Testing Conditional Uncorrelatedness
Journal of Business & Economic Statistics, 2009, 27, 18-29 View citations (4)
2008
- A Class of Improved Parametrically Guided Nonparametric Regression Estimators
Econometric Reviews, 2008, 27, (4-6), 542-573 View citations (14)
- 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)
- Asymptotic distribution of the OLS estimator for a purely autoregressive spatial model
Journal of Multivariate Analysis, 2008, 99, (2), 245-277 View citations (7)
- Local polynomial estimation of nonparametric simultaneous equations models
Journal of Econometrics, 2008, 144, (1), 193-218 View citations (39)
- 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
- Finite sample properties of maximum likelihood estimator in spatial models
Journal of Econometrics, 2007, 137, (2), 396-413 View citations (40)
- More efficient estimation of nonparametric panel data models with random effects
Economics Letters, 2007, 96, (3), 375-380 View citations (12)
- 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
- MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS
Econometric Theory, 2006, 22, (1), 98-126 View citations (17)
- Moments of the estimated Sharpe ratio when the observations are not IID
Finance Research Letters, 2006, 3, (1), 49-56 View citations (6)
- Profile likelihood estimation of partially linear panel data models with fixed effects
Economics Letters, 2006, 92, (1), 75-81 View citations (62)
2005
- A nonparametric random effects estimator
Economics Letters, 2005, 88, (3), 403-407 View citations (28)
- 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
- Bias of a Value-at-Risk estimator
Finance Research Letters, 2004, 1, (4), 241-249 View citations (6)
- Testing Marshall-Lerner condition: a non-parametric approach
Applied Economics Letters, 2004, 11, (4), 231-236 View citations (16)
2002
- ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
Econometric Reviews, 2002, 21, (2), 205-219 View citations (12)
- 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
- 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
- Asymptotic Normality of a Combined Regression Estimator
Journal of Multivariate Analysis, 1999, 71, (2), 191-240 View citations (30)
- 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
- 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
- The second-order bias and mean squared error of nonlinear estimators
Journal of Econometrics, 1996, 75, (2), 369-395 View citations (74)
1994
- 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)
- 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
- 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
- Non-parametric Estimation of Econometric Functionals
Canadian Journal of Economics, 1988, 21, (3), 625-58 View citations (18)
- Nonparametric Estimation and Hypothesis Testing in Econometric Models
Empirical Economics, 1988, 13, (3/4), 223-49 View citations (9)
- The Econometric Analysis of Models with Risk Terms
Journal of Applied Econometrics, 1988, 3, (2), 87-105 View citations (166)
- The positive-part Stein-rule estimator and tests of linear hypotheses
Economics Letters, 1988, 26, (1), 49-51
1986
- Moments of OLS estimators in an autoregressive moving average model with explanatory variables
Economics Letters, 1986, 21, (3), 265-269 View citations (1)
1985
- 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)
- 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
- AN EMPIRICAL TEST OF THE RISK AVERSION HYPOTHESIS
Pakistan Journal of Applied Economics, 1984, 3, (1), 57-64 
See also Working Paper (1979)
- 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)
- 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
- 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
- The approximate distribution function of the Stein-rule estimator
Economics Letters, 1982, 10, (3-4), 305-308 View citations (2)
1980
- A Polynomial Distributed Lag Model with Stochastic Coefficients and Priors
Empirical Economics, 1980, 5, (3/4), 219-32 View citations (1)
- 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)
- On Lindley-like mean correction in the improved estimation of linear regression models
Economics Letters, 1980, 6, (1), 29-35
- 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
- A distributed lag estimator derived from Shiller's smoothness priors: An extension
Economics Letters, 1979, 2, (3), 219-223 View citations (1)
1978
- Double k-Class Estimators of Coefficients in Linear Regression
Econometrica, 1978, 46, (3), 705-22 View citations (18)
See also Working Paper (1976)
1976
- 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
- Competitive Firm and the Theory of Input Demand under Price Uncertainty
Journal of Political Economy, 1974, 82, (3), 537-48 View citations (126)
- On the sampling distribution of improved estimators for coefficients in linear regression
Journal of Econometrics, 1974, 2, (2), 143-150 View citations (9)
- 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
- Finite Sample Econometrics
OUP Catalogue, Oxford University Press View citations (89)
1999
- Nonparametric Econometrics
Cambridge Books, Cambridge University Press View citations (626)
Also in Cambridge Books, Cambridge University Press (1999) View citations (626)
Chapters
2019
- 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)
- 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
- 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)
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