Details about Halbert White

This author is deceased (2012-03-31).

Access statistics for papers by Halbert White.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pwh17

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Working Papers

2021

1. Testing a Constant Mean Function Using Functional Regression
   Working papers, Yonsei University, Yonsei Economics Research Institute

2017

2. Directionally Differentiable Econometric Models
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (3)
   See also Journal Article DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS, Econometric Theory, Cambridge University Press (2018) View citations (6) (2018)
3. Supplements to "Directionally Differentiable Econometric Models"
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (3)

2016

4. Constrained Information Processing and Individual Income Expectations
   Boston College Working Papers in Economics, Boston College Department of Economics
5. Testing Monotonicity in Unobservables with Panel Data
   Boston College Working Papers in Economics, Boston College Department of Economics

2015

6. Testing for Monotonicity in Unobservables under Unconfoundedness
   Boston College Working Papers in Economics, Boston College Department of Economics
   See also Journal Article Testing for monotonicity in unobservables under unconfoundedness, Journal of Econometrics, Elsevier (2016) View citations (5) (2016)
7. VAR for VaR: measuring tail dependence using multivariate regression quantiles
   Working Paper Series, European Central Bank View citations (171)
   See also Journal Article VAR for VaR: Measuring tail dependence using multivariate regression quantiles, Journal of Econometrics, Elsevier (2015) View citations (149) (2015)

2014

8. Notations in "Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing" by Cho and White (2014)
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (12)
9. Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (12)

2013

10. A Flexible Nonparametric Test for Conditional Independence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (3)
    See also Journal Article A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE, Econometric Theory, Cambridge University Press (2016) View citations (13) (2016)
11. Mathematical Proofs for "Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions"
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (2)
12. Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions (published in: Essays in Nonlinear Time Series Econometrics, Festschrift in Honor of Timo Terasvirta. Eds. Niels Haldrup, Mika Meitz, and Pentti Saikkonen (2014). Oxford: Oxford University Press.)
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (11)

2012

13. A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2012)
    See also Journal Article A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS, Econometric Theory, Cambridge University Press (2013) View citations (107) (2013)

2011

14. Causal Discourse in a Game of Incomplete Information
    Department of Economics Working Papers, The University of Texas at Austin, Department of Economics View citations (1)
    See also Journal Article Causal discourse in a game of incomplete information, Journal of Econometrics, Elsevier (2014) View citations (1) (2014)

2010

15. Causality, Conditional Independence, and Graphical Separation in Settable Systems
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (18)
16. Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis
    Working Papers, Brandeis University, Department of Economics and International Business School View citations (5)
    See also Journal Article Granger causality, exogeneity, cointegration, and economic policy analysis, Journal of Econometrics, Elsevier (2014) View citations (12) (2014)
17. Linking Granger Causality and the Pearl Causal Model with Settable Systems
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (9)
18. Testing a Conditional Form of Exogeneity
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (8)
    See also Journal Article Testing a conditional form of exogeneity, Economics Letters, Elsevier (2010) View citations (7) (2010)
19. VAR for VaR: measuring systemic risk using multivariate regression quantiles
    MPRA Paper, University Library of Munich, Germany View citations (16)

2009

20. An Extended Class of Instrumental Variables for the Estimation of Causal Effects
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (16)
21. Generalized Runs Test for the IID Hypothesis
    Discussion Paper Series, Institute of Economic Research, Korea University
    See also Journal Article Generalized runs tests for the IID hypothesis, Journal of Econometrics, Elsevier (2011) View citations (11) (2011)
22. Local Indirect Least Squares and Average Marginal Effects in Nonseparable Structural Systems
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (10)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) View citations (6)
    See also Journal Article Local indirect least squares and average marginal effects in nonseparable structural systems, Journal of Econometrics, Elsevier (2012) View citations (24) (2012)
23. Nonparametric Identification in Nonseparable Panel Data Models with Generalized Fixed Effects
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (7)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (6)
    See also Journal Article Nonparametric identification in nonseparable panel data models with generalized fixed effects, Journal of Econometrics, Elsevier (2012) View citations (65) (2012)
24. Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models
    Discussion Paper Series, Institute of Economic Research, Korea University
    See also Journal Article Testing for unobserved heterogeneity in exponential and Weibull duration models, Journal of Econometrics, Elsevier (2010) View citations (17) (2010)
25. Testing for a Constant Mean Function using Functional Regression
    Discussion Paper Series, Institute of Economic Research, Korea University

2008

26. Identifying Structural Effects in Nonseparable Systems Using Covariates
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (7)
27. Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
    Working Paper Series, European Central Bank View citations (32)

2007

28. Mixtures of t-distributions for Finance and Forecasting
    Economics Series, Institute for Advanced Studies
    See also Journal Article Mixtures of t-distributions for finance and forecasting, Journal of Econometrics, Elsevier (2008) View citations (7) (2008)

2005

29. Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (12)
    See also Journal Article Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis, Journal of Finance, American Finance Association (2006) View citations (315) (2006)

2004

30. A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (1)
    See also Journal Article A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets, Econometric Theory, Cambridge University Press (2005) View citations (12) (2005)
31. Subsampling the distribution of diverging statistics with applications to finance
    Post-Print, HAL View citations (7)
    See also Journal Article Subsampling the distribution of diverging statistics with applications to finance, Journal of Econometrics, Elsevier (2004) View citations (10) (2004)

2003

32. A Consistent Characteristic-Function-Based Test for Conditional Independence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (2)
    See also Journal Article A consistent characteristic function-based test for conditional independence, Journal of Econometrics, Elsevier (2007) View citations (49) (2007)
33. A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (16)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2003)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2002)
    See also Journal Article A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2003) View citations (33) (2003)
34. On More Robust Estimation of Skewness and Kurtosis: Simulation and Application to the S&P500 Index
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (5)
35. Testing Conditional Independence Via Empirical Likelihood
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (13)
    See also Journal Article Testing conditional independence via empirical likelihood, Journal of Econometrics, Elsevier (2014) View citations (14) (2014)
36. Tests of Conditional Predictive Ability
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (41)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2003) View citations (44)
    Econometrics, University Library of Munich, Germany (2003) View citations (62)
    See also Journal Article Tests of Conditional Predictive Ability, Econometrica, Econometric Society (2006) View citations (876) (2006)

2002

37. A Subsampling Approach to Estimating the Distribution of Diverging Statistics with Applications to Assessing Financial Markets Risks
    Working Papers, Center for Research in Economics and Statistics
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000)
38. Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (8)
    See also Journal Article Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2002) View citations (9) (2002)
39. Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (9)
    See also Chapter ESTIMATION, INFERENCE, AND SPECIFICATION TESTING FOR POSSIBLY MISSPECIFIED QUANTILE REGRESSION, Advances in Econometrics, Emerald Group Publishing Limited (2003) View citations (11) (2003)
40. Hypernormal Densities
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2002) View citations (1)
    Boston College Working Papers in Economics, Boston College Department of Economics (2002) View citations (1)
41. Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models
    CIRANO Working Papers, CIRANO View citations (6)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) View citations (6)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002) View citations (6)
    See also Journal Article Maximum likelihood and the bootstrap for nonlinear dynamic models, Journal of Econometrics, Elsevier (2004) View citations (76) (2004)

2001

42. A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (2)
43. Forecast Evaluation with Shared Data Sets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Forecast evaluation with shared data sets, International Journal of Forecasting, Elsevier (2003) View citations (22) (2003)
44. The Bootstrap of Mean for Dependent Heterogeneous Arrays
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (5)
    Also in CIRANO Working Papers, CIRANO (2001) View citations (10)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (5)
    See also Journal Article THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS, Econometric Theory, Cambridge University Press (2002) View citations (40) (2002)

2000

45. Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (4)
46. Bootstrapping the Information Matrix Test
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
47. CLOSED FORM INTEGRATION OF ARTIFICIAL NEURAL NETWORKS WITH SOME APPLICATIONS TO FINANCE
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (3)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) View citations (1)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (5)
48. James-Stein Type Estimator in Large Samples with Application to the Least Absolute Deviations Estimator
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999)
    See also Journal Article James-Stein-Type Estimators in Large Samples With Application to the Least Absolute Deviations Estimator, Journal of the American Statistical Association, American Statistical Association (2001) View citations (12) (2001)

1999

49. Closed form integration of artificial neural networks with some applications
    Research Notes, Deutsche Bank Research View citations (1)
50. M-Testing Using Finite and Infinite Dimensional Parameter Estimators
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (3)

1998

51. Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (10)
    Also in FMG Discussion Papers, Financial Markets Group (1998) View citations (8)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1998)
52. Data snooping, technical trading, rule performance, and the bootstrap
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1998) View citations (18)
    FMG Discussion Papers, Financial Markets Group (1998) View citations (29)
    See also Journal Article Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap, Journal of Finance, American Finance Association (1999) View citations (291) (1999)

1996

53. Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes
    Working Papers, Pennsylvania State - Department of Economics View citations (20)
    See also Journal Article Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes, Journal of Econometrics, Elsevier (2000) View citations (26) (2000)

1995

54. A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks
    Macroeconomics, University Library of Munich, Germany View citations (29)
    Also in Working Papers, Pennsylvania State - Department of Economics (1995) View citations (7)
    See also Journal Article A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks, The Review of Economics and Statistics, MIT Press (1997) View citations (159) (1997)

1991

55. Strong Convergence of Recursive M-Estimators for Models with Dynamic Latent Variables
    Working Papers, Stanford - Institute for Thoretical Economics View citations (1)

1984

56. A Unified Theory of Consistent Estimation for Parametric Models
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (3)
    See also Journal Article A Unified Theory of Consistent Estimation for Parametric Models, Econometric Theory, Cambridge University Press (1985) View citations (11) (1985)

1983

57. Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties
    Working Paper, Economics Department, Queen's University View citations (11)
    See also Journal Article Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties, Journal of Econometrics, Elsevier (1985) View citations (572) (1985)

1982

58. Some Further Results on Tests for Model Specification in the Presence of Alternative Hypotheses
    Working Paper, Economics Department, Queen's University View citations (1)

1978

59. Unanticipated Money, Output, and Prices in the Small Economy
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics
    See also Journal Article Unanticipated money, output, and prices in the small economy, Economics Letters, Elsevier (1978) (1978)

Journal Articles

2019

1. Consequences of Model Misspecification for Maximum Likelihood Estimation with Missing Data
   Econometrics, 2019, 7, (3), 1-27 View citations (3)
2. Disclosure incentives when competing firms have common ownership
   Journal of Accounting and Economics, 2019, 67, (2), 387-415 View citations (35)

2018

3. DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS
   Econometric Theory, 2018, 34, (5), 1101-1131 View citations (6)
   See also Working Paper Directionally Differentiable Econometric Models, Working papers (2017) View citations (3) (2017)

2016

4. A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE
   Econometric Theory, 2016, 32, (6), 1434-1482 View citations (13)
   See also Working Paper A Flexible Nonparametric Test for Conditional Independence, University of California at San Diego, Economics Working Paper Series (2013) View citations (3) (2013)
5. Generalized Information Matrix Tests for Detecting Model Misspecification
   Econometrics, 2016, 4, (4), 1-24 View citations (4)
6. Testing for monotonicity in unobservables under unconfoundedness
   Journal of Econometrics, 2016, 193, (1), 183-202 View citations (5)
   See also Working Paper Testing for Monotonicity in Unobservables under Unconfoundedness, Boston College Working Papers in Economics (2015) (2015)

2015

7. Estimating nonseparable models with mismeasured endogenous variables
   Quantitative Economics, 2015, 6, (3), 749-794 View citations (11)
8. VAR for VaR: Measuring tail dependence using multivariate regression quantiles
   Journal of Econometrics, 2015, 187, (1), 169-188 View citations (149)
   See also Working Paper VAR for VaR: measuring tail dependence using multivariate regression quantiles, Working Paper Series (2015) View citations (171) (2015)

2014

9. A two-stage procedure for partially identified models
   Journal of Econometrics, 2014, 182, (1), 5-13 View citations (7)
10. Causal discourse in a game of incomplete information
    Journal of Econometrics, 2014, 182, (1), 45-58 View citations (1)
    See also Working Paper Causal Discourse in a Game of Incomplete Information, Department of Economics Working Papers (2011) View citations (1) (2011)
11. Granger causality, exogeneity, cointegration, and economic policy analysis
    Journal of Econometrics, 2014, 178, (P2), 316-330 View citations (12)
    See also Working Paper Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis, Working Papers (2010) View citations (5) (2010)
12. Robustness checks and robustness tests in applied economics
    Journal of Econometrics, 2014, 178, (P1), 194-206 View citations (65)
13. Testing conditional independence via empirical likelihood
    Journal of Econometrics, 2014, 182, (1), 27-44 View citations (14)
    See also Working Paper Testing Conditional Independence Via Empirical Likelihood, University of California at San Diego, Economics Working Paper Series (2003) View citations (13) (2003)
14. Testing for separability in structural equations
    Journal of Econometrics, 2014, 182, (1), 14-26 View citations (13)

2013

15. A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
    Econometric Theory, 2013, 29, (3), 567-589 View citations (107)
    See also Working Paper A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators, CeMMAP working papers (2012) View citations (1) (2012)
16. Identification and Identification Failure for Treatment Effects Using Structural Systems
    Econometric Reviews, 2013, 32, (3), 273-317 View citations (12)

2012

17. An Alternative Proof That OLS is BLUE
    Journal of Econometric Methods, 2012, 1, (1), 107-107
18. Local indirect least squares and average marginal effects in nonseparable structural systems
    Journal of Econometrics, 2012, 166, (2), 282-302 View citations (24)
    See also Working Paper Local Indirect Least Squares and Average Marginal Effects in Nonseparable Structural Systems, Boston College Working Papers in Economics (2009) View citations (10) (2009)
19. Nonparametric identification in nonseparable panel data models with generalized fixed effects
    Journal of Econometrics, 2012, 168, (2), 300-314 View citations (65)
    See also Working Paper Nonparametric Identification in Nonseparable Panel Data Models with Generalized Fixed Effects, Boston College Working Papers in Economics (2009) View citations (7) (2009)
20. SOME EXTENSIONS OF A LEMMA OF KOTLARSKI
    Econometric Theory, 2012, 28, (4), 925-932 View citations (40)

2011

21. Causal Diagrams for Treatment Effect Estimation with Application to Efficient Covariate Selection
    The Review of Economics and Statistics, 2011, 93, (4), 1453-1459 View citations (16)
22. Consideration of Trends in Time Series
    Journal of Time Series Econometrics, 2011, 3, (1), 40 View citations (25)
23. Generalized runs tests for the IID hypothesis
    Journal of Econometrics, 2011, 162, (2), 326-344 View citations (11)
    See also Working Paper Generalized Runs Test for the IID Hypothesis, Discussion Paper Series (2009) (2009)
24. Viewpoint: An extended class of instrumental variables for the estimation of causal effects
    Canadian Journal of Economics, 2011, 44, (1), 1-51 View citations (23)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2011, 44, (1), 1-51 (2011) View citations (9)

2010

25. Granger Causality and Dynamic Structural Systems
    Journal of Financial Econometrics, 2010, 8, (2), 193-243 View citations (30)
26. Remarks for the Clive Granger Memorial, July 31, 2009
    Journal of Financial Econometrics, 2010, 8, (2), 160-161
27. TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS
    Econometric Theory, 2010, 26, (6), 1761-1806 View citations (9)
28. Testing a conditional form of exogeneity
    Economics Letters, 2010, 109, (2), 88-90 View citations (7)
    See also Working Paper Testing a Conditional Form of Exogeneity, Boston College Working Papers in Economics (2010) View citations (8) (2010)
29. Testing for unobserved heterogeneity in exponential and Weibull duration models
    Journal of Econometrics, 2010, 157, (2), 458-480 View citations (17)
    See also Working Paper Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models, Discussion Paper Series (2009) (2009)
30. The construction of empirical credit scoring rules based on maximization principles
    Journal of Econometrics, 2010, 157, (1), 110-119 View citations (13)

2009

31. Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
    Econometric Reviews, 2009, 28, (4), 372-375 View citations (65)
32. Inference on Risk-Neutral Measures for Incomplete Markets
    Journal of Financial Econometrics, 2009, 7, (3), 199-246 View citations (8)

2008

33. A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
    Econometric Theory, 2008, 24, (4), 829-864 View citations (43)
34. Mixtures of t-distributions for finance and forecasting
    Journal of Econometrics, 2008, 144, (1), 175-192 View citations (7)
    See also Working Paper Mixtures of t-distributions for Finance and Forecasting, Economics Series (2007) (2007)

2007

35. A consistent characteristic function-based test for conditional independence
    Journal of Econometrics, 2007, 141, (2), 807-834 View citations (49)
    See also Working Paper A Consistent Characteristic-Function-Based Test for Conditional Independence, University of California at San Diego, Economics Working Paper Series (2003) View citations (2) (2003)
36. Testing for Regime Switching
    Econometrica, 2007, 75, (6), 1671-1720 View citations (101)

2006

37. Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis
    Journal of Finance, 2006, 61, (6), 2551-2595 View citations (315)
    See also Working Paper Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis, CFR Working Papers (2005) View citations (12) (2005)
38. Tests of Conditional Predictive Ability
    Econometrica, 2006, 74, (6), 1545-1578 View citations (876)
    See also Working Paper Tests of Conditional Predictive Ability, University of California at San Diego, Economics Working Paper Series (2003) View citations (41) (2003)
39. Time-series estimation of the effects of natural experiments
    Journal of Econometrics, 2006, 135, (1-2), 527-566 View citations (21)

2005

40. A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
    Econometric Theory, 2005, 21, (1), 262-277 View citations (12)
    See also Working Paper A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets, Econometrics Working Papers Archive (2004) View citations (1) (2004)
41. Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
    Econometrica, 2005, 73, (3), 837-901 View citations (64)
42. Bootstrap Standard Error Estimates for Linear Regression
    Journal of the American Statistical Association, 2005, 100, 970-979 View citations (53)

2004

43. Automatic Block-Length Selection for the Dependent Bootstrap
    Econometric Reviews, 2004, 23, (1), 53-70 View citations (255)
44. Maximum likelihood and the bootstrap for nonlinear dynamic models
    Journal of Econometrics, 2004, 119, (1), 199-219 View citations (76)
    See also Working Paper Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models, CIRANO Working Papers (2002) View citations (6) (2002)
45. On more robust estimation of skewness and kurtosis
    Finance Research Letters, 2004, 1, (1), 56-73 View citations (157)
46. Subsampling the distribution of diverging statistics with applications to finance
    Journal of Econometrics, 2004, 120, (2), 295-326 View citations (10)
    See also Working Paper Subsampling the distribution of diverging statistics with applications to finance, Post-Print (2004) View citations (7) (2004)

2003

47. A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 821-838 View citations (33)
    See also Working Paper A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA), Econometrics Working Papers Archive (2003) View citations (16) (2003)
48. Forecast evaluation with shared data sets
    International Journal of Forecasting, 2003, 19, (2), 217-227 View citations (22)
    See also Working Paper Forecast Evaluation with Shared Data Sets, CEPR Discussion Papers (2001) (2001)

2002

49. Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (1), 55 View citations (9)
    See also Working Paper Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space, University of California at San Diego, Economics Working Paper Series (2002) View citations (8) (2002)
50. THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
    Econometric Theory, 2002, 18, (6), 1367-1384 View citations (40)
    See also Working Paper The Bootstrap of Mean for Dependent Heterogeneous Arrays, Cahiers de recherche (2001) View citations (5) (2001)

2001

51. Dangers of data mining: The case of calendar effects in stock returns
    Journal of Econometrics, 2001, 105, (1), 249-286 View citations (98)
52. James-Stein-Type Estimators in Large Samples With Application to the Least Absolute Deviations Estimator
    Journal of the American Statistical Association, 2001, 96, 697-705 View citations (12)
    See also Working Paper James-Stein Type Estimator in Large Samples with Application to the Least Absolute Deviations Estimator, University of California at San Diego, Economics Working Paper Series (2000) (2000)
53. S-estimation of nonlinear regression models with dependent and heterogeneous observations
    Journal of Econometrics, 2001, 103, (1-2), 5-72 View citations (17)

2000

54. A Reality Check for Data Snooping
    Econometrica, 2000, 68, (5), 1097-1126 View citations (768)
55. Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
    Journal of Econometrics, 2000, 96, (1), 39-73 View citations (26)
    See also Working Paper Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes, Working Papers (1996) View citations (20) (1996)

1999

56. An efficient algorithm to compute maximum entropy densities
    Econometric Reviews, 1999, 18, (2), 127-140 View citations (18)
57. Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap
    Journal of Finance, 1999, 54, (5), 1647-1691 View citations (291)
    See also Working Paper Data snooping, technical trading, rule performance, and the bootstrap, LSE Research Online Documents on Economics (1998) (1998)
58. Specification Tests for the Variance of a Diffusion
    Journal of Time Series Analysis, 1999, 20, (3), 253-270 View citations (22)

1998

59. CENTRAL LIMIT AND FUNCTIONAL CENTRAL LIMIT THEOREMS FOR HILBERT-VALUED DEPENDENT HETEROGENEOUS ARRAYS WITH APPLICATIONS
    Econometric Theory, 1998, 14, (2), 260-284 View citations (41)
60. CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
    Econometric Theory, 1998, 14, (3), 295-325 View citations (204)
61. High Breakdown Point Conditional Dispersion Estimation with Application to S&P 500 Daily Returns Volatility
    Econometrica, 1998, 66, (3), 529-568 View citations (104)
62. Nonparametric Adaptive Learning with Feedback
    Journal of Economic Theory, 1998, 82, (1), 190-222 View citations (23)

1997

63. A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks
    The Review of Economics and Statistics, 1997, 79, (4), 540-550 View citations (159)
    See also Working Paper A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks, Macroeconomics (1995) View citations (29) (1995)
64. Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models
    International Journal of Forecasting, 1997, 13, (4), 439-461 View citations (106)

1996

65. Information criteria for selecting possibly misspecified parametric models
    Journal of Econometrics, 1996, 71, (1-2), 207-225 View citations (147)
66. Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications
    Econometric Theory, 1996, 12, (2), 284-304 View citations (17)
67. Monitoring Structural Change
    Econometrica, 1996, 64, (5), 1045-65 View citations (149)

1995

68. A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks
    Journal of Business & Economic Statistics, 1995, 13, (3), 265-75 View citations (132)
69. Comments on testing economic theories and the use of model selection criteria
    Journal of Econometrics, 1995, 67, (1), 173-187 View citations (81)
70. Consistent Specification Testing via Nonparametric Series Regression
    Econometrica, 1995, 63, (5), 1133-59 View citations (115)

1994

71. Adaptive Learning with Nonlinear Dynamics Driven by Dependent Processes
    Econometrica, 1994, 62, (5), 1087-1114 View citations (22)

1993

72. Determination of Estimators with Minimum Asymptotic Covariance Matrices
    Econometric Theory, 1993, 9, (4), 633-648 View citations (14)
73. 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 View citations (226)

1992

74. A Direct Test for Changing Trend
    Journal of Business & Economic Statistics, 1992, 10, (3), 289-99 View citations (27)
75. Some Measurability Results for Extrema of Random Functions Over Random Sets
    The Review of Economic Studies, 1992, 59, (3), 495-514 View citations (26)

1991

76. Learning in recurrent neural networks
    Mathematical Social Sciences, 1991, 22, (1), 102-103 View citations (1)

1989

77. Interval forecasting: An analysis based upon ARCH-quantile estimators
    Journal of Econometrics, 1989, 40, (1), 87-96 View citations (74)
78. Trends in unit energy consumption: The performance of end-use models
    Energy, 1989, 14, (12), 943-960

1988

79. Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes
    Econometric Theory, 1988, 4, (2), 210-230 View citations (96)

1985

80. A Unified Theory of Consistent Estimation for Parametric Models
    Econometric Theory, 1985, 1, (2), 151-178 View citations (11)
    See also Working Paper A Unified Theory of Consistent Estimation for Parametric Models, Working papers (1984) View citations (3) (1984)
81. Abstracts of Working Papers in Economics: A Computer Searchable On-line Data Base
    Econometric Theory, 1985, 1, (1), 147-149
82. Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties
    Journal of Econometrics, 1985, 29, (3), 305-325 View citations (572)
    See also Working Paper Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties, Working Paper (1983) View citations (11) (1983)

1984

83. A Note on Computing the Heteroskedasticity Consistent Covariance Matrix Using Instrumental Variable Techniques
    Oxford Bulletin of Economics and Statistics, 1984, 46, (2), 181-84 View citations (8)
84. Nonlinear Regression with Dependent Observations
    Econometrica, 1984, 52, (1), 143-61 View citations (141)

1983

85. Corrigendum [Maximum Likelihood Estimation of Misspecified Models]
    Econometrica, 1983, 51, (2), 513 View citations (4)
86. Editor's introduction
    Journal of Econometrics, 1983, 21, (1), 1-3
87. Tests for model specification in the presence of alternative hypotheses: Some further results
    Journal of Econometrics, 1983, 21, (1), 53-70 View citations (156)

1982

88. Differencing as a Test of Specification
    International Economic Review, 1982, 23, (3), 535-52 View citations (24)
89. Editor's introduction
    Journal of Econometrics, 1982, 20, (1), 1-2 View citations (3)
90. Instrumental Variables Regression with Independent Observations
    Econometrica, 1982, 50, (2), 483-99 View citations (89)
91. Maximum Likelihood Estimation of Misspecified Models
    Econometrica, 1982, 50, (1), 1-25 View citations (1344)
92. Misspecified models with dependent observations
    Journal of Econometrics, 1982, 20, (1), 35-58 View citations (57)
93. Regularity conditions for cox's test of non-nested hypotheses
    Journal of Econometrics, 1982, 19, (2-3), 301-318 View citations (17)

1981

94. Conditional distributions of earnings, wages and hours for blacks and whites
    Journal of Econometrics, 1981, 17, (3), 263-285 View citations (1)

1980

95. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
    Econometrica, 1980, 48, (4), 817-38 View citations (8083)
96. Nonlinear Regression on Cross-Section Data
    Econometrica, 1980, 48, (3), 721-46 View citations (54)
97. Using Least Squares to Approximate Unknown Regression Functions
    International Economic Review, 1980, 21, (1), 149-70 View citations (147)

1979

98. Optimal Investment in Schooling when Incomes are Risky
    Journal of Political Economy, 1979, 87, (3), 522-39 View citations (30)

1978

99. Unanticipated money, output, and prices in the small economy
    Economics Letters, 1978, 1, (1), 23-27
    See also Working Paper Unanticipated Money, Output, and Prices in the Small Economy, University of Western Ontario, Departmental Research Report Series (1978) (1978)

1976

100. Optimum Trade Restrictions and Their Consequences
     Econometrica, 1976, 44, (4), 777-86 View citations (1)

1952

101. A MAJOR COLLECTION OF EARLY WORKS ON POLITICAL ECONOMY
     The Economic Record, 1952, 28, (1-2), 281-282

Books

2004

1. New Perspectives in Econometric Theory
   Books, Edward Elgar Publishing View citations (1)

1998

2. Advances in Econometric Theory
   Books, Edward Elgar Publishing

Edited books

1999

1. Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger
   OUP Catalogue, Oxford University Press View citations (495)

Chapters

2014

1. Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing☆A glossary of notation and the program codes written in GAUSS for our simulations are available at:http://web.yonsei.ac.kr/jinseocho/research.htm
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 491-556

2012

2. Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression
   A chapter in Essays in Honor of Jerry Hausman, 2012, pp 355-434 View citations (1)

2006

3. Approximate Nonlinear Forecasting Methods
   Elsevier View citations (57)

2003

4. ESTIMATION, INFERENCE, AND SPECIFICATION TESTING FOR POSSIBLY MISSPECIFIED QUANTILE REGRESSION
   A chapter in Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, 2003, pp 107-132 View citations (11)
   See also Working Paper Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression, Department of Economics, UC San Diego (2002) View citations (9) (2002)