| Shen, S., Zhang, Z., and Zivot, E. (2024) "Leverage Corrections to Price Discovery Measures with an Application to Leveraged Exchange-Traded Funds," Working Paper, Department of Economics, University of Washington. |
Publications, Working Papers |
Applied Econometrics, Econometrics, Financial Economics, Time Series |
| Yingyao Hu, Yuya Sasaki, Yi Xin, "Dynamic Discrete Choice Models with Incomplete Data: Sharp Identification", Journal of Econometrics, 2023. |
Publications, Articles |
Econometrics |
| Griffith, Alan, and Jungyoun Kim. 2023. "The Impact of Missing Links on Linear Reduced-form Network-Based Peer Effects Estimates.” Working Paper. |
Publications, Working Papers |
Econometrics, Social Networks |
| Griffith, Alan, and Sida Peng. 2023. "Identification of Network Structure in the Presence of Latent, Unobserved Factors: A New Result using Turán’s Theorem." Working Paper. |
Publications, Working Papers |
Econometrics, Social Networks |
| Jorge Andres Rivero (2023). Unobserved Grouped Heteroskedasticity and Fixed Effects. |
Publications, Working Papers |
Applied Econometrics, Econometrics, Labor Economics, Machine Learning, Political Economy |
| Griffith, Alan. 2022. "Name Your Friends but Only Five? The Importance of Censoring in Peer Effects Estimates using Social Network Data.” Journal of Labor Economics 40(4): 779-805. |
Publications, Articles |
Econometrics, Labor Economics |
| Jorge Andres Rivero, Pierluigi Vellucci, A solution for the greedy approximation of a step function with a waveform dictionary, Communications in Nonlinear Science and Numerical Simulation, 2022, 106890, ISSN 1007-5704, https://doi.org/10.1016/j.cnsns.2022.106890 [doi.org] |
Publications, Articles |
Econometrics |
| Fan, Y., X. Shi, and J. Tao (2022), "Partial Identification and Inference in Moment Models with Incomplete Data,” Forthcoming at Journal of Econometrics. |
Publications, Articles |
Econometrics |
| Taisuke Otsu, Martin Pesendorfer, Yuya Sasaki, Yuya Takahashi, Estimation of (static or dynamic) games under equilibrium multiplicity, International Economic Review, 2021. |
Publications |
Econometrics |
| Fan, Y. and M. Henry (2021), “Vector Copulas,” Forthcoming at Journal of Econometrics. |
Publications, Articles |
Econometrics |
| “Price Discovery Share-An Order Invariant Measure of Price Discovery with Application to Exchange-Traded Funds,” with Sayed Galib Sultan. Working Paper, February 2015, updated August 2020. |
Publications, Working Papers |
Applied Econometrics, Econometrics, Financial Economics, Time Series |
| Boudt, K., Galanos, A., Payseur, S., and Zivot, E. (2019) "Multivariate GARCH models for large-scale applications: A survey” in Handbook of Statistics 41: Conceptual Econometrics Using R, H. Vinodand C.R. Rao (ed), Elsevier, September 2019. |
Publications, Articles |
Econometrics, Financial Economics, Time Series |
| Sequentially Adaptive Bayesian Learning Algorithms for Inference and Optimization. Garland Durham and John Geweke, 2015. |
Publications, Articles |
Econometrics |
| Sequentially Adaptive Bayesian Learning for a Nonlinear Model of the Secular and Cyclical Behavior of US Real GDP. John Geweke, 2015. |
Publications, Articles |
Econometrics |
| John Geweke. Current Trends in Bayesian Methodology with Applications (S.K. Upadhyay, U. Singh, D. K. Dey and A. Loganathan, eds.) CRC Press. Chapter 14, 289-312, 2015. |
Publications, Articles |
Econometrics |
| Geweke, J. & Petrella, L. 2014, 'Likelihood-based Inference for Regular Functions with Fractional Polynomial Approximations', Journal of Econometrics, vol. 183, no. 1, pp. 22-30. |
Publications, Articles |
Econometrics |
| John Geweke and Bart Frischknecht, 2014. Exact Optimization by Means of Sequentially Adaptive Bayesian Learning |
Publications, Articles |
Econometrics |
| Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments. Advances in Econometrics (Ivan Jeliazkov and Dale J. Poirier, eds.). Bayesian Model Comparison (Advances in Econometrics, Volume 34) Emerald Group Publishing Limited. Chapter 1, 1-44. |
Publications, Articles |
Econometrics |
| Peter Fuleky and Eric Zivot, "Indirect Inference Based on the Score," The Econometrics Journal 17 (2014), 383-393. |
Publications |
Econometrics |
| Yanqin Fan and Sang Soo Park, "Nonparametric Inference for Counterfactual Means: Bias-correction, Confidence Sets, and Weak IV," Journal of Econometrics 178 (2014), 45-56. |
Publications |
Econometrics |
| Heng Chen, Yanqin Fan, and Jisong Wu, "A Flexible Parametric Approach to Estimating Switching Regime Models and Treatment Effect Parameters," Journal of Econometrics 181 (2014), 77-91. |
Publications |
Econometrics |
| Yu-chin Chen , Stephen J. Turnovsky, and Eric Zivot, "Forecasting Inflation using Commodity Price Aggregates." Journal of Econometrics 183 (2014), 117-134. |
Publications |
Econometrics, International Finance, Macroeconomics |
| Yanqin Fan, Robert Sherman, and Matthew Shum. "Identifying Treatment Effects Under Data Combination." Econometrica 82 (2014), 811-22. |
Publications, Articles |
Econometrics |
| Fan, Yanqin, Serge Darolles, Jean-Pierre Florens, and Eric Renault. "Nonparametric Instrumental Regression." Econometrica 79.5 (2011): 1541-565. Web. |
Publications, Articles |
Econometrics |
| “Estimating the Dynamics of Price Discovery,” with Bingchen Yan. Working Paper, January 2010. |
Publications, Working Papers |
Econometrics, Exchange Rates, Financial Economics, International Finance, Time Series |
