Research

Uncertainty and Policy Aggressiveness

with Roger Craine
American Statistical Association, Proceedings of the Economics and Business Statistics Section 1985: 146-150

A Course in Econometrics: A Review

Econometric Theory 1992, 8(3): 407-412

On the Finite Sample Behavior of Adaptive Estimators

Journal of Econometrics 1992, 54(3): 371-400

Adaptive Estimation in Time Series Regression Models

Journal of Econometrics 1992, 54(2): 251-275

Reply to 'Comment on Adaptive Estimation in Time Series Regression Models'

Journal of Econometrics 1995, 66(1): 131-132

Purchasing Power Parity, Unit Roots, and Dynamic Structure

Journal of Empirical Finance 1996, 2(4): 343-357

Testing for Absolute Purchasing Power Parity

with Collin Crownover and John Pippenger
Journal of International Money and Finance 1996, 15(5): 783-796

Econometric Estimation of Foresight: Tax Policy and Investment in the U.S.

with Charles Stuart
Review of Economics and Statistics 1997, 79(1): 32-40

Uniformly Adaptive Estimation for Models with ARMA Errors

Econometric Reviews 1997, 16(4): 393-409

Asymptotic Bias for Quasi-Maximum Likelihood Estimators in Models with Conditional Heteroskedasticity

with Whitney Newey
Econometrica 1997, 65(3): 587-599

Consumption Adjustment Under Time-Varying Income Uncertainty

with Joon-Ho Hahm
Review of Economics and Statistics 1999, 81(1): 32-40

Adaptive Testing in ARCH Models

with Oliver Linton
Econometric Reviews 2000, 19(2): 145-174

Optimal Policies for Investment with Time-Varying Return Distributions

with Doncho Donchev and Svetlozar Rachev
Journal of Computational Analysis and Applications 2002, 4(4): 269-312

Private Information and High-Frequency Stochastic Volatility

with David Kelly
Studies in Nonlinear Dynamics and Econometrics 2004, 8(1): 1-30

Inferring Information Frequency and Quality

with John Owens
Journal of Financial Econometrics 2005, 3(4): 500-524

Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity

with Jack Erb
Journal of Statistical Computation and Simulation 2011, 81(6): 729-747

The Underground Economy of Fake Antivirus Software

with Brett Stone-Gross, Ryan Abman, Richard Kemmerer, Christopher Kruegel and Giovanni Vigna
Proceedings of the Workshop on Information Security 2011, June: Fairfax, Virginia.

Testing for Regime Switching: A Comment

with Andrew Carter
Econometrica 2012, 80(4): 1809-1812
Econometrica Supplement · Complete Working Paper

Mexican Maize Production: Evolving Organizational and Spatial Structures Since 1980

with Stuart Sweeney, Frank Davenport and Hallie Eakin
Applied Geography 2013, 39(May): 78-92

Markov Regime-Switching Tests: Asymptotic Critical Values

with Andrew Carter
Journal of Econometric Methods 2013, 2(1): 25-34
· Technical Note · R Program · Matlab Program · Matlab Program Documentation

Obtaining Critical Values for Test of Markov Regime Switching

with Valerie Bostwick
Stata Journal 2014, 14(3): 481-498
Stata Program

Consumption Function

in Social Science Encyclopedia Third Edition
Adam Kuper and Jessica Kuper (editors)
Taylor and Francis 2004: 169-170
Complete Working Paper

Open Trade, Price Supports, and Regional Price Behavior in Mexican Maize Markets

with Frank Davenport and Stuart Sweeney
Economic Geography 2016, 92(2): 201-225

Modeling Volatilty Dynamics

in Commentary in Macroeconometrics: Developments, Tensions, and Prospects
Kevin Hoover (editor)
Kluwer 1995: 467-472

Time-Series Models

with Woody Studenmund
in Using Econometrics: A Practical Guide Fifth Edition
Pearson 2005: 420-446

Identifying a Source of Financial Volatility

with Richard Vagnoni
in Identification and Inference for Econometric Models
Donald Andrews and James Stock (editors)
Cambridge University Press 2005: 121-145

Noise Reduced Realized Volatility: A Kalman Filter Approach

with John Owens
in Advances in Econometrics Volume 20
Tom Fomby and Dek Terrell (editors)
Elsevier 2006: 211-227

Adaptive Estimation

in New Palgrave Dictionary of Economics Second Edition
Lawrence Blume and Steven Durlauf (editors)
Palgrave Macmillan 2008, Volume 1: 13-15
Complete Working Paper

Asymptotic Behavior of a t Test Robust to Cluster Heterogeneity

with Andrew Carter and Kevin Schnepel
Review of Economics and Statistics 2017, 99(4): 678-709

Inference for Clustered Data

with Chang Lee
Stata Journal 2018, 18(2): 447-460
Stata Program

Agricultural Change and Resilience: Agricultural Policy, Climate Trends, and Market Integration in the Mexican Maize System

with Kirsten Appendini, Julia Bausch, Frank Davenport, Candida Dewes, Hallie Eakin, Amy Lerner, Hugo Perales, and Stuart Sweeney
Anthropocene 2018, 23(September): 43-52

Do Download Reports Reliably Measure Usage? Trusting the Fox to Count Your Hens?

with Ted Bergstrom and Alex Wood-Doughty
College and Research Libraries 2019, 80(5): 694-719.

Causal Inference for Quantifying Displaced Primary Production from Recycling

with Roland Geyer, Joe Palazzo, and Dick Startz
Journal of Cleaner Production 2019, 210(February): 1076-1084.

Measuring the Effect of Environmental Policies using Panel Data

with Gonzalo Vazquez-Bare and Jason Maier
Journal of the Association of Agricultural and Resource Economists 2021, 8(2): 277-313.

Asymptotic Power of a Likelihood Ratio Test for a Mixture of Normal Distributions

with Andrew Carter

Volatilty

with Stephen LeRoy
in Handbooks in Operations Research and Management Science Volume 9 – Finance
Robert Jarrow, Vojislav Maksimovic and William Ziemba (editors)
North-Holland 1995: 411-432