Publications
Selected publications (click on the title to access paper)
- “Generalization of GMM to a Continuum of Moment Conditions” (with Jean-Pierre Florens), 2000, Econometric Theory, Vol. 16, 797-834 (lead article).
- “ß-mixing and Moment Properties of RCA models with application to GARCH(p,q)” (with Xiaohong Chen), 2000, Comptes Rendus de l’Académie des Sciences, t.331, Serie I, 85-90.
- “Mixing and Moment Properties of Various GARCH and Stochastic Volatility Models“ (with Xiaohong Chen), 2002, Econometric Theory, Vol. 18, No. 1, 17-39. Erratum.
- “Misspecified Structural Change, Threshold and Markov-Switching Models“, 2002, Journal of Econometrics, Vol. 109, No.2, 239-273.
- “Simulation Based Method of Moments and Efficiency”, (with J.-P. Florens), 2002, Journal of Business & Economic Statistics, Vol. 20, No. 4, 482-492.
- “Policy evaluation in macroeconometric doubly stochastic models”, (with Stéphane Grégoir), Annales d’Economie et de Statistique, Juillet/Decembre 2002, 73-109.
- “Tests for unit-root versus Threshold specification with an application to the PPP“, (with Frederique Bec and Melika Ben Salem), 2004, Journal of Business & Economic Statistics , Vol. 22, No. 4, 382-395. [PDF file]
- “Efficient estimation of general dynamic models with a continuum of moment conditions“, (with Mikhail Chernov, Jean-Pierre Florens, and Eric Ghysels), 2007, Journal of Econometrics, 140, 529-573. Matlab programs used in this paper [zipped files].
- “Linear Inverse Problems and Structural Econometrics: Estimation Based on Spectral Decomposition and Regularization”, (with Jean-Pierre Florens and Eric Renault), Handbook of Econometrics, Vol. 6B, edited by J. Heckman and E. Leamer, 2007.
- “Method of Moments”, The International Encyclopedia of the Social Sciences, 2d edition, Thomson Gale, 2007.
- “Nonlinearity and Temporal Dependence” (with Xiaohong Chen and Lars Peter Hansen), 2010, Journal of Econometrics, Vol 155, 2, 155-169.
- “Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model”, (with Frédérique Bec and Mélika Ben Salem), 2010, Annales d’Économie et de Statistique, Number 99/100.
- “Spectral method for deconvolving a density”, (with J.-P. Florens), 2011, Econometric Theory, 27, issue 03, p. 546-581.
- “A regularization approach to the many instruments problem”, 2012, Journal of Econometrics, Vol 170, 2, 383-398.
- “Editors’ Introduction”, (with M. Caner, E. Renault, and Y. Kitamura), 2012, Journal of Econometrics, Vol 170, 2, 251-255.
- “Asymptotic Normal Inference in Linear Inverse Problems”, (with Jean-Pierre Florens and Eric Renault), 2014, in the Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics, Oxford University Press.
- “Optimal Test for Markov Switching Parameters”, (with Liang Hu and Werner Ploberger), 2014, Econometrica, Vol 82, N.2, 765-784. Appendix. Data and GAUSS programs used in this paper.
- “On the asymptotic efficiency of GMM” (with Jean-Pierre Florens), 2014, Econometric Theory, Vol 30, Issue 2, 372-406.
- “Regularized LIML for many instruments” (with Guy Tchuente), 2015, Journal of Econometrics, 186, 427-442. Matlab programs.
- “Editorial: High dimensional problems in econometrics” (with Silvia Goncalves, Victor Chernozhukov, and Eric Renault), 2015, Journal of Econometrics, 186, 277-279.
- “Adaptive Realized Kernels” (with Rachidi Kotchoni), 2015, Journal of Financial Econometrics, Vol. 13, N.4, 757-797.
- “ Efficient estimation with many weak instruments using regularization techniques” (with Guy Tchuente), 2016, Econometric Reviews, 35, 1609-1637.
- “In-sample Inference and Forecasting in Misspecified Factor Models” (with Barbara Rossi), 2016, Journal of Business & Economic Statistics, Vol. 34, N.3, 313-338 (with comments and rejoinder).
- “Efficient Estimation using the Characteristic Function” (with Rachidi Kotchoni), 2017, Econometric Theory, Vol 33, 2, 479-526.
- “Efficient estimation using regularized Jackknife IV estimator”, with Mohamed Doukali, Annals of Economics and Statistics, N. 128, December 2017.
- “Functional linear regression with functional response”, with David Benatia and Jean-Pierre Florens, 2017, Journal of Econometrics, 201, 269-291. Matlab code and data.
- “The continuum-GMM Estimation: Theory and Application” (with Rachidi Kotchoni), in International Financial Markets, Vol 1. Editors: Julien Chevallier, Stéphane Goutte, David Guerreiro, Sophie Saglio, Bilel Sanhaji, Routledge. 2019.
- “Testing distributional assumptions using a continuum of moments”, with Dante Amengual and Enrique Sentana, Journal of Econometrics, 2020, 218, 655-689.
- “Editor’s introduction: Special Issue in Honor of Jean-Marie Dufour on Identification, Inference, and Causality” (with Marcelo Moreira, Benoit Perron, Victoria Zinde-Walsh), Journal of Econometrics, 2020, 218, 243-246.
- “Testing overidentifying restrictions with many instruments and heteroskedasticity using regularized Jackknife IV”, with Mohamed Doukali, The Econometrics Journal, 2022, 25, 71-97. Replication package.
- “Risk Neutral Density Estimation with a Functional Linear Model”, with Idriss Tsafack, in Essays in honor of Joon Y. Park, Advances in Econometrics, Vol. 45B, 2023. Online appendix.
- “Regularized Estimation of Dynamic Panel Models”, with Ada Nayihouba, Econometric Theory, 2024, 40, 360-418.
- “Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility”, with N’Golo Koné, Journal of Financial Econometrics, 2024, 22, 908-953.
- “ Score-type tests for normal mixtures ”, with Dante Amengual, Xinyue Bei, and Enrique Sentana, forthcoming in Journal of Econometrics.
Working papers
- “Kernel estimation of the density of a change-point”, with Hugo Peltier.
- “Functional Partial least-squares: optimal rates and adaptation”, with Andrii Babii and Idriss Tsafack.
- “ Hansen-Jagannathan distance with many assets ”, with Cheikh Nokho.
- “Optimal Portfolio Selection Using Regularization”, with N’Golo Koné and Nérée Noumon.
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