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, forthcoming in Econometric Theory, 2022.
• “Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility”, with N’Golo Koné, forthcoming in Journal of Financial Econometrics, 2023

• “Kernel estimation of the density of a change-point”, with Hugo Peltier.
• “ Hansen-Jagannathan distance with many assets ”, with Cheikh Nokho.
• “ Score-type tests for normal mixtures ”, with Dante Amengual, Xinyue Bei, and Enrique Sentana.
• “Theoretical Comparison of the Functional Principal Component Analysis and Functional Partial Least Squares”, with Idriss Tsafack.

•  “Optimal Portfolio Selection Using Regularization”, with Nérée Noumon.