• Estimating and Testing a Quantile Regression Model with Interactive Effects

• Testing for the Markov Property in Time Series

• Luc Bauwens

• Toru Kitagawa

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  Identification at the Zero Lower Bound

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  Inference for Matched Tuples and Fully Blocked Factorial Designs

• Juan Rubio-Ramirez

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  The Information Matrix Test for Markov Switching Autoregressions with Covariate-dependent Transition Probabilities

• Semi-parametric Bayesian Partially Identified Models based on Support Function

• A Generalized Focused Information Criterion for GMM Model and Moment Selection

• Understanding the Size of the Government Spending Multiplier: It's All in the Sign

• Optimal Retrospective Sampling for a Class of Variable Dimension Models

• Microstructure Noise and the Dynamics of Volatility (joint work with Jin-Chuan Duan from NUS)

• "Current Themes and New Directions in Realized Volatility

• Domenico Giannone