"Tests for parameter instability in regressions with I(1) Processes." Journal of Business and Economic Statistics (1992). [Download].
"Testing for parameter instability in linear models." Journal of Policy Modeling (1992). [Download].
"The likelihood ratio test under non-standard conditions: Testing the Markov switching model of GNP." Journal of Applied Econometrics, (1992 and 1996). [Download].
"Autoregressive conditional density estimation." International Economic Review, (1994). [Download].
"Rethinking the univariate approach to unit root tests: How to use covariates to increase power." Econometric Theory, (1995). [Download].
"Are seasonal patterns constant over time? A test for seasonal stability." with Fabio Canova, Journal of Business and Economic Statistics, (1995). [Download].
"Inference when a nuisance parameter is not identified under the null hypothesis." Econometrica, (1996). [Download].
"Residual-based tests for cointegration in models with regime shifts." with Allan Gregory, Journal of Econometrics, (1996). [Download].
"Approximate asymptotic p-values for structural change tests." Journal of Business and Economic Statistics, (1997). [Download].
"Inference in TAR models." Studies in Nonlinear Dynamics and Econometrics, (1997). [Download].
"Threshold effects in non-dynamic panels: Estimation, testing and inference." Journal of Econometrics, (1999). [Download].
"Testing for Linearity." Journal of Economic Surveys, (1999). [Download].
"The grid bootstrap and the autoregressive model." Review of Economics and Statistics, (1999). [Download].
"Sample splitting and threshold estimation." Econometrica, (2000). [Download].
"Testing for structural change in conditional models." Journal of Econometrics, (2000). [Download].
"Threshold Autoregression with a Unit Root." Econometrica (2001), with Mehmet Caner. [Download].
"The new econometrics of structural change: Dating Changes in U.S. Labor Productivity." Journal of Economic Perspectives (2001). [Download].
"Testing for threshold cointegration," with Byeongseon Seo, Journal of Econometrics (2002). [Download].
"Recounts from Undervotes: Evidence from the 2000 Presidential Election," Journal of the American Statistical Association (2003), 98, 292-298. [Download].
"How responsive are private transfers to income? Evidence from a laissez-faire economy."
with Donald Cox and Emmanuel Jimenez, Journal of Public Economics, (2004), 88, 2193-2219. [Download]."Instrumental Variable Estimation of a Threshold Model," with Mehmet Caner, Econometric Theory, (2004), 20, 813-843.[Download].
"Exact Mean Integrated Squared Error of Higher-Order Kernels." Econometric Theory (2005). [Download].
"Edgeworth expansions for the Wald and GMM statistics for nonlinear restrictions." Econometric Theory and Practice (2006). [Download].
"Interval Forecasts and Parameter Uncertainty." Journal of Econometrics (2006), 135, 377-398. [Download].
"Bandwidth Selection for Nonparametric Distribution Estimation." (5/2004), unpublished working paper. [Download].
"Nonparametric Estimation of Smooth Conditional Distributions." (5/2004), unpublished working paper. [Download].
"Least Squares Model Averaging." Econometrica (2007), 75, 1175-1189 [Download].
"Least Squares Forecast Averaging." (3/2006), unpublished working paper. [Download].
"Averaging Estimators for Autoregressions with a Near Unit Root." (5/2007), unpublished working paper. [Download].
"Jackknife Model Averaging." (7/2007) unpublished working paper [Download].