Publications

Fitting Vast Dimensional Time-Varying Covariance Models
with Robert F Engle, Neil Shephard and Kevin K Sheppard
Journal of Business & Economic Statistics, 2021, Volume 39(3), pp. 652-668
[Working Paper][Journal Link][Supplementary Appendix]

Bias Reduction in Nonlinear and Dynamic Panels in the Presence of Cross-Section Dependence
Journal of Econometrics, 2019, Volume 213(2), pp. 459-492
[Working Paper][Journal Link][Supplementary Appendix]

Nuisance Parameters, Composite Likelihoods and a Panel of GARCH Models
with Neil Shephard and Kevin K Sheppard
Statistica Sinica, 2011, Volume 21(1), pp. 307-329
[Working Paper][Journal Link]

 

 

Work in Progress

Bounds on Average Effects in Discrete Choice Panel Data Models (with Martin Weidner)
– working paper coming soon

Second-Order Bias Correction of the Integrated Likelihood Estimator in Nonlinear Panel Models (with Geert Dhaene)

Estimation of Average Effects in Nonlinear Panel Models in the Presence of Cross-Section Dependence