Publications April, 2010-
"Sequential estimation of structural models with a fixed point constraint," (with Hiroyuki Kasahara), February 2012. Forthcoming in Econometrica.
"Exact local Whittle estimation of fractionally cointegrated systems," Forthcoming in Journal of Econometrics.
"Empirical likelihood block bootstrapping," (with Jason Allen and Allan W. Gregory), Journal of Econometrics 161, April 2011, 110-121.
"Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity," (with Tatsuyoshi Okimoto), Journal of the Japanese and International Economies 24, September 2010, 395-411.
"Exact local Whittle estimation of fractional integration with unknown mean and time trend," Econometric Theory 26, April 2010, 501-540.

2000 - 2009
"Improvement in finite sample properties of the Hansen-Jagannathan distance test," (with Yu Ren), Journal of Empirical Finance, 16, June 2009, 483-506.
"Nonparametric identification of finite mixture models of dynamic discrete choices," (with Hiroyuki Kasahara), Econometrica, 77, January 2009, 135-175.
"Covariance-based orthogonality tests for regressors with unknown persistence," (with Alex Maynard), Econometric Theory 25, January 2009, 63-116.
"Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models," (with Hiroyuki Kasahara), Journal of Econometrics 146, September 2008, 92-106.
"Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," (with Morten Ø. Nielsen), Journal of Econometrics 141, December 2007, 574-596.
"Gaussian semiparametric estimation of multivariate fractionally integrated processes," Journal of Econometrics 137, April 2007, 277-310.
"Local Whittle estimation of fractional integration and some of its variants," (with Peter C .B. Phillips), Journal of Econometrics 103, February 2006, 209-233.
"Exact local Whittle estimation of fractional integration," (with Peter C. B. Phillips), Annals of Statistics 33, August 2005, 1890-1933.
"Local Whittle estimation in nonstationary and unit root cases," (with Peter C. B. Phillips), Annals of Statistics 32, April 2004, 656-692.
"Pooled log periodogram regression," (with Peter C. B. Phillips), Journal of Time Series Analysis 23, January 2002, 57-93.