Recent Working Papers (under Review)

"Estimation of Treatment Effects in Repeated Public Good Experiments" May 2012, PPT slide

"Exchange Rates as Exchange Rate Common Factors" March 2012 (with Ryan Greenaway-McGrevy, Nelson Mark and Jyh-Lin Wu)

“The Role of Standardization in the Estimation of Common Factors,” Oct 2010 (with Ryan Greenaway-McGrevy and Chirok Han)

"Measuring Core Inflation under Price Divergence" July 2011 (with Ryan Greenaway-McGrevy and Youngse Kim)

Published Papers and Book Chapters

All papers below are copyrighted by their publishers and are not to be reproduced without the permission of the publishers.

1. “Estimating the Number of Common Factors in Serially Dependent Approximate Factor Models”, forthcoming in Economics Letters Additional MC results (with Ryan Greenaway-McGrevy and Chirok Han)

2. "Common Drivers of Transnational Terrorism: Principal Component Analysis" forthcoming in Economic Inquiry (with K. Gaibulloev and T. Sandler)

3. "When Are Pooled Panel-Data Regression Forecasts of Exchange Rates More Accurate than the Time-Series Regression Forecasts?", forthcoming in J. James, I.W. Marsh and L. Sarno, eds., Handbook of Exchange Rates (with Nelson C. Mark)

4. X-Differencing and Dynamic Panel Model Estimation, forthcoming in Econometric Theory (with Chirok Han and P.C.B. Phillips)

5. Asymptotic Distribution of Factor Augmented Estimators for Panel Regression’ forthcoming in Journal of Econometrics (with R. Greenaway-McGrevy and C. Han).

6. Uniform Asymptotic Normality in Stationary and Unit Root Autoregression,’’ Econometric Theory 2011, 27 (6), 1117--1151 (with C. Han and P.C.B. Phillips)

7. Bias Reduction in Dynamic Panel Data Models by Recursive Mean Adjustment under Cross Section Dependence Oxford Bulletin of Economics & Statistics, 2010, 72 (7), 567--599 (with CY Choi and Nelson C. Mark)

8. Panel Unit Root Tests under Cross Section Dependence with Recursive Mean Adjustment” Economics Letters 2009, 105 (1). 123-126, Detail Critical values for CRMA tests (Excel File).Example Gauss Code

9. Economic Transition and Growth” Journal of Applied Econometrics 2009, 24, 1153-1185 (with P.C.B. Phillips). Example Gauss Code

10. Endogenous Discounting, the World Savings Glut and the U.S. Current Account” 2008 (with Horag Choi and Nelson C. Mark) Journal of International Economics, 30—53.

11. Transition Modeling and Econometric Convergence Tests” 2007 (with P.C.B. Phillips) Econometrica, Vol 75, 1771-1855.  Power Point Slides by Sul, Gauss Code for Clustering Algorithm Data

12. Some Empirics on Economic Growth under Heterogeneous Technology:” 2007 (with P.C.B. Phillips) Journal of Macroeconomics, 455-469.

13. Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence” 2007 (with P.C.B. Phillips). Journal of Econometrics, 137, 162-188.

14. Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data” 2006, (with C.Y. Choi and N.C. Mark) Journal of Money, Credit, and Banking, 921-938. Data, Gauss Code

15. Prewhitening Bias in HAC Estimation” 2005 (with P.C.B. Phillips and C.Y. Choi) Oxford Bulletin of Economics & Statistics, vol. 67, 517-546. Additional Monte Carlo Results

16. Dynamic Seemingly Unrelated Cointegrating Regression” 2005 (with N.C. Mark and M. Ogaki), Review of Economic Studies, 72, 797-820.  Gauss Code

17. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence (with P.C.B. Phillips), Econometrics Journal, 2003, Vol. 6. 217—260. Gauss Code

18. Cointegration vector estimation by panel DOLS and long-run money demand  (with N.C. Mark), Oxford Bulletin of Economics & Statistics, 2003, Vol 65, 655-680. Gauss Code (Updated Aug 2010)

19. Spatial Market Efficiency and Policy Regime Change: Seemingly Unrelated Error Correction Model Estimation (with S.R. Thompson, M.T. Bohl), American Journal of Agricultural Economics, 2002, 84(4), 1042—1053.

20. Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Seventeen Country Panel  (with N.C. Mark), Journal of International Economics, 2001, 53, 29-52.

21. Excess Volatility of Realized Excess Profit from Currency Speculation in a Two-Country General Equilibrium Model Review of International Economics, 1999, 7, 280-292.

22. Does Ex Post Uncovered Interest Differential Reflect on the Degrees of Capital Mobility? Applied Economics Letters, 1999, 6, 97-102.