Current Research
Published Articles
Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified, with Charles R. Nelson, Richard Startz, Studies in Nonlinear Dynamics & Econometrics, Vol. 11 (2007), No. 1, Article 1.
The Characteristics of 'Club Convergence' of China's Economic Growth and Its Causes, with Kunrong Shen, Economic Research Journal (in Chinese), 2002, No.1, 33-9.
Working Papers
Consumption Persistence and the Equity Premium Puzzle: New Evidence Based on Improved Inference. submitted
Valid Inference for a Class of Models Where Standard Inference Performs Poorly; Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components, with Charles R. Nelson. submitted
Is There a Structural Break in the Risk Free Interest Rate Dynamics?
Manucripts in Preparation
Sources of the Great Moderation: A Time Series Analysis of GDP Subsectors, with Walter Enders.