with Sophocles Mavroeidis
Journal of Econometrics, forthcoming.
— Robust Cointegration Testing in the Presence of Weak Trends, with an
Econometric Reviews, forthcoming.
This papers shows how valid inference on cointegration can obtain in the presence of unnoticed (nonlinear) trends. An application is provided to assessing the long run causal nature of radiative forcing of human origin for global temperatures.
with Sophocles Mavroeidis and Michael Massmann.
Journal of Monetary Economics, 57(3), 341-51 (2010), (doi)
— Physical Market Determinants of the Price of Crude Oil and the Market Premium
with Christine Rifflart. (pdf, data, doi)
Energy Economics, 31(4) (2009), pp 537-49.
— Multi-step Forecasting in Emerging Economies: an Investigation of
the South African GDP. (pdf, doi) and unpublished supplement
International Journal of Forecasting, 25(3) (2009) pp 602–28.
— Multi-step forecast error corrections: A comment on “Evaluating Predictive Densities of U.S. Output Growth and Inflation in a Large Macroeconomic Data Set”,
— Long Memory through Marginalization of Large Systems and Hidden
Cross-Section Dependence (with Alain Hecq, Maastricht, and Sébastien Laurent, Aix- Marseille & GREQAM) (pdf)
— Robust inference in structural VARs with long-run restrictions
with Sophocles Mavroeidis (Oxford) and Zhaoguo Zhan (Kennesaw)
— Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model. (pdf)
with A. Banerjee (Durham University) and M. Kratz (Essec)
Reject/Resubmit to Quantitative Economics.