Fields:

Theoretical and applied econometrics

Expertise:

• Econometric theory
• Semiparametric and nonparametric estimation
• Bootstrap methods
• Functional data analysis
• Estimation of high-dimensional models

• Nonparametric Estimation with Shape Restrictions
• Estimation of High-Dimensional Models
• Nonparametric Instrumental Variables
• Functional Data Analysis

Semiparametric Methods in Econometrics, Springer-Verlag, 1998.

Air Quality Analysis for Urban Transportation Planning, MIT Press, 1982.

Some Recent Articles:

"Asymptotic Properties of Bridge Estimators in Sparse High-Dimensional Regression Models,' Annals of Statistics, 36, 587-613, 2008 (with J. Huang and S. Ma).

"Rate-Optimal Estimation of a General Class of Nonparametric Regression Models with Unknown Link Functions," Annals of Statistics, 35, 2589-2619, 2007 (with E. Mammen).

"A Nonparametric Test of Exogeneity," Review of Economic Studies, 74, 1035-1058, 2007 (with R. Blundell).

"Methodology and Covergenced Rates for Functional Linear Regression," Annals of Statistics, 35, 70-91, 2007 (with P. Hall).

"Nonparametric Instrumental Variables Estimation of a Quantile Regression Model," Econometrica, 75, 1191-1208, 2007 (with S. Lee).

"Testing a Parametric Model against a Nonparametric Alternative with Identification through Instrumental Variables," Econometrica, 74, 521-538, 2006.

"Optimal Estimation in Additive Regression Models," Bernoulli 12, 271-298, 2006 (with J. Klemelä and E. Mammen).

"Nonparametric Methods for Inference in the Presence of Instrumental Variables," Annals of Statistics, 33,2904-2929,2005 (with P. Hall).

"Nonparametric Estimation of an Additive Quantile Regression Model," Journal of the American Statistical Association, 100, 1238-1249, 2005 (with S. Lee).

"Nonparametric Estimation of an Additive Model with a Link Function," Annals of Statistics, 32, 2412-2443, 2005 (with E. Mammen).

 "Bootstrap Methods for Markov Processes,” Econometrica, 71, 1049-1082, 2003.

Software:

Click here to obtain GAUSS and MATLAB programs that implement some of the estimators described in the foregoing papers.

Working Papers:

• Variable Selection in Nonparametric Additive Models (with J. Huang and F.Wei).
• Specification Testing in Nonparametric Instrumental Variables Estimation
• Testing a Parametric Quantile Regression Model with an Endogenous Explanatory Variable against a Nonparametric Alternative (with S. Lee).
• Oracle-Efficient Nonparametric Estimation of an Additive Model with an Unknown Link Function (with Enno Mammen)
• Goodness-of-Fit Tests for Functional Data (with Federico Bugni, Peter Hall, and George Neumann)