Publications
Detection of units with pervasive effects in large panel data models, with G. Kapetanios and M.H. Pesaran, Journal of Econometrics (forthcoming). Stata command, Matlab functions.
Estimation of factor-augmented panel regressions with weakly influential factors, with Joakim Westerlund, Econometric Reviews, 37(5), pp. 401-465, 2018.
Identifiability issue of age-period and age-period-cohort models of the Lee-Carter type, with Eric Beutner and Jean-Pierre Urbain. Insurance: Mathematics and Economics 75, pp. 117-125, July 2017.
A factor analytical approach to price discovery, with Joakim Westerlund and Paresh Narayan, Oxford Bulletin of Economics and Statistics 97(3), pp. 366-394, June 2017.
On the role of of the rank condition in CCE estimation of factor-augmented panel regressions, with Hande Karabiyik and Joakim Westerlund, Journal of Econometrics 197(1), pp. 60-64, March 2017.
PANICCA - PANIC on cross-section averages, with Joakim Westerlund, Journal of Applied Econometrics 31(6), pp. 961-981, September/October 2016. Stata command.
Testing for structural breaks in the presence of data perturbations: impacts and wavelet-based improvements, with Yushu Li, Journal of Statistical Computation and Simulation, 85(17), pp.3478-3479, 2015.
Wavelet improvement in turning point detection using a hidden Markov model:from the aspects of cyclical identification and outlier correction, with Yushu Li, Computational Statistics, 29(6), pp. 1481-1496, December 2014.
Estimation of factor-augmented panel regressions with weakly influential factors, with Joakim Westerlund, Econometric Reviews, 37(5), pp. 401-465, 2018.
Identifiability issue of age-period and age-period-cohort models of the Lee-Carter type, with Eric Beutner and Jean-Pierre Urbain. Insurance: Mathematics and Economics 75, pp. 117-125, July 2017.
A factor analytical approach to price discovery, with Joakim Westerlund and Paresh Narayan, Oxford Bulletin of Economics and Statistics 97(3), pp. 366-394, June 2017.
On the role of of the rank condition in CCE estimation of factor-augmented panel regressions, with Hande Karabiyik and Joakim Westerlund, Journal of Econometrics 197(1), pp. 60-64, March 2017.
PANICCA - PANIC on cross-section averages, with Joakim Westerlund, Journal of Applied Econometrics 31(6), pp. 961-981, September/October 2016. Stata command.
Testing for structural breaks in the presence of data perturbations: impacts and wavelet-based improvements, with Yushu Li, Journal of Statistical Computation and Simulation, 85(17), pp.3478-3479, 2015.
Wavelet improvement in turning point detection using a hidden Markov model:from the aspects of cyclical identification and outlier correction, with Yushu Li, Computational Statistics, 29(6), pp. 1481-1496, December 2014.
Work in progress
The incidental parameters problem in testing for remaining cross-section correlation, with A. Juodis, arXiv preprint arXiv:1810.03715.
A Hausman test for cross-section dependence in linear panel regression models.
Asymptotic inference in the Lee-Carter model for modelling mortality rates.
A Hausman test for cross-section dependence in linear panel regression models.
Asymptotic inference in the Lee-Carter model for modelling mortality rates.