working papers

Feasible GLS for Time Series Regression” (with Emilio González-Coya), Revised June 2023, submitted.

Prewhitened Long-Run Variance Estimation Robust to Nonstationarity,” (with Alessandro Casini), Revised January 2024, re-submitted. 

Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference,” (with Alessandro Casini and Taosong Deng), Revised January 2024, re-submitted.

Continuous Record Asymptotics for Change-Point Models,” (with Alessandro Casini), Revised January 2024, re-submitted.

Trigonometric Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise,” (with Mototsugu Shintani and Tomoyoshi Yabu), January 2020, to be revised.

mbreaks: R Package for Estimating and Testing Multiple Structural Changes in Linear Regression Models,” (with Linh Nguyen and Yohei Yamamoto), January 2023.