Tomohiro Ando : Citation Profile


Are you Tomohiro Ando?

University of Melbourne

8

H index

6

i10 index

123

Citations

RESEARCH PRODUCTION:

27

Articles

6

Papers

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 8
   Journals where Tomohiro Ando has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 16 (11.51 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pan527
   Updated: 2019-09-14    RAS profile: 2019-05-07    
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Relations with other researchers


Works with:

Bai, Jushan (9)

Authors registered in RePEc who have co-authored more than one work in the last five years with Tomohiro Ando.

Is cited by:

Baştürk, Nalan (12)

van Dijk, Herman (10)

Grassi, Stefano (6)

Çakmaklı, Cem (5)

Ceyhan Darendeli, Sanli (5)

Halla, Martin (4)

Okui, Ryo (4)

Fernández-Huertas Moraga, Jesús (4)

Gonzalez-Rivera, Gloria (4)

Ruiz, Esther (3)

Rodríguez Caballero, Carlos (3)

Cites to:

Bai, Jushan (21)

Watson, Mark (15)

van Dijk, Herman (14)

Zellner, Arnold (14)

Ng, Serena (12)

Stock, James (9)

Forni, Mario (9)

Kleibergen, Frank (9)

Pesaran, M (8)

Lippi, Marco (8)

Fama, Eugene (7)

Main data


Where Tomohiro Ando has published?


Journals with more than one article published# docs
Econometric Reviews4
International Journal of Forecasting4
Computational Statistics & Data Analysis2
Biometrika2
Applied Stochastic Models in Business and Industry2
Journal of the American Statistical Association2
Annals of the Institute of Statistical Mathematics2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany4
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Tomohiro Ando (2018 and 2017)


YearTitle of citing document
2017Time-varying coefficient estimation in SURE models. Application to portfolio management. (2017). Casas, Isabel ; Orbe, Susan ; Ferreira, Eva. In: CREATES Research Papers. RePEc:aah:create:2017-33.

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2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2018Confidence set for group membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Papers. RePEc:arx:papers:1801.00332.

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2018Heterogeneous structural breaks in panel data models. (2018). Okui, Ryo ; Wang, Wendun. In: Papers. RePEc:arx:papers:1801.04672.

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2018Panel Data Quantile Regression with Grouped Fixed Effects. (2018). Gu, Jiaying ; Volgushev, Stanislav. In: Papers. RePEc:arx:papers:1801.05041.

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2018Limit Theorems for Factor Models. (2018). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.06338.

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2019Optimal Estimation with Complete Subsets of Instruments. (2018). Lee, Seojeong ; Shin, Youngki. In: Papers. RePEc:arx:papers:1811.08083.

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2019Robust Nearly-Efficient Estimation of Large Panels with Factor Structures. (2019). Zaffaroni, Paolo ; Avarucci, Marco . In: Papers. RePEc:arx:papers:1902.11181.

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2019Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Bodnar, Taras ; Thors, Erik ; Parolya, Nestor ; Dette, Holger. In: Papers. RePEc:arx:papers:1908.04243.

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2017A random effect model for reconstruction of spatial chromatin structure. (2017). Park, Jincheol ; Lin, Shili. In: Biometrics. RePEc:bla:biomet:v:73:y:2017:i:1:p:52-62.

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2018What role for human capital in the growth process: new evidence from endogenous latent factor panel quantile regressions. (2018). Le Gallo, Julie ; Kostov, Philip ; LeGallo, Julie . In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:65:y:2018:i:5:p:501-527.

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2017Multi-level factor analysis of bond risk premia. (2017). Kim, Yunjung ; Yuhyeon, Bak ; Yunjung, Kim. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:5:p:19:n:2.

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2017Accurate Subsampling Intervals of Principal Components Factors. (2017). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

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2017Discovering pervasive and non-pervasive common cycles. (2017). Terrades, Antoni Espasa ; Real, Guillermo Carlomagno. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:25392.

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2018Growth in Stress. (2018). Gonzalez-Rivera, Gloria ; Ortega, Esther Ruiz ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:26623.

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2019Estimation of Weak Factor Models. (2019). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1053.

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2019Averaging estimators for discrete choice by M-fold cross-validation. (2019). Zhao, Shangwei ; Yang, Guangren ; Zhou, Jianhong . In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:65-69.

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2018Spatial weights matrix selection and model averaging for spatial autoregressive models. (2018). Zhang, Xinyu ; Yu, Jihai. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:1-18.

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2018Weighted-average least squares estimation of generalized linear models. (2018). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan R. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:1-17.

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2018Estimation of large dimensional factor models with an unknown number of breaks. (2018). Su, Liangjun ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:1-29.

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2019Model averaging based on leave-subject-out cross-validation for vector autoregressions. (2019). Zou, Guohua ; Zhang, Xinyu ; Zong, Xianpeng ; Liao, Jun. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:35-60.

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2019Sequentially adaptive Bayesian learning algorithms for inference and optimization. (2019). Durham, Garland ; Geweke, John. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:4-25.

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2019Credit spread approximation and improvement using random forest regression. (2019). Lardy, Jean-Pierre ; Mercadier, Mathieu. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:1:p:351-365.

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2017Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:52-68.

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2017Generalized canonical correlation variables improved estimation in high dimensional seemingly unrelated regression models. (2017). Zhao, LI ; Xu, Xingzhong. In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:119-126.

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2018Nets: network estimation for time series. (2018). Brownlees, Christian T ; Barigozzi, Matteo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90493.

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2017Weighted-average least squares estimation of generalized linear models. (2017). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan R. In: EIEF Working Papers Series. RePEc:eie:wpaper:1711.

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2017Simultaneous Spatial Panel Data Models with Common Shocks. (2017). Lu, Lina. In: Risk and Policy Analysis Unit Working Paper. RePEc:fip:fedbqu:rpa17-3.

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2017Copula-Based Factor Models for Multivariate Asset Returns. (2017). Ivanov, Eugen ; Ramsauer, Franz ; Min, Aleksey . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:20-:d:98854.

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2018Business Distress Prediction Using Bayesian Logistic Model for Indian Firms. (2018). Shrivastava, Arvind ; Kumar, Nitin. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:113-:d:174285.

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2018Confidence Set for Group Membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Working Papers in Economics. RePEc:hhs:gunwpe:0727.

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2017Discretizing Unobserved Heterogeneity. (2017). Bonhomme, Stephane ; Manresa, Elena ; Lamadon, Thibaut. In: Working Paper Series. RePEc:hhs:ifauwp:2017_021.

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2017Discretizing unobserved heterogeneity. (2017). Lamadon, Thibaut ; Manresa, Elena ; Bonhomme, Stephane. In: IFS Working Papers. RePEc:ifs:ifsewp:17/03.

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2017The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference. (2017). van Dijk, Herman ; Opschoor, Anne ; Hoogerheide, Lennart ; Grassi, Stefano ; Baturk, Nalan . In: Journal of Statistical Software. RePEc:jss:jstsof:v:079:i01.

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2018Identification and estimation in panel models with overspecified number of groups. (2018). Liu, Ruiqi ; Zhou, Qiankun ; Zhang, Yonghui ; Shang, Zuofeng ; Schick, Anton. In: Departmental Working Papers. RePEc:lsu:lsuwpp:2018-03.

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2017OPTIMAL MODEL AVERAGING OF VARYING COEFFICIENT MODELS. (2017). Racine, Jeffrey ; Zhang, Daiqiang ; Li, QI. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2017-01.

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2018Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions. (2018). Racine, Jeffrey ; Zheng, LI ; Li, QI. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2018-10.

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2018Optimal Estimation with Complete Subsets of Instruments. (2018). Lee, Seojeong ; Shin, Youngki. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2018-15.

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2017Composite Quasi-Maximum Likelihood Estimation of Dynamic Panels with Group-Specific Heterogeneity and Spatially Dependent Errors. (2017). Chu, Ba. In: MPRA Paper. RePEc:pra:mprapa:79709.

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2018How do Stock Prices and Metal Prices Contribute to Economic Activity in Turkey? The Importance of Linear and Non-linear ARDL. (2018). Türsoy, Turgut ; Shahbaz, Muhammad ; Berk, Niyazi ; Faisal, Faisal. In: MPRA Paper. RePEc:pra:mprapa:88899.

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2018Asset allocation strategies based on penalized quantile regression. (2018). Caporin, Massimiliano ; Paterlini, Sandra ; Bonaccolto, Giovanni. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:1:d:10.1007_s10287-017-0288-3.

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2018A Bayesian Generalized Linear Model for Crimean–Congo Hemorrhagic Fever Incidents. (2018). Ryu, Duchwan ; Ebrahimi, Nader ; Liang, Faming ; Ergonul, Onder ; Bilgili, Devrim. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:23:y:2018:i:1:d:10.1007_s13253-017-0310-9.

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2017Bayesian Plackett–Luce Mixture Models for Partially Ranked Data. (2017). Mollica, Cristina ; Tardella, Luca . In: Psychometrika. RePEc:spr:psycho:v:82:y:2017:i:2:d:10.1007_s11336-016-9530-0.

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2018A Variant of AIC Based on the Bayesian Marginal Likelihood. (2018). Kawakubo, Yuki ; Srivastava, Muni S ; Kubokawa, Tatsuya. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:80:y:2018:i:1:d:10.1007_s13571-018-0152-7.

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2017Bayesian inference for sinh-normal/independent nonlinear regression models. (2017). Vilca, Filidor ; Balakrishnan, N. In: Journal of Applied Statistics. RePEc:taf:japsta:v:44:y:2017:i:11:p:2052-2074.

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2017Nonparametric Inference for Time-Varying Coefficient Quantile Regression. (2017). Wu, Weichi ; Zhou, Zhou. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:1:p:98-109.

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2017The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference. (2017). van Dijk, Herman ; Grassi, Stefano ; Opschoor, Anne ; Basturk, Nalan ; Hoogerheide, Lennart. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150042.

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2017Weighted-Average Least Squares Estimation of Generalized Linear Models. (2017). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170029.

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2017Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank. (2017). van Dijk, Herman ; Hoogerheide, Lennart ; Basturk, Nalan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170058.

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2018Growth in Stress. (2018). Ruiz, Esther ; Vicente, Javier ; Gonzalez-Rivera, Gloria. In: Working Papers. RePEc:ucr:wpaper:201805.

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Works by Tomohiro Ando:


YearTitleTypeCited
2011Quantile regression models with factor‐augmented predictors and information criterion In: Econometrics Journal.
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article14
2011Quantile regression models with factor‐augmented predictors and information criterion.(2011) In: Econometrics Journal.
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2009Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria In: Computational Statistics & Data Analysis.
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article0
2012Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market In: Computational Statistics & Data Analysis.
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article2
2015A simple new test for slope homogeneity in panel data models with interactive effects In: Economics Letters.
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article1
2014A simple new test for slope homogeneity in panel data models with interactive effects.(2014) In: MPRA Paper.
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2010A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model In: Journal of Econometrics.
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article8
2009Bayesian portfolio selection using a multifactor model In: International Journal of Forecasting.
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article1
2010Bayesian and non-Bayesian analysis of the seemingly unrelated regression model with Student-t errors, and its application for forecasting In: International Journal of Forecasting.
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article2
2010Rejoinder In: International Journal of Forecasting.
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2010Predictive likelihood for Bayesian model selection and averaging In: International Journal of Forecasting.
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article0
2009Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood In: Journal of Multivariate Analysis.
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article1
2012Oil and metal price movements and BRIC macro-economy: an empirical analysis In: International Journal of Business and Globalisation.
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article1
2004Bayesian information criteria and smoothing parameter selection in radial basis function networks In: Biometrika.
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2007Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models In: Biometrika.
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2015Asset Pricing with a General Multifactor Structure In: Journal of Financial Econometrics.
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article15
2014Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates In: Journal of the Operational Research Society.
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article2
2013Panel data models with grouped factor structure under unknown group membership In: MPRA Paper.
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2016Panel Data Models with Grouped Factor Structure Under Unknown Group Membership.(2016) In: Journal of Applied Econometrics.
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2013Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors In: MPRA Paper.
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2018Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity In: MPRA Paper.
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2008Measuring the baseline sales and the promotion effect for incense products: a Bayesian state-space modeling approach In: Annals of the Institute of Statistical Mathematics.
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article1
2009Nonlinear logistic discrimination via regularized radial basis functions for classifying high-dimensional data In: Annals of the Institute of Statistical Mathematics.
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2014Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo In: Econometric Reviews.
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2012Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo.(2012) In: Tinbergen Institute Discussion Papers.
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2014A Predictive Approach for Selection of Diffusion Index Models In: Econometric Reviews.
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2018Stock return predictability: A factor-augmented predictive regression system with shrinkage method In: Econometric Reviews.
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article2
2018Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency In: Econometric Reviews.
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2014A Model-Averaging Approach for High-Dimensional Regression In: Journal of the American Statistical Association.
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2017Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures In: Journal of the American Statistical Association.
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2011Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte Carlo In: Tinbergen Institute Discussion Papers.
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2009Model selection for generalized linear models with factor‐augmented predictors In: Applied Stochastic Models in Business and Industry.
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2009‘Model selection for generalized linear models with factor‐augmented predictors’.(2009) In: Applied Stochastic Models in Business and Industry.
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This paper has another version. Agregated cites: 0
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