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of Pittsburgh, Ying Fang, Xiamen Univ.) Vol.166-2, 255-267. Yoon on "Are real exchange rates nonstationary or non-linear? Studies in Nonlinear Dynamics and Econometrics, 2006, March. "Are Real Exchange Rates non-stationary or non-linear? Studies in Nonlinear Dynamics and Econometrics 2003, January. AWARDS , Department of Economics, Assistant Professor, 2007. Gunce Eryuruk (Main Advisor), ITAM, Mexico, Assistant Professor of Economics, 2009. Michael Fan, (Main Advisor), Xiamen University, China Department of Economics, Assistant Professor, 2012. Member, Scientific Advisory Board, CEFAGE, Portugal.

This paper calculates a resampled Anderson-Rubin test that is also robust to local violations of exogeneity in instruments. "Boundedly Pivotal Structural Change Tests in Continuous Updating GMM with Strong, Weak Identification and Completely Unidentified Cases" Journal of Econometrics, 2007, 137, 28-67. " M Estimators with Non-Standard Rates of Convergence and Weakly Dependent Data", April 2006, Journal of Statistical Planning and Inference, 136, 1207-1219. Evidence from a new Threshold Unit Root Test," (with E. "Time-Varying Betas Help in Asset Pricing: Threshold CAPM," ( with L. 33." A Note on LAD Estimation of a Threshold Model," Econometric Theory, 18, June 2002, 800-814.

This paper analyzes GEL estimators after selecting the instruments through adaptive lasso.

So, I'm more than sympathetic to the general point that Stephen made.

The example that I had provided, which was just a teaching example, used 175 quarterly observations.

This can be thought as extending least squares to high dimensions. In this sense, it gets rid of two step former process of testing for threshold and then estimating the model.

We provide heteroskedascity consistent standard errors, confidence intervals, and inference in large number of coefficients. 4.“Determining the number of factors with potentially strong block correlation error terms” This is an article that proves an oracle inequality for elastic net in a general convex loss function.

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