Ph.D. University of California, San Diego, 1993, Professor of Economics and Statistics.
FIELDS
Econometric theory, financial econometrics, economics of China.
SELECTED PUBLICATIONS
"Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel
Models," with C. Kao, forthcoming in Econometrica;
"Generalized Spectral Tests for Conditional Mean Models in Time Series
with Conditional Heteroskedasticity of Unknown Form," with Y. Lee, forthcoming
in Review of Economic Studies; "A Test for Volatility Spillover with
Application to Exchange Rates" Journal of Econometrics, 2001; "One-Sided
Testing for ARCH Effects Using Wavelets" (with Jin Lee), Econometric
Theory, 2001; "Testing Serial Correlation of Unknown Form via Wavelet
Methods" (with Jin Lee), Econometric Theory, 2001; "Generalized
Spectral Tests for Serial Dependence" Journal of the Royal Statistical
Society, Series B, 2000; "Hypothesis Testing in Time Series via the Empirical
Characteristic Function: A Generalized Spectral Density Approach" Journal
of American Statistical Association, 1999; "A New Test for ARCH Effects
and its Finite Sample Performance" (with R. Shehadeh), Journal of Business
and Economic Statistics, 1999; "Testing for Pairwise Serial Independence
via the Empirical Distribution Function," Journal of the Royal Statistical
Society. Series B, 1998; "One Sided Testing for Autoregressive Conditional
Heteroskedasticity in Time Series Models," Journal of Time Series Analysis,
1997; "Consistent Testing for Serial Correlation of Unknown Form"
Econometrica, 1996; "Testing for Independence between Two Covariance-Stationary
Time Series" Biometrika, 1996; "Consistent Specification Testing
via Nonparametric Series Regression" (with H. White), Econometrica, 1995;
"China's Evolving Managerial Labor Market" (with T. Groves, J. McMillan
and B. Naughton), Journal of Political Economy, 1995; "Autonomy and Incentives
in Chinese State Enterprises" (with T. Groves, J. McMillan and B. Naughton),
Quarterly Journal of Economics, 1994.
CURRENT RESEARCH
Time series and generalized spectral analysis; serial independence tests;
diagnostic checking of time series models; wavelet analysis; heteroskedasticity
and auto correlation consistent covariance matrix estimation; inference and
forecast of exchange rates; nonparametric specification testing for continuous-time
diffusion models; evaluation of out-of-sample probability density forecasts
and value-at-risk forecasts; China's economic reforms.