Ph.D. University of California, San Diego, 1993, Professor of Economics and Statistics.
Econometric theory, financial econometrics, economics of China.
"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.
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.