Research

Working papers

• Normal approximation for U-statistics with cross-sectional dependence
  • PDF
• Nonparametric specification tests with cross-sectional dependence
  • Git Repo
• High-dimensional covariance estimation with structural information
  • PDF, Git Repo
• Large Covariance Matrix Estimation with Auxiliary Text Information (with Shuyi Ge, Shaoran Li and Oliver Linton)
• Prediction and conformal inference with interval observations of outcomes (with Aureo de Paula abd Elie Tamer)

Work in progress

• Nonlinear beta tests in asset returns (with Oliver Linton)
• Uniform law of large numbers and bootstrap for U-statistics with cross-sectional dependence
• Valid inference for regression models with many covariates and multi-way clustering (with Cheuk Ng)