Nikolay Gospodinov
Associate Professor of Economics
Department of Economics
Concordia University
1455 de Maisonneuve Blvd. West
Montreal, Quebec, H3G 1M8
tel: (514) 848-2424 (ext. 3935) fax: (514) 848-4536
e-mail: nikolay.gospodinov [at] concordia.ca
Curriculum Vitae                                                                                                25th annual meeting of CESG, September 26-28, 2008

Refereed Publications
  1. Specification Testing in Models with Many Instruments (with S. Anatolyev), ECONOMETRIC THEORY (2010), forthcoming  pdf   Additional Simulation Results
  2. Modeling Financial Return Dynamics via Decomposition (with S. Anatolyev), JOURNAL OF BUSINESS AND ECONOMIC STATISTICS (2010), 28, 232-245    Results for Quarterly Data
  3. Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions, JOURNAL OF BUSINESS AND ECONOMIC STATISTICS (2010), 28, 1-12
  4. A New Look at the Forward Premium Puzzle, JOURNAL OF FINANCIAL ECONOMETRICS (2009), 7, 312-338
  5. Tobacco Taxes and Regressivity (with I. Irvine), JOURNAL OF HEALTH ECONOMICS (2009), 28, 375-384
  6. Asymptotic and Bootstrap Tests for Linearity in a TAR-GARCH(1,1) Model with a Unit Root, JOURNAL OF ECONOMETRICS (2008), 146, 146-161
  7. Forecasting Volatility (with A. Gavala and D. Jiang), JOURNAL OF FORECASTING (2006), 25, 381-400
  8. Testing for Threshold Nonlinearity in Short-Term Interest Rates, JOURNAL OF FINANCIAL ECONOMETRICS (2005), 3, 344-371
  9. A `Long March' Perspective on Tobacco Use in Canada (with I. Irvine), CANADIAN JOURNAL OF ECONOMICS (2005), 38, 366-393
  10. Robust Asymptotic Inference in Autoregressive Models with Martingale Difference Errors, ECONOMETRIC REVIEWS (2005), 24, 59-81
    Selected as Best Paper published in Econometric Reviews in 2004 and 2005
  11. Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes, ECONOMETRICS JOURNAL (2004), 7, 505-527
  12. Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment (with I. Irvine), TOPICS IN ECONOMIC ANALYSIS & POLICY (2004), 4, Issue 1, Article 30
  13. Median Unbiased Forecasts for Highly Persistent Autoregressive Processes, JOURNAL OF ECONOMETRICS (2002), 111, 85-101
  14. Improved Finite-Sample Inference in Overidentified Models with Weak Instruments, RECENT ADVANCES IN STATISTICAL METHODS (2002), Y.P. Chaubey (ed.), Imperial College Press, London, 132-146
  15. Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component, JOURNAL OF BUSINESS AND ECONOMIC STATISTICS (2002), 20, 254-268
  16. An Empirical Likelihood Ratio Test for a Unit Root: Solution to Problem 99.2.1 (with V. Zinde-Walsh), ECONOMETRIC THEORY (2000), 16, 143-146
Unpublished Manuscripts
  1. On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint (with R. Kan and C. Robotti), January 2010  pdf
  2. Local GMM Estimation of Time Series Models with Conditional Moment Restrictions (with T. Otsu), December 2009  pdf
  3. Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels (with M. Hirukawa), December 2009  pdf
  4. Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors (with Ye Tao), March 2009    pdf
  5. Sensitivity of Impulse Responses to Small Low Frequency Co-movements: Reconciling the Evidence on the Effects of Technology Shocks (with A. Maynard and E. Pesavento), March 2009  pdf
  6. Risk Premiums and Predictive Ability of BAX Futures (with I. Jamali), November 2009  pdf
  7. Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population (with V.H. Nguyen), October 2009 
Teaching
Econ 643: Financial Economics II
Econ 681: Econometric Theory II
Econ 421/521: Econometrics I