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 Refereed Publications
Commodity
Prices, Convenience Yields, and Inflation (with S. Ng), R EVIEW
OF E CONOMICS AND S TATISTICS ,
forthcoming Accepted
Version Data
and MATLAB Codes Online
Appendix Local
GMM Estimation of Time Series Models with Conditional Moment
Restrictions (with T. Otsu), J OURNAL
OF E CONOMETRICS , forthcomingSensitivity
of Impulse Responses to Small Low Frequency
Co-movements: Reconciling the Evidence on the Effects of Technology
Shocks (with A. Maynard and E. Pesavento), J OURNAL
OF B USINESS
AND E CONOMIC S TATISTICS (2011) Online
Appendix Bootstrap
Unit Root Tests in Models with GARCH(1,1) Errors (with Y. Tao), E CONOMETRIC R EVIEWS (2011) , 30, 379-405Risk
Premiums and Predictive Ability of BAX Futures (with I. Jamali), J OURNAL
OF F UTURES M ARKETS (2011) ,
31, 534-561Specification
Testing in Models with Many
Instruments (with S. Anatolyev), E CONOMETRIC
T HEORY (2011) , 27, 427-441 Additional
Simulation Results Modeling
Financial Return Dynamics via Decomposition (with S.
Anatolyev), J OURNAL OF B USINESS
AND E CONOMIC S TATISTICS (2010) , 28, 232-245Results
for Quarterly Data Inference
in Nearly Nonstationary SVAR Models with Long-Run Identifying
Restrictions , J OURNAL OF B USINESS
AND E CONOMIC S TATISTICS (2010) , 28, 1-12A
New Look at the Forward
Premium
Puzzle , J OURNAL OF F INANCIAL
E CONOMETRICS
(2009) , 7, 312-338 Tobacco
Taxes and Regressivity (with I. Irvine), J OURNAL
OF H EALTH E CONOMICS (2009) , 28, 375-384Asymptotic
and Bootstrap Tests for Linearity in a TAR-GARCH(1,1)
Model with a Unit Root , J OURNAL OF E CONOMETRICS (2008) ,
146, 146-161Forecasting
Volatility (with A. Gavala and D. Jiang), J OURNAL
OF
F ORECASTING (2006) , 25, 381-400Testing
for Threshold Nonlinearity in Short-Term Interest Rates , J OURNAL
OF F INANCIAL E CONOMETRICS (2005) ,
3, 344-371 Data
and GAUSS Codes A
'Long March' Perspective on Tobacco Use in Canada (with I. Irvine),
C ANADIAN J OURNAL
OF E CONOMICS
(2005) , 38, 366-393 Robust
Asymptotic Inference in Autoregressive Models with Martingale
Difference
Errors , E CONOMETRIC R EVIEWS (2005) ,
24,
59-81 Best
Paper published in Econometric
Reviews in 2004 and 2005 Asymptotic
Confidence Intervals for Impulse Responses of Near-Integrated Processes ,
E CONOMETRICS J OURNAL (2004) , 7, 505-527 GAUSS
Codes Global
Health Warnings on Tobacco Packaging: Evidence from the Canadian
Experiment
(with I. Irvine), T OPICS IN E CONOMIC
A NALYSIS
& P OLICY (2004) ,
4, Issue 1, Article 30 Median
Unbiased Forecasts for Highly Persistent Autoregressive Processes , J OURNAL
OF E CONOMETRICS (2002) , 111, 85-101 Data and
GAUSS Codes Improved
Finite-Sample Inference in Overidentified Models with Weak Instruments ,
R ECENT A DVANCES
IN S TATISTICAL
M ETHODS
(2002) , Y.P. Chaubey
(ed.),
Imperial College Press, London, 132-146 Bootstrap-Based
Inference in Models with a Nearly Noninvertible Moving Average Component ,
J OURNAL OF B USINESS
AND E CONOMIC S TATISTICS
(2002) , 20,
254-268 Data
and GAUSS Codes An
Empirical Likelihood Ratio Test for a Unit Root: Solution to Problem
99.2.1
(with V. Zinde-Walsh), E CONOMETRIC T HEORY
(2000) ,
16, 143-146
Book/Monograph: Methods for
Estimation and Inference
in Modern Econometrics
Asset
Pricing Theories, Models, and Tests (with C. Robotti), Chapter 3 in
P ORTFOLIO T HEORY AND
M ANAGEMENT
Unpublished Manuscripts
Chi-Squared
Tests for Evaluation and Comparison of Asset Pricing Models
(with R. Kan
and C. Robotti), June 2011 Online
Appendix Further
Results on the Limiting Distribution of GMM Sample Moment Conditions
(with R. Kan
and C. Robotti), January 2012 Online
Appendix On
the Hansen-Jagannathan Distance with a No-Arbitrage Constraint
(with R. Kan and C. Robotti), December 2011Nonparametric
Estimation of Scalar Diffusion Processes of Interest Rates Using
Asymmetric Kernels (with M. Hirukawa), January 2012Time
Series Nonparametric Regression Using Asymmetric Kernels (with M.
Hirukawa), December 2007Stock
Market Volatility and Federal Funds Rate Surprises The
Response of Stock Market Volatility to Monetary Policy Shocks
(with I.
Jamali), October 2011Long-Term
Health Effects of Vietnam War's Herbicide
Exposure on the Vietnamese Population (with V.H. Nguyen), July
2011A Moment-Matching Method for
Approximating Vector Autoregressive Processes by Finite-State Markov
Chains (with D.
Lkhagvasuren), December 2011
Teaching Econ
643: Financial Economics II Econ
681: Econometric Theory II Econ
682: Time Series Econometrics Econ
421/521: Econometrics I