Journal Articles

• Kejriwal, M. & Nguyen, L. & Yu, X. (2024). "Multistep Forecast Averaging with Stochastic and Deterministic Trends." Econometrics
• Kejriwal, M. & Li, X. & Nguyen, L. & Totty, E. (2024). "The Efficacy of Ability Proxies for Estimating the Returns to Schooling: A Factor Model-Based Evaluation." Journal of Applied Econometrics
• Kejriwal, M. & Perron, P. & Yu, X (2022). "A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models." Journal of Time Series Analysis | Download |
• Kejriwal, M. & Yu, X (2021). "Generalized Forecast Averaging in Autoregressions with a Near Unit Root." The Econometrics Journal (Winner of the Denis Sargan Econometrics Prize). | Download |
• Kejriwal, M (2020). "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence." Oxford Bulletin of Economics and Statistics Accepted:2019. | Download |
• Kejriwal, M. & Yu, X. & Perron, P. (2020). "Bootstrap Procedures for detecting Multiple Persistence Shifts in Heteroskedastic Time Series." Journal of Time Series Analysis | Download |
• Kejriwal, M., Li, X. & Totty, E (2020). "Multidimensional Skills and the Returns to Schooling: Evidence from an Interactive Fixed Effects Approach and a Linked Survey-Administrative Dataset." Journal of Applied Econometrics Accepted: 2019. | Download |
• Ghoshray, A. & Kejriwal, M. & Wohar, M (2014). "Breaks, Trends and Unit Roots in Commodity Prices: A Robust Investigation." Studies in Nonlinear Dynamics and Econometrics
• Gulesserian, S.G. & Kejriwal, M (2014). "On the Power of Bootstrap Tests for Stationarity: A Monte Carlo Comparison." Empirical Economics
• Kejriwal, M. & Lopez, C (2013). "Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation." Econometric Reviews
• Kejriwal, M. & Perron, P. & Zhou, J (2013). "Wald Tests for Detecting Multiple Structural Changes in Persistence." Econometric Theory
• Kejriwal, M. & Perron, P (2012). "A Note on Estimating a Structural Change in Persistence." Economics Letters
• Kejriwal, M. & Perron, P. (2010). "A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component." Journal of Time Series Analysis vol. 31 305-328. | Download |
• Kejriwal, M. & Perron, P. (2010). "Testing for Multiple Structural Changes in Cointegrated Regression Models." Journal of Business and Economic Statistics vol. 28 503-522. | Download |
• Kejriwal, M. (2009). "Tests for a Mean Shift with Good Size and Monotonic Power." Economics Letters vol. 102 (2), 78-82. | Download |
• Kejriwal, M. (2008). "Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle." Studies in Nonlinear Dynamics and Econometrics vol. 12 (1), | Download |
• Kejriwal, M. & Perron, P. (2008). "Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression." Econometric Theory vol. 24 (5), 1425-1441. | Download |
• Kejriwal, M. & Perron, P. (2008). "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes." Journal of Econometrics vol. 146 (1), 59-73. | Download |

• Kejriwal, M. & Nguyen, L. & Yu, X. (2022). "Multistep Forecast Averaging with Stochastic and Deterministic Trends." | Download |
• Yu, X. & Kejriwal, M. (2021). "Inference in Mildly Explosive Autoregressions under Unconditional Heteroskedasticity, Revise and Resubmit." Econometric Theory | Download |
• Kejriwal, M (2012). "The Nature of Persistence in Euro Area Inflation: A Reconsideration."