Mehmet Caner

Professor of Economics

OFFICE ADDRESS

North Carolina State University

Department of Economics

4168 Nelson Hall

email: mcaner@ncsu.edu

phone:919-513-0853

Publications:

1. "CUE with nearly-singular design and many weak moment asymptotics". Forthcoming 2012, Journal of Econometrics, with N. Yildiz, Rochester .

The paper finds what happens when there are highly correlated instruments in a many weak asymptotics framework.

A computer program for simulations in Table 2, in Gauss: jkgmm1

2. "The Validity of Instruments Revisited", 2012, Journal Of Econometrics,(with Dan Berkowitz, Ying Fang) Vol.166-2, 255-267.

This paper calculates a resampled Anderson-Rubin test that is also robust to local violations of exogeneity in instruments.

Gauss Files:sbcfrh(calculates Table 12, row 3, in our paper), far (shows how to do this with controls), t7a(an application with table7a dataset from Acemoglu-Johnson-Robinson,AER, 2001)

Stata files:far.ado is a function, and here is the help file: far.pdf and Table7a.dta is from Acemoglu-Johnson-Robinson,AER, 2001. You can load your own data and use this program, just you have to enter variable names.

3. "Pivotal Structural Change Tests in Linear Simultaneous Equations Models with Weak Identification", 2011 Econometric Theory. Vol 27.2. 413-427.

4."A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics", 2011, International Econometric Review.

5."Determinants of Norwegian Sovereign Wealth Fund Shares: Lucas Paradox Survives", with Turanay Caner, Tom Grennes.2011, Global Economy Journal, Berkeley Electronic Press.

6. "Exponential Tilting with Weak Instruments: Estimation and Testing", 2010, Oxford Bulletin of Economics and Statistics.72, 307-326.

7. "Sovereign Weath Funds: the Norwegian Experience" with Tom Grennes, The World Economy, 2010, 33, 597-614.

8. "Testing, Estimation in GMM and CUE with Nearly-Weak Identification", Econometric Reviews, 2010, 29, 330-363 .

9.Book Chapter: "Finding The Tipping Point-When Sovereign Debt Turns Bad" Sovereign Debt and Financial Crisis ,(refereed), 2010, (joint with Tom Grennes,NCSU, Fritzi Koehler-Geib, World Bank),p64-75.

10. "The Norwegian Sovereign Wealth Fund" (joint with Tom Grennes,NCSU). Revue d'Economie Financiere, 2009.(Invited Article)

11. "LASSO Type GMM Estimator" Econometric Theory, 2009, 25, 1-23.

12. "Nearly-Singular Design in GMM and Generalized Empirical Likelihood Estimators" Journal of Econometrics, 2008, 144, 511-523.

13."Are Nearly Exogenous Instruments Reliable?" with D. Berkowitz, Y. Fang, Economics Letters, 2008, 101, 20-23.

14. "Boundedly Pivotal Structural Change Tests in Continuous Updating GMM with Strong, Weak Identification and Completely Unidentified Cases" Journal of Econometrics, 2007, 137, 28-67.

15. " M Estimators with Non-Standard Rates of Convergence and Weakly Dependent Data", April 2006, Journal of Statistical Planning and Inference, 136, 1207-1219.

16. Corrigendum with E. Basci, G. Yoon on "Are real exchange rates nonstationary or non-linear? Evidence from a new threshold unit root test". Studies in Nonlinear Dynamics and Econometrics, 2006, March.

17. "Are Real Exchange Rates non-stationary or non-linear? Evidence from a new Threshold Unit Root Test," (with E. Basci, Central Bank of Turkey, Vice Governor). Studies in Nonlinear Dynamics and Econometrics, 2005,vol. 9.4.

18. " Instrumental Variable Estimation of a Threshold Model," ( with Bruce Hansen, University of Wisconsin-Madison), Econometric Theory, vol.20, October 2004. p.813-843.

19. "Time-Varying Betas Help in Asset Pricing: Threshold CAPM," ( with L. Akdeniz and A. Salih, Bilkent University). Studies in Nonlinear Dynamics and Econometrics 2003, January.

20." A Note on LAD Estimation of a Threshold Model," Econometric Theory, 18, June 2002, 800-814. (Appeared in Articles Section)

21." Threshold Autoregressions with a Unit Root," ( with Bruce E. Hansen), Econometrica,69, November 2001, 1555-1597.

22. " Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for the PPP debate," (with Lutz Kilian), Journal of International Money and Finance, 20, October 2001, 639-657.

23. "Tests for Cointegration with Infinite Variance Errors," Journal of Econometrics, 86, September 1998,155-175.

24. "A Locally Optimal Seasonal Unit Root Test," Journal of Business and Economic Statistics, 16, July 1998, 349-356.

25. "Weak Convergence to a Matrix Stochastic Integral with Stable Processes," Econometric Theory, 13, August 1997,506-29.

PAPERS UNDER REVISION:

Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Many Moment Asymptotics".

. No Country for Old Unit Root Tests: Bridge Estimators Differentiate Between Nonstationarity and Stationarity and Select Optimal Lag. with Keith Knight, University of Toronto.

PAPERS UNDER SUBMISSION

"Using Bridge Estimators to Determine Number of Factors in Multifactor Models: Case of Large Panel Data"

Adaptive Elastic Net GMM with Diverging Number of Moments. joint with Helen Zhang, Statistics Department, NCSU

A new way of eliminationg weak instruments, joint with M ichael Fan,NCSU.

WORK IN PROGRESS:

“Dynamic panel data estimators via adaptive elastic net: the case of invalid moment conditions” with Y. Lee (Univ. of Michigan-Ann Arbor), X. Han (NCSU).

.A Tale of Two Funds Under Crisis of 2008-2009: Norwegian Sovereign Wealth Fund and Russian National Wealth Fund" with Tom Grennes, Yelena Tuzova.

A New Paradigm: A Joint Test of Structural and Correlation Parameters in Instrumental Variables Regression when Perfect Exogeneity is Violated" with Melinda Sandler Morrill, NCSU.

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AWARDS

Multa Scripsit Award, Econometric Theory, 2005.

Outstanding Faculty, University of Pittsburgh, 2006.

Department Research Growth & Innovation Award, 2009, North Carolina State University, Economics Department.

Editorial Activity:

1.Co-Editor, Special Issue of Journal Of Econometrics, 25 years of GMM, 2009-2012.

2. Associate Editor, Studies in Nonlinear Dynamics and Econometrics, 2012 March-..

3. Associate Editor, Econometric Reviews, 2013 January-..

Research Associate: Info-Metrics Institute DC.

Ph.D Students: Advised: 1. George Levi Gayle, (Reader), Carnegie Mellon University, Tepper School of Business, Assistant Professor, 2003. 2. Wayne Gayle, (Reader), University of Virginia, Department of Economics, Assistant Professor, 2006. 3. Ying Fang, (Main Advisor), Xiamen University, China, Department of Economics, Assistant Professor, 2006. 4. Martin Burda (Main Advisor), University of Toronto , Department of Economics, Assistant Professor, 2007. 5. Gunce Eryuruk (Main Advisor), ITAM, Mexico, Assistant Professor of Economics, 2009. 6. Michael Fan, (Main Advisor), Xiamen University, China Department of Economics, Assistant Professor, 2012.

SHORT TERM CONSULTING: THE WORLD BANK: JAN 2010, JUNE 2011.