Mehmet Caner

Professor of Economics

OFFICE ADDRESS

CV

North Carolina State University

Department of Economics

4168 Nelson Hall

email: mcaner@ncsu.edu

phone:919-513-0853

Publications:

1. "Exponential Tilting with Weak Instruments: Estimation and Testing", Forthcoming, Oxford Bulletin of Economics and Statistics.

2. "Pivotal Structural Change Tests in Linear Simultaneous Equations Models with Weak Identification", Forthcoming, Econometric Theory.

3. "Sovereign Weath Funds: the Norwegian Experience" with Tom Grennes, Forthcoming, The World Economy, 2009.

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

5. "Testing, Estimation in GMM and CUE with Nearly-Weak Identification", Forthcoming, Econometric Reviews.

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

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

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

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

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

11. 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.

12. "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.

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

14. "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.

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

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

17. " 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.

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

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

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

SUBMITTED PAPERS:

"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.

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

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

"Jackknife CUE with nearly-singular design and many weak moment asymptotics" with N. Yildiz, Rochester.

"Capital Inflows to Developed Countries" with Steven Husted, University of Pittsburgh

The Validity of Instruments Revisited with Dan Berkowitz (University of Pittsburgh), Ying Fang (Xiamen University, China).

''When do sudden stops really hurt?" with Fritzi Koehler-Geib, Gallina Andronova Vincelette, World Bank

" General Estimating Equations: Adaptive Elastic Net Estimator with Diverging Number of Parameters " joint with Helen Zhang, Statistics Department, NCSU.

WORK IN PROGRESS:

"Local GEL Estimators with Many Weak Moments" with Richard Smith, University of Cambridge.

"Determinants of Norwegian Sovereign Wealth Fund Shares: Lucas Paradox Survives", with Turanay Caner, Tom Grennes.

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

"Modified Anderson Rubin and Kleibergen Tests that is Robust To Violation of Exogeneity of Instruments"

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

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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:

Co-Editor, Special Issue of Journal Of Econometrics, 25 years of GMM, 2009-2010.

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.