CONTACT
 Friday 219B
704-687-7625
ikheifet @uncc.edu 		Igor Kheifets
 Visiting Assistant Professor
Department of Economics
Belk College of Business
UNC Charlotte


Igor's photo





I am a PhD Economist with a specialization in Econometrics. I shall be on the job market in 2023-2024. Scroll down for teaching.





Research

 Google Scholar, arXiv, RePEc


Articles
  1. Peter Phillips & Igor Kheifets, "High-Dimensional IV Cointegration Estimation and Inference." Journal of Econometrics: accepted.
  2. Igor Kheifets & Peter Phillips, 2023. "Fully modified least squares cointegrating parameter estimation in multicointegrated systems." Journal of Econometrics 232, 300-319. DOI, pdf(arXiv), Cowles Foundation Discussion Paper No. 2210
  3. Igor Kheifets & Pentti Saikkonen, 2020. "Stationarity and ergodicity of vector STAR models," Econometric Reviews 39, 407-414. DOI (Free Access), pdf(arXiv)
  4. Igor Kheifets, 2018. "Multivariate Specification Tests Based on the Dynamic Rosenblatt Transform." Computational Statistics & Data Analysis 124, 1-14. DOI, pdf(arXiv)
  5. Igor Kheifets & Carlos Velasco, 2017. "New Goodness-of-fit Diagnostics for Dynamic Discrete Response Models," Journal of Econometrics 200, 135-149. DOI, pdf(arXiv)
  6. Igor Kheifets, 2015. "Specification Tests for Nonlinear Time Series Models," The Econometrics Journal 18, 67-94. DOI, Wiley(Free Access), pdf(arXiv), C/Matlab code Denis Sargan Econometrics Prize
  7. Igor Kheifets & Carlos Velasco, 2013. "Model Adequacy Checks for Discrete Choice Dynamic Models," in Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis Essays in Honor of Halbert L. White Jr. Chen, Xiaohong; Swanson, Norman R. (Eds.), 363-382. DOI, pdf(arXiv), C/Matlab code
  8. Igor Kheifets, 2011. "Goodness-of-fit testing," Quantile 9, 25-34, July (in Russian). pdf(Quantile)
Unpublished work
  1. Igor Kheifets & Peter Phillips, "High-Dimensional IV Multicointegration Estimation."
  2. Igor Kheifets & Peter Phillips, "On FM-OLS for panel data."
  3. Igor Kheifets & Peter Phillips, "Reduced Rank Regression under weak dependence."
  4. Carlos Velasco & Igor Kheifets, "Model evaluation of the Fed monetary rules."


Teaching

Current Past