Inference in regression models with many regressors, Journal of Econometrics, 2012
Specification testing in models with many instruments (with Nikolay Gospodinov), Econometric Theory, 2011
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments (with Kenneth West and Ka-fu Wong), Econometric Reviews, 2009
Method-of-moments estimation and choice of instruments: numerical computations, Economics Letters, 2008
Optimal instruments in time series: a survey, Journal of Economic Surveys, 2007
Redundancy of lagged regressors revisited, Econometric Theory (Notes and Problems), 2007
GMM, GEL, serial correlation, and asymptotic bias, Econometrica, 2005
The form of the optimal nonlinear instrument for multiperiod conditional moment restrictions, Econometric Theory, 2003
Redundancy of lagged regressors in a conditionally heteroskedastic time series regression, Econometric Theory (Problems and Solutions), 2003
Autoregression and redundant instruments, Econometric Theory (Problems and Solutions), 2002-2003
Modeling financial return dynamics via decomposition (with Nikolay Gospodinov), Journal of Business and Economic Statistics, 2010
Nonparametric retrospection and monitoring of predictability of financial returns, Journal of Business and Economic Statistics, 2009
Multi-market direction-of-change modeling using dependence ratios, Studies in Nonlinear Dynamics & Econometrics, 2009
Using all observations when forecasting under structural breaks (with Victor Kitov), Finnish Economic Papers, 2007
A trading approach to testing for predictability (with Alexander Gerko), Journal of Business and Economic Statistics, 2005
Dynamic modeling under linear-exponential loss, Economic Modelling, 2009
Kernel estimation under linear-exponential loss, Economics Letters, 2006
Another numerical method of finding critical values for the Andrews stability test (with Grigory Kosenok), Econometric Theory (Notes and Problems), 2011
Tests in contingency tables as regression tests (with Grigory Kosenok), Economics Letters, 2010
An alternative to maximum likelihood based on spacings (with Grigory Kosenok), Econometric Theory (Notes and Problems), 2005
Inference when a nuisance parameter is weakly identified under the null hypothesis, Economics Letters, 2004
Serial correlation and asymptotic variance, Econometric Theory (Problems and Solutions), 2001
Conditional and unconditional correlatedness and heteroskedasticity, Econometric Theory (Problems and Solutions), 2001-2002
Nonparametric estimation of nonlinear rational expectations models, Economics Letters, 1999
A 10-year retrospective on the determinants of Russian stock returns, Research in International Business and Finance, 2008
Trade intensity in the Russian stock market: dynamics, distribution and determinants (with Dmitry Shakin), Applied Financial Economics, 2007
The term structure of Russian interest rates (with Sergey Korepanov), Applied Economics Letters, 2003
Robustness of residual-based bootstrap to composition of serially correlated errors, Journal of Statistical Computation and Simulation, 2009
Markov chain approximation in bootstrapping autoregressions (with Andrey Vasnev), Economics Bulletin, 2002
Electoral behavior of US counties: a panel data approach, Economics Bulletin, 2002
Durbin–Watson statistic and random individual effects, Econometric Theory (Problems and Solutions), 2002-2003
Nonparametric regression, Quantile, 2009
Where to find data on the Web? (with Alexander Tsyplakov), Quantile, 2009
Review of English textbooks in time series analysis, Quantile, 2008
Making econometric reports, Quantile, 2008
The basics of bootstrapping, Quantile, 2007
Review of English textbooks in econometrics, Quantile, 2007
Optimal instruments, Quantile, 2007
Testing for pedictability, Quantile, 2006
Асимптотические приближения в современной эконометрике, Экономика и математические методы, 2005