- Advanced Econometric Methods
- Essays in Honor of Peter C. B. Phillips
- Applying Maximum Entropy to Econometric Problems (Advances in Econometrics) (Advances in Econometrics)
- Advances in Econometrics Volume 20: Econometric Analysis of Financial and Economic Time Series Part A (Advances in Econometrics)
- Advances in Econometrics, Volume 13: Messy Data — Missing Observations, Outliers, and Mixed-Frequency Data