计量经济学、时间序列分析、金融计量经济学、中国经济
在经济学、金融学、统计学等国际重要期刊发表论文60余篇：
Annals of Statistics, Biometrika, Econometrica, Econometric Theory, International Economic Review, Journal of American Statistical Association, Journal of Econometrics, Journal of Political Economy, Journal of Royal Statistical Society Series B, Quarterly Journal of Economics, Review of Economic Studies, Review of Economics and Statistics 和 Review of Financial Studies
获得 2006 年度“Tjalling C. Koopmans 计量经济学论文奖”
担任/曾担任国内外重要期刊编委、学术顾问委员会委员，Guest Editor 或 Editor：Econometric Theory, Econometrics Journal, Econometric Reviews, Journal of Business and Economic Statistics, Journal of Econometrics，《经济研究》和《经济学（季刊）》等。
Senior Editor of Journal of Management Science and Engineering (JMSE) in the area of "Social and Economic Modelling"
Managing Editor, Advanced Studies in Theoretical and Applied Econometrics, Springer
