"Conditional stochastic dominance testing"  with Juan C. Escanciano, Journal of Business & Economic Statistics (2013), 31, 16-28.

"Distribution-free tests of stochastic monotonicity," with Juan C. Escanciano, Journal of Econometrics (2012), 170, 68–75.

"An asymptotically pivotal transform of the residuals sample autocorrelations with application to model checking," with Carlos Velasco,  Journal of the American Statistical Association (2011), 495, 946-958.

“Bootstrap assisted specification tests for the ARFIMA Model” with Francisco J. Hidalgo and Carlos Velasco,  Econometric Theory  (2011),  27, 1083-1116.

“Distribution-free tests for time series model specification,” with Carlos Velasco, Journal of Econometrics (2010), 155, 128-137.

“Distribution Free Specification Tests for Dynamic Linear Models,” with Francisco J. Hidalgo and Carlos Velasco, Econometrics Journal  (2009), 12, 105-134.

“Distribution-free specification tests of conditional models,” with Winfried Stute, Journal of Econometrics (2008), 143, 37-55.

" Nonparametric tests for conditional symmetry in dynamic models,” with Juan C. Escanciano, Journal of Econometrics (2007), 141, 652-682.

“Consistent tests of conditional moment restrictions," with Manuel A. Domínguez and Pascal Lavergne,  Annales d'Economie et de Statistique (2006), 81, 33-67.

“Distribution free goodness-of-fit tests for linear processes,” with Javier Hidalgo and Carlos Velasco,  Annals of Statistics (2005), 33, 2568–2609.

"Sign Tests for Long-memory Time Series," with Carlos Velasco, Journal of Econometrics (2005), 128, 125-251.

"Universal Consistency of Delta Estimators,"  with José María Vidal-Sanz,  Annals of the International Mathematical Statistical Institute (2004), 56, 791-818.

"External Bootstrap Tests for Parameter Stability," with Inmaculada Fiteni, Journal of Econometrics (2002), 109, 275-303.

"Firms´ Productivity and the Export Market," with José C. Fariñas y Sonia Ruano, Journal of International Economics (2002), 57, 397-422.

"Goodness-of-fit Techniques for Count Data Models: An Application to the Demand for Dental Care in Spain," with Begoña Álvarez, Empirical Economics (2002), 27, 543-557.

"Averaged Singular Integral Estimation as a Bias Reduction Technique," with José Vidal-Sanz, Journal of Multivariate Analysis (2002), 80, 127-137.

"Significance Testing in Nonparametric Regression Based on the Bootstrap," with Wenceslao González-Manteiga, Annals of Statistics (2001), 29, 1469-1507.

"Subsampling Cube Root Asymptotics with an Application to Manski´s MSE," with Juan Rodríguez-Poó y Michael Wolf, Economic Letters (2001), 73, 241-250.

"A Nonparametric Test for Serial Independence of Regression Error," with Juan Mora, Biometrika (2000), 87, 228-234.

"Nonparametric Inference on Structural Breaks," with Javier Hidalgo, Journal of Econometrics (2000), 96, 113-144.

"Input Costs, Utilization and Substitution in the Short Run," with Jordi Jaumandreu and Ana Martín-Marcos, Spanish Economic Review (1999), 1, 239-262.

"A Unified Approach to Nonparametric Curve Estimation,"  with Ricardo Cao and Wenceslao González Manteiga, Investigaciones Económicas (1998),  21, 209-252.

"Testing Non-nested Semiparametric Models: An Application to Engel Curves Specification," with Juan Mora, Journal of Applied Econometrics (1998), 13, 145-162.

"Household Characteristics and Consumption Behaviour: A Nonparametric Approach," with Daniel MIles, Empirical Economics (1997) 22, 409-429.

"Semiparametric Versus Parametric Count-data Models: Econometric Considerations and Estimates of a Hedonic-equilibrium Model of Workers Absentism,"  with Thomas J. Kniesner, Review of Economics and Statistics,  (1997), 79, 41-49.

"Optimal Spectral Kernel for Long-Range Dependent Time Series,"  with Peter M. Robinson, Statistics and Probability Letters (1996), 30, 37-43.

"Testing Serial Independence Based on the Empirical Distribution Function," Journal of Time Series Analysis (1996), 17, 271-286.

"Optimal Spectral Bandwidth for Long Memory,"  with Peter M. Robinson, Statistica Sinica (1996), 6, 97-112.

"On Asymptotic Inferences in Nonparametric and Semiparametric Models with Discrete and Mixed Regressors," with Juan Mora, Investigaciones Económicas (1995), 19, 435-467.

"Nonparametric and Semiparametric Estimation with Discrete Regressors,"  with Juan Mora, Econometrica (1995), 63, 1477-1484.

"New Methods for the Analysis of Long-memory Time Series,"  with Peter M. Robinson, Journal of Forecasting (1994), 13:,97-107.

"Semiparametric Testing in Non-nested Econometric Models,",  with Thanasis Stengos, Review of Economic Studies (1994), 207,  291-303.

"Testing the Equality of Nonparametric Regression Curves,"  Statistics and Probability Letters (1993), 17, 199-204.

"Computing Nonparametric Functional Estimates in Semiparametric Problems,"   Econometric Reviews (1993), 12, 125-128.

"Nonparametric and Semiparametric Econometrics: A Survey," with Peter M. Robinson, Journal of Economic Surveys (1992), 6, 201-250.

“On the asymptotic efficiency of directional model checks for regression” (with J.C. Escanciano) From Statistics to Mathematical Finance: Festschrift in Honour of Winfried Stute, Ferger, D., González Manteiga, W., Schmidt, T., Wang, J.-L. (Eds.), (2017), Springer.

 “Non-parametric distribution-free model checks for multivariate dynamic regressions”  (with Juan C. Escanciano) in Contemporary Developments in Statistical Theory, (2014), 91-118, Springer.

"On testing conditional moment restrictions,"  Structural Econometrics: Essays in Methodology and Applications, B. Dutta ed., Oxford University Press, Oxford. (2010): 285-313.

Editor's introduction to "Recent advances in nonparametric and semiparametric econometrics: A volume honoring Peter M. Robinson", Journal of Econometrics (2009), 152, 1-2.

Editor's introduction to "Recent advances in time series analysis: A volume honoring Peter M. Robinson", Journal of Econometrics (2009), 151, 1-2.

Editor's introduction to "Specification testing" , Journal of Econometrics (2008), 143, 1-4.

"The Hoeffding-Blum-Kiefer-Rosenblatt Process", Encyclopedia of Statistical Sciences (1998), 3, 326-327.

"Nonparametric and Semiparametric Econometrics: a Survey," with Peter M. Robinson, Surveys in Econometrics, L. Oxley et al eds, Blackwell, New York (1994): 350-396.

"Applied Nonparametric Regression: a Review," Econometric Theory (1992), 8, 413-419.

"Recent advances in nonparametric and semiparametric econometrics: A volume honoring Peter M. Robinson", Journal of Econometrics (2009), 152, 79-196.

"Recent advances in time series analysis: A volume honoring Peter M. Robinson,", Journal of Econometrics (2009), 151, 1-78.

"Specification testing" , Journal of Econometrics (2008), 143, 1-226.