Research

Books

• Econometric Analysis of Stochastic Dominance: Concepts, Methods, Tools, and Applications (2019), Cambridge University Press. 

Selected Papers (Published or Forthcoming)

1. Testing Stochastic Dominance with Many Conditioning Variables (with O. Linton and M. Seo) (2023), Journal of Econometrics, 235, 507-527.

2. Testing for Time Stochastic Dominance (with K. Lee and O. Linton) (2023), Journal of Econometrics, 235, 352-371. Code (Matlab)

3. On Unit Free Assessment of The Extent of Multilateral Distributional Variation (with G. Anderson, O. Linton, M. G. Pittau, and R. Zelli) (2021),  The Econometrics Journal, 24, 502-518. Code (R)

4. The Lower Regression Function and Testing Expectation Dependence Dominance Hypothesis (with O. Linton and Y.-M. Yen) (2021), Econometric Reviews,  40, 709-727.

5. Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects  (with G. Anderson and T. Post) (2020), Journal of Business & Economic Statistics, 38, 502-515. Code (Matlab)

6. Quantilogram under Strong Dependence (with J.H. Lee, O. Linton) (2020), Econometric Theory 36, 457-487.

7. Inference on Distribution Functions under Measurement Error (with K. Adusumilli, D. Kurisu, and T. Otsu) (2020), Journal of Econometrics 215, 131-164. Code (Matlab)

8. Monte Carlo Inference on Two-Sided Matching Models (with T. Kim, J. Schwartz, K. Song) (2019), Econometrics (Special Issue``Resampling Methods in Econometrics") 7.

9. Testing for a General Class of Functional Inequalities (with S. Lee and K. Song) (2018), Econometric Theory 34, 1018-1064. Code (Matlab)

10. Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function (with S. Lee and R. Okui) (2018),  Journal of Applied Econometrics 32, 1207-1225. Code (Stata)

11. A Nonparametric Test of a Strong Leverage Hypothesis (with O. Linton and Yu-Min Yen) (2016), Journal of Econometrics 194, 153-186.

12. The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (with H. Han, O. Linton and T. Oka) (2016), Journal of Econometrics 193, 251-270. Code (R) 

13. Nonparametric Tests of Conditional Treatment Effects with an Application to Single-Sex Schooling on Academic Achievements (with M.Chang and S. Lee) (2015), The Econometrics Journal 18, 307-346. Code (Matlab)

14. Testing for Stochastic Dominance Efficiency of a Given Portfolio (with O. Linton and T. Post) (2014), The Econometrics Journal 17, S59-S74.

15. Testing Functional Inequalities (with S. Lee and K. Song) (2013), Journal of Econometrics 172, 14-32.

16. Nonparametric Estimation and Inference about the Overlap of Two Distributions (with G. Anderson and O. Linton) (2012), Journal of Econometrics 171, 1-23.  Code (R)

17. Random Walk or Chaos: A Formal Test on the Lyapunov Exponent (with J.Y. Park) (2012), Journal of Econometrics 169, 61-74. Code (Gauss)

18. Testing for Non-Nested Conditional Moment Restrictions via Unconditional Empirical Likelihood (with T. Otsu, M. Seo) (2012), Journal of Econometrics 167, 370-382.

19. Testing for Non-Nested Conditional Moment Restrictions via Conditional Empirical Likelihood (with T. Otsu) (2011), Econometric Theory 27, 114-153.

20. A Semiparametric Cointegrating Regression: Investigating the Effects of Age Distributions on Consumption and Saving (with J.Y. Park and K.H. Shin) (2010), Journal of Econometrics 157, 165-178.

21. An Improved Bootstrap Test of Stochastic Dominance (with K. Song and O. Linton) (2010), Journal of Econometrics 154, 186-202. Code (Matlab)

22. Testing for Stochastic Monotonicity (with S. Lee and O. Linton) (2009), Econometrica 77, 585-602.

23. A Quantilogram Approach to Evaluating Directional Predictability (with O. Linton) (2007), Journal of Econometrics 141, 250-282.  Code (R)

24. Consistent Testing for Stochastic Dominance under General Sampling Schemes: Corrigendum (with O. Linton and E. Maasoumi) (2008), Review of Economic Studies 75, 1-5. Codes (Gauss, R)

25. Are there Monday Effects in Stock Returns? : A Stochastic Dominance Approach  (with Y.H. Cho and O. Linton) (2007), Journal of Empirical Finance 14, 736-755.

26. Smoothed Empirical Likelihood Methods for Quantile Regression Models (2006), Econometric Theory 22, 173-205.

27. Consistent Specification Testing for Quantile Regression Models (2005), in Econometric Theory and Practice: Frontiers of Analysis and Applied Research, eds. by D. Corbae, S. N. Durlauf, and B. E. Hansen, Cambridge University Press.

28. Consistent Testing for Stochastic Dominance under General Sampling Schemes (with O. Linton and E. Maasoumi) (2005), Review of Economic Studies 72,735-765. Code (Matlab)

29. A Test of the Martingale Hypothesis (with J.Y. Park) (2005), Studies in Nonlinear Dynamics and Econometrics 9, Issue 2, Article 2. Code 

30. A Multiple Variance Ratio Test using Subsampling (with J.H. Kim) (2003), Economics Letters 79, 225-230.

31. Nonparametric Estimation with Aggregate Data (with O. Linton) (2002), Econometric Theory 18, 420-468.

32. Consistent Specification Testing for Conditional Moment Restrictions (2001), Economics Letters 71, 299-306.

33. Consistent Bootstrap Tests of Parametric Regression Functions (2000), Journal of Econometrics 98, 27-46.

34. The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series (with O. Linton) (1999), Journal of Econometrics 91, 1-42.  Code (Gauss)

35. Topics in Advanced Econometrics: Estimation, Testing, and Specification of Cross-section and Time Series Models  (1998), Econometric Theory 14, 369-374.

36. A Test of Normality Using Nonparametric Residuals (1998), Econometric Reviews 17, 301-327.

37. A Test of Autocorrelation in the Presence of Heteroskedasticity of Unknown Form (1998), Econometric Theory 14, 87-122.

38. A Semiparametric Analysis of the Life-Cycle Permanent Income Hypothesis (1993), International Economic Journal 7, 89 - 108.

39. Tests of Specification for Parametric and Semiparametric Models (with D.W.K. Andrews) (1993), Journal of Econometrics 57, 277 - 318.

40. Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality (with D.W.K. Andrews) (1990), Econometric Theory 6, 466 - 479.

41. A Matrix Inequality (1990), Econometric Theory 6, 120 - 121.