Research

RESEARCH PAPERS

1. " A Test of the Null of Integer Integration against the Alternative of Fractional Integration" 

  (with Christine Amsler and Peter Schmidt), Journal of Econometrics 187 (2015)

  (note)

2. "Fixed-b Inference for Testing Structural Change in a Time Series Regression" 

   (with Timothy J. Vogelsang),  Econometrics 5 (2017)

   (earlier version of this paper)

3. "The Wrong Skew Problem in Stochastic Frontier Models When Inefficiency Depends on Environmental Variables" 

  (with Peter Schmidt),  Empirical Economics 58 (2020)

  (online appendix)

4. "Note on Testing for Linear Trends in Cointegrating Regression"

     Journal of Economic Theory and Econometrics 33 (2022), available at JETEM 

5. "Durable Consumption-Based Asset Pricing Model with Foreign Factors for the Korean Stock Market",

  (with Bosung Jang), International Journal of Financial Studies 11 (2023), available at IJFS 

6. "Tests of the Null of Cointegration Using Integrated and Modified OLS Residuals"

     Journal of Economic Theory and Econometrics 35 (2024), available at JETEM

7. "Self-Normalization Inference for Linear Trends in Cointegrating Regressions", 

     Journal of Time Series Analysis  46(3) (2025)

8. "Effects of Oil Supply News on Korean GDP, Prices, and Net Exports: A Proxy FAVAR Approach" 

  (with Myunghyun Kim), Journal of Economic Integration 40(1) (2025) , available at JEI.

9. "Self-Normalization Approach to Hypothesis Testing on Cointegrating Vectors" 

WORK IN PROGRESS

1. "Forecasting the Volatility of Crude Oil Prices" (with Yujung Suh)

2. "Self-Normalization Test for Parameter Instability in Cointegrating Regressions Using Recursive Estimators"

3. "Cointegration Test Using a Underspecified Model"