Jaeho Kim, PhD - 김재호
I am a research fellow at the Korea Development Institute (KDI). My primary fields of research are Bayesian econometrics, empirical macroeconomics, and empirical finance. My recent research interests also include machine learning algorithms and big data analysis.
Publications in Refereed Journal
 "Price Discovery under model uncertainty" with Scott Linn, Forthcoming at Energy Economics [wp version]
 "Hidden group patterns in democracy developments: Bayesian inference for grouped heterogeneity." Journal of Applied Econometrics 34.6 (2019): 1016-1028. with Le Wang [wp version] [published version] [online appendix] [replication files]
 “Heterogeneous Endogeneity” Statistical Papers 62, 847-886 (2021). with Kevin Grier and Pallab Ghosh [wp version] [published version]
 "An efficient sequential learning algorithm in regime-switching environments." Studies in Nonlinear Dynamics & Econometrics 23.3 (2019). with Sunhyung Lee [published version]
 Bayesian Inference of Regime-Switching ARMA Models with Absorbing States: Dynamics of Ex-Ante Real Interest Rate under Structural Breaks, at Journal of Business and Economic Statistics, Volume 33, Issue 4, 2015 with C-J Kim [published version] [replication files]
 "Price Discovery via long-run forecast" (Original Version 2021) with Scott Linn
 "Bayesian estimation of block covariance matrices" (Original Version 2021) with Drew Creal
 "Non-Markovian Regime Switching Models” (Original Version 2017, Recent Version 2018) with CJ Kim, [wp version]
Working in Progress
 "Nowcasting for the Korean economy"
 "Consumption and debt response to aggregate shocks for the Korean economy"
 "Finding Hidden Group Patterns in Big Unbalanced Panel Data"
 "A New Model for Financial leverage effect" with Chang-Jin Kim (U of Washington, Seattle)
 "A New Model for high-dimensional housing prices" with C.Y. Choi (U of Texas, Arlington)
 "Immigrant labor supply" with Le Wang and Chunbei Wang (U of Oklahoma)
 "Variable selection in regime switching models" with Salimeh Abedini Birang (U of Oklahoma)