Machine Learning Methods 

• On LASSO Inference for High Dimensional Predictive Regression (with Zhan Gao, Ziwei Mei and Zhentao Shi)

• Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach (with Rui Fan* and Youngki Shin), Journal of Econometrics, 237-2  (2023), 105372 

• Complete Subset Averaging for Quantile Regressions (with Youngki Shin),  Econometric Theory, 39 (2023) 146-188 

• On LASSO for Predictive Regression (with Zhentao Shi and Zhan Gao), Journal of Econometrics, 229-2 (2022), 322-349

General Economics Subjects

• Heterogeneity in Household Inflation Expectations: Policy Implications (with Taeyoung Doh and Woong Yong Park)

• Tuning Parameter-Free Nonparametric Density Estimation from Tabulated Summary Data  (with Yuya Sasaki, Alexis Akira Toda, and Yulong Wang), Journal of Econometrics, 238-1 (2024), 105568  

• Nonparametric Identification and Estimation of the Extended Roy Model (with Byoung Park), Journal of Econometrics, 235-2 (2023), 1087-1113 

• Fixed-k Tail Regression: New Evidence on Tax and Wealth Inequality from Forbes 400  (with Yuya Sasaki, Alexis Akira Toda, and Yulong Wang)

• Capital and Labor Income Pareto Exponents in the United States, 1916-2019  (with Yuya Sasaki, Alexis Akira Toda, and Yulong Wang)

• Asset Pricing with Financial Bubble Risk (with Peter Phillips), Journal of Empirical Finance, 38 (2016) 590-622

Quantile Methods 

• Estimation and Inference of Quantile Impulse Response Functions by Local Projections: with Applications to VaR Dynamics (with Heejoon Han and Whayoung Jung), Journal of Financial Econometrics, nbac026 (2022) 

• Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance (with Whayoung Jung*), Advances in Econometrics, 45 (2023), 99-131 

• Quantilograms under Strong Dependence  (with Oliver Linton and Yoon-Jae Whang),  Econometric Theory, 36 (2020) 457-487

• Predictive Quantile Regressions Under Persistence and Conditional Heteroskedasticity  (with Rui Fan),  Journal of Econometrics, 213 (2019) 261-280

• Predictive Quantile Regression with Persistent Covariates: IVX-QR Approach, Journal of Econometrics, 192 (2016) 105-118,  Supplement, Matlab codes available upon request.

Network Econometrics 

• Stable Limit Theorems for Empirical Processes under Conditional Neighborhood Dependence (with Kyungchul Song), Bernoulli, 25-2 (2019) 1189-1224

Predictive Regressions  

• Robust Econometric Inference with Mixed Integrated and Mildly Explosive Regressors  (with Peter Phillips), Journal of Econometrics, 192 (2016) 433-450,  Supplement

• Predictive Regression under Various Degrees of Persistence and Robust Long-Horizon Regression (with Peter Phillips), Journal of Econometrics, 177 (2013) 250-264, Supplement 

Local Identification Problem in Generalized Method of Moment (GMM) 

• On Standard Inference for GMM with Local Identification Failure of Known Forms (with Zhipeng Liao), Econometric Theory, 34 (2018) 790-814

Nonstationarity and Nonlinear Dependence in Time Series 

• Martingale Decomposition and Approximations for Nonlinearly Dependent Processes, Statistics and Probability Letters, 152 (2019) 35-42

• Limit Theory for Explosive Autoregression Under Conditional Heteroskedasticity, Journal of Statistical Planning and Inference, 196 (2018) 30-55

• Limit Theory for VARs with Mixed Roots near Unity (with Peter Phillips), Econometric Reviews, 34.6-10 (2015) 1034-1055