Research

Published & Forthcoming Papers (Google Scholar)

* indicates the Ph.D. students whom I served or am serving as the dissertation chair

[18] 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

[17] 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

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

[15] 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, 22-1 (2024), 1-29

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Completed Working Papers