Research

Primary research has been mainly in time series econometrics, focusing on developing new unit root tests, cointegration tests, non-linear time series models, and other time series models. Research areas in applied works include asset pricing and financial economics, macroeconomics, international economics, international finance, environmental economics, energy economics, and other related areas.

Selected Publications

1. “A Modification of the Schmidt-Phillips Unit Root Test,” (with P. Schmidt), Economics Letters, Vol. 36, 285-289, 1991.

2. “Unit Root Tests Based on Instrumental Variables Estimation,” (with P. Schmidt), International Economic Review, Vol. 35, 2, 449-462, 1994.

3. “Modeling International Long-term Interest Rates,” (with R. DeGennaro and R. Kunkel), Financial Review, Vol. 29, 4, 577-597, 1994.

4. “An LM Test for A Unit Root in the Presence of a Structural Change,” (with C. Amsler), Econometric Theory, Vol. 11, 359-368, 1995.

5. “On the Power of Stationarity Tests Using Optimal Bandwidth Estimates,” Economics Letters, Vol. 51, 131-137, 1996.

6. “Dealing with Censored Data from Contingent Valuation Surveys: Symmetrically Trimmed Least Squares Estimation,” (with S. Kwak and C. Russell), Southern Economic Journal, Vol. 63, 743-750, 1997.

7. “On Stationarity Tests in the Presence of Structural Breaks,” (with C. Huang and Y. Shin), Economics Letters, Vol. 55, 165-172, 1997.

8. "A Joint Test for the Unit Root and the Common Factor Restriction in the Presence of Structural Break,”(with C. Amsler), Structural Change and Economic Dynamics, 8, 221-232, 1997.

9. “The Market Efficiency Hypothesis on Stock Prices: International Evidence in the 1920s,” (with Jen-Chi Cheng, C. Lin and Cliff J. Huang), Applied Financial Economics, Vol. 8, 61-65, 1998.

10. “Stationarity Tests with Multiple Endogenized Breaks,” in Nonlinear Time Series Analysis of Economics and Financial Data, edited by Philip Rothman, Kluwer Academic Press, 143-163, 1999.

11. “Average Derivative Estimation of Hedonic Price Model,” (with S. Kwak and J. List), Environmental and Resource Economics, 16, 81-91, 2000.

12. “Smooth Transition ARCH model,” (with Ray DeGennaro), Review of Quantitative Finance & Accounting, 15, 5-20, 2000.

13. “Municipal Bonds and Tax Arbitrage: A Cointegration Analysis” (with Y. Kim, S. Lile and R. Ramsey), Public Finance Review, 28, (4), 372-389, July 2000.

14. “On the End-Point Issue in Unit Root Tests in the Presence of a Structural Break,” Economics Letters, 68, 7-11, 2001.

15. “Quasi-fixed Inputs and Long-run Equilibrium in Production,” (with H.Y. Kim), Journal of Applied Econometrics, 16, 41-57, 2001.

16. “Experimenting with Multi-attribute Utility Survey Methods in a Multi-Dimensional Valuation Problem,” (with Clifford Russell, Virginia Dale, Molly Jensen, Michael Kane, and Robin Gregory), Ecological Economics, 36, 87-108, 2001.

17. “Are Shocks to Foreign Investment in Developing Countries Permanent or Temporary? Evidence from Panel Unit Root Tests,” (with Cathy Co and Mark Strazicich), Economics Letters, 70, 405-413, 2001.

18. “Testing for the Null of Cointegration in the Presence of Structural Breaks” (with William Alan Bartley and Mark Strazicich), Economics Letters, 73, 315-323, 2001.

19. “Break Point Estimation with Minimum Unit Root Tests and Spurious Rejections of the Null,” (with Mark Strazicich), Oxford Bulletin of Economics and Statistics, 63, 535 – 558, 2001.

20. “Interactive Time Series Modeling, 2000,” Software Review, (with Mark Strazicich), International Journal of Forecasting, 18, 2002, 455-460.

21. "Stationarity of Health Expenditures and GDP: Evidence from Pane Unit Root Tests with Heterogeneous Structural Breaks," (with Todd Jewell, Margie Tieslau and Mark Strazicich), The Journal of Health Economics, 22 (2), 313-323, 2003.

22. “Minimum LM Unit Root Tests with Two Structural Breaks” (with Mark Strazicich), The Review of Economics and Statistics, November 2003, Vol. 85, No. 4, 1082-1089.

23. “Examining Trends of Criteria Air Pollutants,” (with John List), Environmental Resources and Economics, 29 (1): 21-37, September 2004.

24. “Are Incomes Converging? Evidence from OECD Countries with Two Structural Breaks, (with Mark Strazicich and Ed Day), Journal of Macroeconomics, Winter 2004, Vol. 26, No. 1, 131-145.

25. “Real Effective Exchange Rate and PPP: Evidence from a Transition Economy,” (with J. Payne and R. Hofler), the Journal of Policy Modeling, 27, 665-672, 2005.

26. “Panel LM unit Root Tests with Level Shifts,” (with Kyung So Im and Margie Tieslau), Oxford Bulletin of Economics and Statistics, 67, 3, 393-419, June 2005.

27. “Historical Net Discount Rates and Future Economics Losses: Refuting the Common Practice,” in Economic Foundations of Injury and Death Damages, edited by James D. Rodgers and Gerald Martin, 2006.

28. “Nonrenewable Resource Prices: Deterministic or Stochastic Trend?” (with John A. List and Mark Strazicich), Journal of Environmental Economics and Management, 51, 354-370, May 2006.

29. “A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks,” (with Walter Enders and Ralf Becker), Journal of Time Series Analysis, 27, 3, 381-409, May 2006.

30. “Putting Out Fires: An Examination of the Determinants of State Clean Indoor-Air Laws,” (with Gary Hoover and Craig Gallet), Southern Economic Journal, 73, 1, July 2006.

31. “Empirical generalizations from brand extension research: How sure are we?” (with Werner J. Reinartz, Raj Echambadi, and Inigo Arroniz), International Journal of Research in Marketing, 23, 3, 253-261, Oct 2006.

32. “National Culture and Environmental Sustainability: A Cross-National Analysis,” (with Hoon Park and Cliff Russell), Journal of Economics and Finance, 2007.

33. “IV ECM Threshold Cointegration Tests and Nonlinear Monetary Policy in Korea,” (with W. Enders and M. Strazicich), Korea Development Review, 29(2), February 2008.

34. “Corrigendum: Stationarity of Health Expenditures and GDP: Evidence from Pane Unit Root Tests with Heterogeneous Structural Breaks,” (with M. Tieslau, and M. Strazicich), Journal of Health Economics, July 2008.

35. “The determinants of laws restricting youth access to tobacco,” (with C. Gallet and G. Hoov), Contemporary Economic Policy, 27, 16-27, January 2009.

36. “Do Solicitations Matter in Bank Credit Ratings?” (with Benton Gup and Winnie Poon), Journal of Money, Credit and Banking, 41, 285-314 , March-April 2009.

37. “ADL tests for threshold cointegration,” (with Jing Li), Journal of Time Series Analysis, 31, 4, 241-254, July 2010.

38. “New Threshold Cointegration Tests and the Taylor Rule,” (with Walter Enders, Kyung-so Im and Mark Strazicich), Economic Models, 27, 1463-1472, November 2010.

39. “LM Threshold Unit Root Tests,” (with M. Strazicich and B. Yu), Economics Letters, 110, 113-116, 2011.

40. “How Do Nonlinear Unit Root Tests Perform With Non-normal Errors?” (with Hyejin Lee and Ming Meng), Communication in Statistics, 40, 1182-1191, 2011.

41. “Performance of Threshold Cointegration Tests,” (with Mark Strazicich and Jing Li), Journal of Statistical Computation and Simulation, 1-17, 2011.

42. “An empirical analysis of mean reversion of the S&P 500’s P/E ratios,” (with Benton Gup and Ralf Becker), Journal of Economics and Finance, 36, 675-690, 2012.

43. “Performance of Nonlinear IV Unit Root Tests Using Recursive Detrending Methods,” (with Lee, H., and M. Meng), Economics Letters, 117, 214-216, 2012.

44. “Two-Step LM Unit Root Tests with Trend-Breaks,” (with M.C. Strazicich, and M. Meng), Journal of Statistical and Econometric Methods, 1 (2), 81-107, 2012.

45. “Testing for a unit-root with a nonlinear Fourier function,” (with Walter Enders), Oxford Bulletin of Economics and Statistics, 74 (4), 574-599, 2012.

46. “The Flexible Fourier Form and the Dickey-Fuller Type Unit Root Tests,” (with Walter Enders), Economics Letters, 117, 196-199, 2012.

47. “Performance of Nonlinear IV unit root test using recursive detrending methods” (with Lee, H., and M. Meng), Economics Letters, 117, 1, 214-216, 2012.

48. “Convergence in Per Capita Energy Use among OECD Countries,” (with Meng, M., and J.E. Payne), Energy Economics, 36, 536-545, 2013.

49. “Stationarity of Global Per Capita Carbon Dioxide Emissions: Implications for Global Warming Scenarios,” (with Ross McKitrick and Mark Strazicich), Journal of Forecasting, 32, 5, 435-451, 2013.

50. “Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures,” (with Lee, H., and M. Meng), Economics Letters, 120, 2, 195-199, 2013.

51. “Minimum LM Unit Root Test with One Structural Break,” (with Mark Strazicich), Economics Bulletin, 33 (4), 2483-2492, 2013.

52. “Convergence of Per Capita Sulfur Dioxide Emissions across U.S. States,” (with James Payne and Stephanie Miller), Applied Economics, 46, 11, 2014.

53. “More Powerful Unit Root Tests with Non-normal Errors,” (with Kyungso Im and Margie Tieslau), A Festschrift in Honor of Peter Schmidt, Econometric Methods and Applications, Springer Pub. Co, 2014.

54. “More Powerful LM Unit Root Tests with Non-normal Errors,” (with Ming Meng, Kyungso Im and Margie Tieslau), A Festschrift in Honor of Peter Schmidt, Econometric Methods and Applications, Springer Pub. Co., 2014.

55. “More Powerful Engle and Granger Cointegration Tests,” (with Hyejin Lee), Journal of Statistical Computation and Simulation, 85, 15, 3154-3171, Sep 2015.

56. “Improved Autoregressive Forecasts in the Presence of Non-normal Errors” (with Jing Li), Journal of Statistical Computation and Simulation, 85, 2936-2951, July 2015

57. “More Powerful Cointegration Tests with Non-Normal Errors,” (with Hyejin Lee and Kyung-so Im), Studies in Nonlinear Dynamics and Econometrics, 19, 4, 397-413, September 2015

58. “Do Per Capita Health Care Expenditures Converge Among OECD Countries? Evidence from More Powerful Unit Root Tests with Level and Trend Shift,” (with J. Payne and S. Anderson), Applied Economics, 47, 5600-5613, 2015

59. “Foreign Direct Investment and Regional Trade Agreement: Endogeneity in a Dynamic Model Specification,” (with Cristina Lira, Robert Reed, and Byung Ki Lee), Southern Economic Journal, 83, 1, 176-201, 2016

60. “Time-varying Integration of the Sovereign Bond Markets In European Post-transition Economies,” (with P. Šimović, M. Tkalec & M. Vizek), Journal of Empirical Finance, 36, 30-40, March 2016.

61. ““RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis,” (with Ming Meng and J. Payne), Studies in Nonlinear Dynamics and Econometrics, 21, 31-45, 2017

62. “Stochastic Convergence in Per Capita Fossil Fuel Consumption in U.S. States,” (with M. Vizek and James Payne), Energy Economics, 62, 382-395, 2017.

63. “Intertemporal production and intertemporal substitution in output supply and input demand,” (with H. Kim), Applied Economics, 2017

64. “Is there convergence in per capita renewable energy consumption across U.S. States? Evidence from LM and RALS-LM unit root tests with breaks,” (with J. Payne and M. Vizek) Renewable and Sustainable Energy Reviews, 2018.

65. “DF-IV Unit Root Tests Using Stationary Instrument Variables,” (with K. Im, V. Arcabic and M. Hur), Journal of Statistics and Econometrics, 2018

66. “Hysteresis in unemployment? Evidence from linear and nonlinear unit root tests and tests with non-normal errors,” (with M. Meng and M. Strazicich), Empirical Economics, 2017.

67. “Public Debt and Growth: Are There any Thresholds After All?,” (with V. Arcabic and J. Tica), Studies in Nonlinear Dynamics and Econometrics., 2019.

68. “Introduction: Special Issue Honoring the Contributions of Walter Enders”, Studies in Nonlinear Dynamics and Econometrics, 2019.

69. “Panel Unit Root Tests with Trend-shifts,” (with M. Tieslau) Economic Modeling, 2019.

70. “Oil prices and European household consumption expenditure,” (with M. Vizek and J. Payne), Economic Modeling, 2020.

71. “Response Surface Estimates of the LM Unit Root Tests,” (with S. Nazlioglu.) Economics Letters, July 2020.

72. “A century-long dynamics and convergence of income inequality among the U.S. states,” (with V. Arcabic, K. Kim and Y. You.) Economic Modelling, 2021.

73. “Tests of Stochastic Convergence in OPEC Carbon Dioxide Emissions: Evidence from Panel Stationarity Tests with Factors and Break,” (with S. Nazilioglu, C. Karul and J. Payne), Economic Modeling, 2021.

74. “Comovements in Military Spending: Evidence from a Dynamic Factor Model with Time-Varying Stochastic Volatility,” (with H. Isomitdinov and J. Payne.) Defense and Peace Economics, 2021.

75. “Testing for stationarity with covariates: More powerful tests with non-normal errors,” (with S. Nazlioglu, C. Karul and Y. You.) Studies in Nonlinear Dynamics and Econometrics, 2021.

76. “A Survey of Approaches to Convergence Tests of Emissions and Measures of Environmental Quality,” (with J. Payne and T. Islam.) Oxford Research Encyclopedia of Economics and Finance, Oxford University Press, 2021.

77. “Smooth Structural Changes and Common Factors in Testing for Unit Roots in Panel Data,” (with S. Nazlioglu, M. Tieslau, C. Karul and Y. You.) Econometrics Review, forthcoming.

78. “Johansen-type Cointegration Tests with a Fourier Function,” (with R. Pascalau and O. Liu) Journal of Time Series Analysis, forthcoming.

79. “Stochastic convergence of per capita greenhouse gas emissions: New unit root tests with breaks and a factor structure,” (with J. Payne and T. Islam), Energy Economics, forthcoming.

80. “A Closer look at the Comovements in U.S. State and MSAs Housing Price,” (with A. Tidwell and O. Liu) Real Estate Economics, forthcoming.

81. “A Comparison of the Female and Male Racial Disparities in Imprisonment” (with P. Pecorino), Journal of Economics, Race, and Policy, forthcoming.

82. "Global Perspective on the Permanent or Transitory Nature of Shocks to Tourist Arrivals" (with James Payne, Tourism Economics, forthcoming

83. “Cointegration Tests Based on Instrumental Variable Estimation,” International Journal of Empirical Economics, forthcoming.

84. “Global Perspective on the Permanent or Transitory Nature of Shocks to Tourist Arrivals: Evidence from New Unit Root Tests with Breaks and Factors,” Tourism Economics, forthcoming.

85. “The Convergence Dynamics of Per Capita International Tourist Arrivals. The International Trade Journal., forthcoming

86. “International Comovements of Public Debt,” Economic Inquiry, forthcoming.