J. Isaac (Zack) Miller

Publications and Recent Working Papers:

Econometric Theory

  • “Extracting a Common Stochastic Trend: Theory with Some Applications” (with Y. Chang and J.Y. Park), Journal of Econometrics, 2009. ( wp, doi )
  • “A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels,” Journal of Time Series Econometrics, 2010. ( wp, doi )
  • “Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistence in Memory” (with J.Y. Park), Journal of Econometrics, 2010. ( wp, doi )
  • “Cointegrating Regressions with Messy Regressors and an Application to Mixed-Frequency Series,” Journal of Time Series Analysis, 2010. ( wp, doi )
  • “Mixed-Frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures,” Journal of Financial Econometrics, 2014. ( wp, doi )
  • “On the Size Distortion from Linearly Interpolating Low-Frequency Series for Cointegration Tests” (with E. Ghysels), Advances in Econometrics, 2014. ( wp, doi )
  • “Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series” (with E. Ghysels), Journal of Time Series Analysis, 2015. ( wp, doi )
  • “Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series,” Econometric Reviews, 2016. ( wp, doi )
  • “Implementing Residual-Based KPSS Tests for Cointegration with Data Subject to Temporal Aggregation and Mixed Sampling Frequencies” (with X. Wang), Journal of Time Series Analysis, 2016. ( wp, doi )
  • “Simple Robust Tests for the Specification of High-Frequency Predictors of a Low-Frequency Series,” Econometrics and Statistics, forthcoming. ( wp, doi )

Energy/Climate Econometrics

  • “Crude Oil and Stock Markets: Stability, Instability, and Bubbles” (with R.A. Ratti), Energy Economics, 2009. ( wp, doi )
  • “Long-Term Oil Price Forecasts: A New Perspective on Oil and the Macroeconomy” (with S. Ni), Macroeconomic Dynamics, 2011. ( wp, doi )
  • “Time-Varying Long-Run Income and Output Elasticities of Electricity Demand with an Application to Korea” (with Y. Chang, C.S. Kim, J.Y. Park, and S. Park), Energy Economics, 2014. ( wp, doi )
  • “A New Approach to Modeling the Effects of Temperature Fluctuations on Monthly Electricity Demand” (with Y. Chang, C.S. Kim, J.Y. Park, and S. Park), Energy Economics, 2016. ( wp, doi )
  • “Disentangling Temporal Patterns in Elasticities: A Functional Coefficient Panel Analysis of Electricity Demand” (with Y. Chang, Y. Choi, C.S. Kim, and J.Y. Park), Energy Economics, 2016. ( wp, doi )
  • “Evaluating Trends in Time Series of Distributions: A Spatial Fingerprint of Human Effects on Climate” (with Y. Chang, R.K. Kaufmann, C.S. Kim, J.Y. Park, and S. Park) ( wp )
  • “Local Climate Sensitivity: A Statistical Approach for a Spatially Heterogeneous Planet” ( wp )

Other Applied Econometrics

  • “Testing the Bounds: Empirical Behavior of Target Zone Fundamentals,” Economic Modelling, 2011. ( wp, doi )
  • “On the Spatial Correlation of International Conflict Initiation and Other Binary and Dyadic Dependent Variables” (with S. Luo), Regional Science and Urban Economics, 2014. ( wp, doi )

A Recent Project: Universal Rating System for chess players.