Publications and Recent Working Papers:

Econometrics (emphasis on stochastic trends and mixed-frequency time series)

• “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, 2018. ( wp, doi )
• “Testing Cointegrating Relationships Using Irregular and Non-Contemporaneous Series with an Application to Paleoclimate Data,” Journal of Time Series Analysis, 2019. ( wp, doi )
• “Time-Varying Cointegration and the Kalman Filter” (with B.A. Eroglu and T. Yigit) ( wp )

Econometric models of energy, climate, and agriculture 

• “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 )
• “Modeling and Extrapolating Wheat Producer Support Using Income and Other Factors” (with J. Zhao and W. Thompson), Journal of Agricultural Economics, 2018. ( 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), Journal of Econometrics, forthcoming ( wp, doi )
• “Dating Hiatuses: A Statistical Model of the Recent Slowdown in Global Warming – and the Next One” (with K. Nam) ( wp, wp )
• “Local Climate Sensitivity: A Statistical Approach for a Spatially Heterogeneous Planet” ( wp )
• “Beyond RCP8.5: Marginal Mitigation Using Quasi-Representative Concentration Pathways” (with W.A. Brock) ( 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 )

Recent big data project: Universal Rating System for chess players.