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
)
- “Modeling and Extrapolating Wheat Producer Support Using Income and Other Factors” (with J. Zhao and W. Thompson), Journal of Agricultural Economics, forthcoming.
A Recent Project:
Universal Rating System for chess players.
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