Publications (& codes)
"Fast inference for quantile regression with tens of millions of observations." Journal of Econometrics (2024): 105673, with Lee, Sokbae, Yuan Liao, and Youngki Shin.
“Nonlinear dynamics of Kimchi premium”, Economic Modelling (2024) 135, 106726, with Bonsoo Koo, and Yangzhuoran Fin Yang.
“SGMM: Stochastic Approximation to Generalized Method of Moments”, Journal of Financial Econometrics, (2023) with Xiaohong Chen, Sokbae Lee, Yuan Liao, Myung Hwan Seo, and Myunghyun Song.
"Robust Inference on Infinite and Growing Dimensional Time Series Regression" Econometrica (2023) 91(4), 1333-1361, with Abhimanyu Gupta.
"Testing Stochastic Dominance with Many Conditioning Variables" Journal of Econometrics (2023) Vol. 235, 507-527, with Oliver Linton and Yoon-Jae Whang.
"Minimax Risk in Estimating Kink Threshold and Testing Continuity" Essays in Honor of Joon Y. Park: Econometric Theory (Advances in Econometrics, Vol 45A, Chapter 8) (2023), 233-259 with Javier Hidalgo, Heejun Lee, and Jungyoon Lee.
"Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling" Proceedings of the AAAI Conference on Artificial Intelligence, (2022), 36(7), 7381-7389, with Sokbae Lee, Yuan Liao, and Youngki Shin.
"Factor-Driven Two-Regime Regression" the Annals of Statistics (2021) Vol. 49, No. 3, 1656-1678, with Sokbae Lee, Yuan Liao, Youngki Shin.
"Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate" Journal of Econometrics (2021), 220 (1), 158-180, with Sokbae Lee, Yuan Liao, Youngki Shin.
“Discussion on selecting the number of breaks in the pattern of spread of COVID-19 (a reply to Zhao and Liang)”, International Journal of Infectious Diseases (2020), 100, 132, with Young-Joo Kim and Hyun-E Yeom.
"Estimating a breakpoint in the pattern of spread of COVID-19 in South Korea", International Journal of Infectious Diseases (2020), 97, 360-364 with Young-Joo Kim and Hyun-E Yeom.
"Desperate times call for desperate measures: government spending multipliers in hard times" Economic Inquiry (2020),58 (4), 1949-1957, with Sokbae Lee, Yuan Liao, Youngki Shin.
"Frequent or Systematic Changes? Discussion: Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection", Journal of the Korean Statistical Society (2020), 49(4), 1096-1098.
"High-Dimensional Predictive Regression in the Presence of Cointegration" Journal of Econometrics (2020), 219(2), 456-477, with Bonsoo Koo, Heather Anderson, Wenying Yao.
"Estimation of Dynamic Panel Threshold Model using Stata", Stata Journal (2019), 19, 685-697, with Sueyoul Kim, Young-Joo Kim.
“Robust Inference for Threshold Regression Models,” Journal of Econometrics (2019), 210 (2), 291-309, with Javier Hidalgo and Jungyoon Lee.
“Local M-estimation with Discontinuous Criterion for Dependent and Limited Observations”, the Annals of Statistics (2018), 46, 344-369, with Taisuke Otsu. PDF here
“Oracle Estimation of a Change-point in High-Dimensional Quantile Regression” Journal of the American Statistical Association, Theory and Methods section (2018), 113, 1184-1194, with Sokbae Lee, Yuan Liao, Youngki Shin.
“Is there a Jump in the Transition” Journal of Business and Economic Statistics, (2017), 35, 241-249 with Young-Joo Kim. Gauss code
“Testing for A Debt-Threshold Effect on Output Growth” Fiscal Studies (2017), 38, 701-717, with Sokbae Lee, Hyunmin Park, and Youngki Shin.
“Dynamic Panels with Threshold Effect and Endogeneity,” Journal of Econometrics (2016), 195, 169–186 with Yongchul Shin.
Gauss code; <<NEW>> Stata Command xthenreg <<NEW>>
“The Lasso for High-Dimensional Regression with a Possible Change Point,” Journal of the Royal Statistical Society Series B (2016), 78, 193-210 with Sokbae Lee and Youngki Shin.
“Structural Break Models under Misspecification: Implication for Forecasting,” Journal of Econometrics, (2015), 188, 166-181 with Bonsoo Koo. Gauss code
“Specification Tests for Lattice Processes,” Econometric Theory (2015), 31, 294-336 with Javier Hidalgo.
The winning article for “Tjalling C. Koopmans Econometric Theory Prize 2015-17”
Discussion of “Multiscale change point inference” by Frick, Munk and Sieling, Journal of the Royal Statistical Society Series B (2014), 76, 548, with Oliver Linton.
“Testing for structural stability in the whole sample,” Journal of Econometrics (2013), 175, 84-93, with Javier Hidalgo.
“Testing for non-nested conditional moment restrictions using unconditional empirical likelihood,” Journal of Econometrics (2012), 167, 370-382, with Yoon-Jae Whang and Taisuke Otsu.
“Testing for threshold effects in regression models,” Journal of the American Statistical Association, Theory and Methods section (2011), 106, 220-231, with Sokbae Lee and Youngki Shin. “Correction,” Journal of the American Statistical Association (2017) , 112, 883. Gauss code
“Estimation of nonlinear error correction models,” Econometric Theory (2011), 27, 201-234.
“Semiparametric estimation of a binary response model with a change-point due to a covariate threshold,” Journal of Econometrics (2008), 144, 492-499, with Sokbae Lee.
“Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap,” Econometric Theory (2008), 24, 1699-1716. R code; Gauss code
“A smoothed least squares estimator for threshold regression models,” Journal of Econometrics (2007), 141, 704-735, with Oliver Linton. Gauss code
“Bootstrap testing for the null of no cointegration in a threshold vector error correction model,” Journal of Econometrics (2006), 134, 129-150.