계량경제학 (James Stock and Mark Watson, Introduction to Econometrics 4th ed.)
이서정, 김보민, 김현학, 최진영 공역
핵심 계량경제학 (Gujarati, Essentials of Econometrics 5th ed.)
정기호, 김보민, 유정근 공역
A new test on asset return predictability with structural breaks
with Zongwu Cai
Journal of Financial Econometrics, 22(4) (2024), 1042-1074.
A correction has been published:Journal of Financial Econometrics (2023), nbad019.
Financial digitalisation and employment in the financial industry
with Hogyu Jhang, Jaesung Park, Ki Beom Binh
Review of Financial Information Studies, 13(1) (2024), 113-138. (in Korean)
Time series analysis of electricity demand and long-term forecast
Journal of the Korean Data Analysis Society, 25(4) (2023), 1363-1376. (in Korean)
Robust testing of time trend and mean with unknown integration order errors
with Pierre Perron and Jiawen Xu
Journal of Statistical Computation and Simulation, 92(17) (2022), 3561-3582.
Estimation of a level shift in panel data with fractionally integrated errors
Economics Letters, 206 (2021), 109971.
Estimation of residential electricity demand in Korea allowing for a structural break
Journal of Economic Theory and Econometrics, 31(4) (2020), 69-85.
A new test of asset return predictability with an unstable predictor
Economics Letters, 196 (2020), 109529.
Bootstrap confidence intervals for a break date in linear regressions
Journal of Statistical Computation and Simulation, 90(13) (2020), 2438-2454.
A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
with Pierre Perron
Econometric Reviews, 37(6) (2018), 577-601.
Fractional unit root tests allowing for a structural change under both the null and alternative hypotheses
with Pierre Perron
Econometrics, 5 (2017) , 5.
Reprinted in Unit Root and Structural Breaks, P. Perron (ed.). MDPI, Basel, Switzerland, 2018.
Econometrics Best Paper Award 2018 Journal
Inference on a structural break in trend with fractionally integrated errors
with Pierre Perron
Journal of Time Series Analysis, 37(4) (2016), 555-574.
Journal | WP | Supplement
Working Papers
Estimation of a Level Shift in Panel Data with Non-stationary Fractionally Integrated Errors
submitted
Empirical Likelihood Tests for a Change in Persistence in Time Series Models
Asymptotic validity of bootstrap methods for a structural break in trend
under revision.
Work in Progress
A new test for panel predictive regressions
with Zongwu Cai