Research
Books
핵심 계량경제학 (Gujarati, Essentials of Econometrics 5th ed.)
정기호, 김보민, 유정근 공역
Publications
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)
A new test on asset return predictability with structural breaks
with Zongwu Cai
Journal of Financial Econometrics (2023), nbad018.
A correction has been published:Journal of Financial Econometrics (2023), nbad019.
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.). MPDI, 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
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