Research

PUBLICATIONS:

             “New Evidence on Crude Oil Market Efficiency” (with Liang Hu), forthcoming in Economic Inquiry

            “Effects of Information Quality on Signaling through Sovereign Debt Issuance” (with Hyungseok Joo and Young-Ro Yoon),

            Journal of Economic Behavior and Organization (2023), Vol. 207, 279-304.

         “Floating Population and Demand for Movie Theaters in Metropolitan cities” (with Inkyung Kim and Youngro Yoon):
            Hitotsubashi  Journal of Economics (2020), 61, 140-169.

           “Asymptotic Inference for Dynamic Panel Estimator of Infinite Order Autoregressive Processes” (with Ryo Okui

           and Moto Shintani): Journal of Econometrics (2018), Vol. 204(2), 147-158.

            “A General Approach to Testing Volatility Models in Time Series” (with Yongmiao Hong): Journal of Management Science 

           and Engineering (2017), Vol. 2, 1-33.

            “Testing Linear Dynamic Panel Data Models against Nonlinear Alternatives ” : Journal of Econometrics (2014) 

             Vol. 178, 146-166

“A Loss Function Approach to Model Specification Testing and Its Relative Efficiency to the GLR Test”  (with Yongmiao Hong) :
Annals of Statistics (2013), Vol. 41(3), 1166-1203. 

“Detecting Misspecifications in Autoregressive Conditional Duration Models and Nonnegative Time Series Processes,” (with Yongmiao Hong): Journal of Time Series Analysis(2011), Vol. 32, 1-32. 

“An Improved Generalized Spectral Tests for Conditional Mean Specification in Time Series with Conditional Heteroskedasticity of Unknown Form,” (with Yongmiao Hong): Econometric Theory (2007), Vol. 23, 106-154. 

“Generalized Spectral Tests for Conditional Mean Specification in Time Series with Conditional Heteroskedasticity of Unknown Form,” (with Yongmiao Hong): Review of Economic Studies, (2005), Vol. 72, 499-541.

WORKING PAPERS:

  “Instrumental Variables Estimation for Infinite Order Panel Autoregressive Processes” (with Ryo Okui and Moto Shintani),

             revise and resubmission requested

           “A Unified Approach to Testing Nonlinear Time Series Models” (with Yongmiao Hong)

    “Competition for Market Share, Oversupply, and Price Rigidity under Sequential Supply Decisions ” (with In Kyung Kim and

  Young-Ro Yoon), revise and resubmission requested 

WORK IN PROGRESS:

    “Asymptotic Inference and Causal Inference for Panel VAR Models” (with Ryo Okui and Moto Shintani)
 

     “Information Quality Signaling through Sovereign Debt Issuance” (with Hyungseok Joo and Young-Ro Yoon)