Sung Hoon Choi
My research focuses on the development of new tools for use with big data, machine learning, and forecasting. The tools primarily involve the development of new theoretical methods for use in both estimation and statistical inference using high-dimensional panel datasets.
Econometric Theory, Financial Econometrics, Machine Learning, Forecasting
Concentration: high-dimensional data, large panel data and factor models
Ph.D., Economics, Rutgers University, NJ, 2021
M.A., Applied Statistics, Yonsei University, Seoul, South Korea, 2016
B.A., Statistics, University of California at Berkeley, CA, 2013
Published and Forthcoming Papers
"Large Volatility Matrix Analysis using Global and National Factor Models," with Donggyu Kim, Journal of Econometrics, accepted.
"Feasible Weigthed Projected Principal Component Analysis for Semiparametric Factor Models," The Econometrics Journal, 26(2), 215-234 (2023).
"Standard Errors for Panel Data Models with Unknown Clusters," with Jushan Bai and Yuan Liao, Journal of Econometrics, In press. [Matlab codes Replication Files]
"Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations," with Jushan Bai and Yuan Liao, Empirical Economics, 60, 309-326 (2021). [Matlab codes Replication Files]
"Tree Size Determination for Classification Ensemble," with Hyunjoong Kim, 2016, Journal of the Korean Data and Information Science Society, 27, 255-264. (Pre-doctoral)
"Large Global Volatility Matrix Analysis Based on Structural Information," with Donggyu Kim