Recent Working Papers
Policy
Evaluation with Nonlinear Trended Outcomes: COVID-19 Vaccination Rates in the
US. 2024 (with Lynn Morgan and Peter C.B. Phillips) Online
Supplementary Appendix
Unpublished Working Papers
Pooling is Harmful Sometimes, March 2016
The Role of Labor Share in Relative Price Divergence May 2015 (with Horag Choi, Ryan
Greenaway-McGrevy and Youngse Kim)
Published Papers and Book
Chapters
All
papers below are copyrighted by their publishers and are not to be reproduced without
the permission of the publishers.
1.
Depth-weighted means of noisy data: An
application to estimating the average effect in heterogeneous panels. (with
Yoonseok Lee), Journal of Multivariate Analysis, 196, 2023 105-165.
2.
Depth-Weighted Forecast Combination: Application to
COVID-19 Cases (with Yoonseok Lee), Advanced in Econometrics, Essays in Honor of Joon Y. Park: Econometric
Methodology in Empirical Applications. Emerald Publishing Limited, 2023. 235-260.
3.
Trimmed Mean Group Estimation (with Yoonseok
Lee), Advanced
in Econometrics, Essays in honor of M. Hashem Pesaran: Panel Modeling, Micro
Applications, and Econometric Methodology. Emerald Publishing Limited.
2022. 177-202.
4.
Two-Way
Fixed Effects versus Panel Factor Augmented Estimators: Asymptotic Comparison
among Pre-testing Procedures (with Minyu Han, Jihun Kwak), Econometric Review, 41 (3), 2022. 291-320.
5. Testing weak sigma convergence using HAR Inference, Li, T.,Pesaran, M.H. and Terrell, D. (Ed.) Essays in
Honor of Cheng Hsiao (Advances in Econometrics, Vol. 41), Emerald Publishing Limited, pp. 25-72.
6. Weak Sigma Convergence: Theory and
Applications (with Jianning Kong and Peter C.B. Phillips), Journal
of Econometrics,.
2019, (2), 185-207. Online Supplement (Appendix of Proofs)
, Stata and Gauss
Code, Additional MC results
7.
Estimation of Treatment Effects in Repeated
Public Good Experiments (with Jianning Kong), 2019, In honor of Peter C.B. Phillips, Econometrics,
6(4), 43.
8.
Identifying Exchange Rates Common Factors
(with Ryan Greenaway-McGrevy, Nelson C. Mark and Jyh-Lin
Wu), International
Economic Review, 2018, 59(4), 2193-2218. Data and Program
5 Lag Length Selection in Panel
Autoregression (with Chirok Han and Peter C.B. Phillips) Econometric
Review 2017, Vol 36(1), 225—240. Gauss
Code.
6
Identification
of Unknown Common Factors: Leaders and Followers (with Jason Parker) Journal of Business, Economics &
Statistics, 2016, Vol 34(2), 227—239 Additional
MC results, Example GAUSS Code
7 Efficient Estimation and Inference for Difference-In-Difference Regressions with Persistent Errors" in honor of Peter C.B. Phillips, Advances in Econometrics, 2014, 33, 281--302 (with Ryan Greenaway-McGrevy and Chirok Han)
8
Average
Estimation of Dynamic Panel Models with Nonstationary Initial Condition"
In honor of Peter C.B. Phillips, Advances in Econometrics, 2014, Vol 33, 241--279 (with
John Chao and Myungsup Kim)
9 Dynamic Panel Analysis under
Cross-Sectional Dependence Political
Analysis, 2014, Vol 22(2),
258—273 (with K. Gaibulloev and T. Sandler).
10 Of Nickell Bias,
Cross-Sectional Dependence, and Their Cures: Reply. Political Analysis, 2014, Vol 22(2), 279—280 (with K.
Gaibulloev and T. Sandler).
11
X-Differencing and Dynamic Panel Model Estimation, Econometric Theory,
2014, 30(1), 201—251 (with Chirok Han and P.C.B.
Phillips)
12 Common Drivers of Transnational Terrorism: Principal Component Analysis Economic Inquiry, 2013, 707-721. (with K. Gaibulloev and T. Sandler)
13 When Are Pooled Panel-Data Regression Forecasts
of Exchange Rates More Accurate than the Time-Series Regression Forecasts?, Handbook of Exchange Rates,
2012, 256-281 (with Nelson C. Mark) Edited by J. James, I.W. Marsh and L.
Sarno. John Wiley & Sons, Inc.
14 Standardization
and Estimation of the Number of Factors for Panel Data, Journal
of Economic Theory and Econometrics, 2012, 23(2), 79-88 (with Ryan
Greenaway-McGrevy and Chirok Han)
15 Estimating the Number of Common Factors in
Serially Dependent Approximate Factor Models, Economics Letters 2012,
116, 531--534 Additional MC results (with
Ryan Greenaway-McGrevy and Chirok Han)
16 Asymptotic Distribution of Factor Augmented Estimators
for Panel Regression In honor of Peter C.B.
Phillips, Journal of Econometrics 2012, 169, 48--53 (with R. Greenaway-McGrevy and C. Han).
17 Uniform Asymptotic Normality in Stationary and
Unit Root Autoregression Econometric Theory 2011, 27 (6), 1117--1151 (with C. Han and
P.C.B. Phillips)
18 Bias Reduction in Dynamic Panel Data Models by
Recursive Mean Adjustment under Cross Section Dependence Oxford Bulletin of Economics & Statistics, 2010, 72 (7), 567--599 (with CY Choi and Nelson C. Mark)
19 Panel Unit Root Tests under Cross Section Dependence
with Recursive Mean Adjustment Economics Letters
2009, 105 (1). 123-126, Detail Critical
values for CRMA tests (Excel File). Example Gauss Code
20 Economic Transition and Growth Journal of Applied Econometrics
2009, 24, 1153-1185 (with P.C.B. Phillips). Example Gauss
Code , Stata
Code written by Kerui Du
21 Endogenous Discounting, the World Savings Glut
and the U.S. Current Account Journal of International Economics, 2008, 30—53.
(with Horag Choi and Nelson C. Mark)
22 Transition
Modeling and Econometric Convergence Tests Econometrica, 2007, Vol
75, 1771-1855. (with P.C.B. Phillips)
Power
Point Slides by Sul, Gauss Code for Clustering Algorithm
Data
23 Some
Empirics on Economic Growth under Heterogeneous Technology Journal
of Macroeconomics, 2007, 455-469.
(with P.C.B. Phillips)
24 Bias
in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross
Section Dependence Journal of
Econometrics, 2007, Vol 137, 162-188 (with P.C.B. Phillips)
25 Unbiased
Estimation of the Half-Life to PPP Convergence in Panel Data Journal
of Money, Credit, and Banking, 2006, 921-938. (with C.Y. Choi
and N.C. Mark) Data, Gauss Code
26 Prewhitening Bias in HAC Estimation
27
Dynamic Seemingly
Unrelated Cointegrating Regression (with N.C. Mark and M. Ogaki), Review of Economic Studies, 2005, 72, 797-820. Gauss Code
28 Dynamic Panel Estimation and Homogeneity Testing Under
Cross Section Dependence Econometrics
Journal, 2003, Vol. 6. 217—260. (with P.C.B.
Phillips) Gauss Code
29 Cointegration vector estimation by panel DOLS and long-run
money demand Oxford
Bulletin of Economics & Statistics, 2003, Vol 65, 655-680. (with
N.C. Mark) Gauss Code (Updated Aug 2010)
30 Spatial Market Efficiency and Policy Regime Change:
Seemingly Unrelated Error Correction Model Estimation American Journal
of Agricultural Economics, 2002, 84(4), 1042—1053. (with S.R. Thompson, M.T. Bohl)
31
Nominal Exchange Rates and Monetary Fundamentals: Evidence from a
Seventeen Country Panel Journal of
International Economics, 2001, 53, 29-52 (with N.C. Mark) Data
and Program (GAUSS code)
32 Excess Volatility of Realized Excess Profit from
Currency Speculation in a Two-Country General Equilibrium Model Review of International Economics,
1999, 7, 280-292.
33 Does Ex Post Uncovered Interest Differential Reflect on the Degrees of Capital Mobility? Applied Economics Letters, 1999, 6, 97-102.