Subject Areas: Econometrics Theory, Applied Econometrics and Financial Econometrics
My research mainly focuses on the efficiency and approximation issues in Generalized Method of Moments (GMM) methods for economic data in the presence dependence and heterogeneity. I develop new, more accurate, and easy-to-use approximations to the nonparametric estimator of GMM weighting matrix. Besides the GMM context, I also apply the idea of new asymptotics to other modern econometric models such as triangular cointegration regression and long-horizon predictive regression. I am also interested in applied econometrics, financial econometrics, and Bayesian econometrics.
Extreme risk spillover in financial markets: Evidence from the recent financial crisis (with Jae-Young Kim)
Seoul Journal of Economics, 28, (2015): 171-198.
- Simple, Robust, and Accurate F and t Tests in Cointegrated Systems (with Yixiao Sun)
Lead article at Econometric Theory (2018), Vol 34, Issue 5, 949-984 [Paper link]
Should We Go One Step Further? An Accurate Comparison of One-step and Two-step Procedures in a Generalized Method of Moments Framework (with Yixiao Sun)
Journal of Econometrics (2018), 207(2), 381-405. [Paper link]
- Religiosity: Identifying the Effect of Pluralism (with Metin Cosgel, Thomas J. Miceli and Sadullah Yıldırım)
Journal of Economic Behavior & Organization (2019), 158, 219-235. [Paper link]
A Doubly Corrected Robust Variance Estimator for Linear GMM (with Byunghoon Kang and Seojeong Jay Lee)
Journal of Econometrics, (2022), 229(2), 276-298 [Paper Link]
Finite-sample Corrected Inference for Two-step GMM in Time Series (with Gonzalo Valdés, December 2021)Journal of Econometrics, forthcoming [Paper Link]
Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence (with Gonzalo Valdés, Dec 2021)Accepted subject to a minor revision at Journal of Business & Economic Statistics [Paper]