Sung Hoon Choi

Assistant Professor

Personal Website

Field: Econometrics

Research interests:

• Econometric Theory, Financial Econometrics, Machine Learning, Forecasting
• Concentration: large panel data and factor models, high-dimensional data, high-frequency data

Education:

• 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

Courses Taught:

• Econ 3322/5322: Open Source Programming with Python for Economists (Undergraduate/MSQE)
• Econ 6310: Econometrics I (Ph.D)
• Econ 6312: Econometrics III (Ph.D)

Publications:

• “Large Global Volatility Matrix Analysis Based on Observation Structural Information,” with Donggyu Kim, Econometric Theory, forthcoming.
• “Large Volatility Matrix Analysis using Global and National Factor Models,” with Donggyu Kim, Journal of Econometrics, 235, 1917-1993 (2023).
• “Feasible Weigthed Projected Principal Component Analysis for Semiparametric Factor Models,“ The Econometrics Journal, 26, 215-234 (2023).
• “Standard Errors for Panel Data Models with Unknown Clusters,” with Jushan Bai and Yuan Liao, Journal of Econometrics, 240, 105004 (2024).
• “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).