Professor Jungbin Hwang and his co-author Yixiao Sun have had their paper, “Simple, Robust, and Accurate F and t Tests in Cointegrated Systems,” accepted by Econometric Theory as a lead article in a future issue.
In this paper, they propose new, simple, and more accurate statistical tests in a cointegrated system that allows for endogenous regressors and serially dependent errors. The approach involves first transforming the time series using orthonormal basis functions in L-2 space, which have energy concentrated at low frequencies, and then running an augmented regression based on the transformed data and constructing the test statistics in the usual way. The F and t tests developed in this article, are extremely simple to implement have more accurate size in finite samples than existing tests such as the asymptotic chi-squared and normal tests based on the fully modified OLS estimator of Phillips and Hansen (1990) and can be made as powerful as the latter test.
Professor Jungbin Hwang has published the paper “Asymptotic F and t tests in an efficient GMM setting” with his co-author Yixiao Sun in the Journal of Econometrics Volume 198, Issue 2, June 2017, Pages 277-295.
In this paper, they propose a simple and easy-to-implement modification to the trinity of test statistics in the two-step efficient GMM setting and show that the modified test statistics are all asymptotically F distributed under the so-called fixed-smoothing asymptotics. The main contributions of this paper are developing convenient asymptotic F tests whose critical values, i.e., the standard F critical values, are readily available from standard statistical tables and programming environments. For testing a single restriction with a one-sided alternative, the paper also develops an asymptotic test theory using the standard t distribution as the reference distribution.
The Economics Department is happy to welcome four faculty who joined UConn at the beginning of the Fall Semester. Chihwa (Duke) Kao, formerly at Syracuse University, joined the economics department as its new Department Head. Kao is a renowned econometrician working on time series and panel data topics.
Jungbin Hwang also joined the faculty as an Assistant Professor this Fall after completing his Ph.D. at the University of California San Diego. Hwang is also an econometrician working on panel data and time series topics.
Hyun Lee also joins the faculty as an Assistant Professor after completing his Ph.D. at the University of Chicago. Hyun is a macroeconomist who works on topics related to economic growth and policy analysis.
Patricia Ritter joins the faculty as an Assistant Professor following completion of her Ph.D. at the University of Chicago. Dr. Ritter works on topics at the intersection of development and health.