Econometrics, HAR inference in time series, Stochastic frontier model
Working papers
[1] “ Generalized Quantile Random Forest with Smoothed Estimating Equations ” (with Youngjin Kang)
Publications
[1] “ Can the Tone of Central Bankers’ Speeches Help Shape Inflation Expectations?: Evidence from Japan” (with Dooyeon Cho), Journal of International Financial Markets, Institutions and Money, vol. 107, 102283, 2026
[3] “ Combining Long and Short Memory in Time Series Models: The Role of Asymptotic Correlations of the MLEs ” (with Richard T. Baillie and Dooyeon Cho),Econometrics and Statistics, vol. 29, 88-112, 2024
[4] “ Physical and Psychological Burden among Caregivers of Latinx Older Adults with Stroke and Multimorbidity” (with Shilpa Krishnan, Tony Chen, and Sarah Caston), Ethnicity & Disease, vol. 33, 156-162, 2023
[5] “ Approximating Long Memory Processes with Low Order Autoregressions: Implications for Modeling Realized Volatility ” (with Richard T. Baillie and Dooyeon Cho) Empirical Economics, vol 64, 2911-2937, 2023
[6] “ On Asymmetric Volatility Effects in Currency Markets” (with Dooyeon Cho), Empirical Economics, vol. 62, 2149-2177, 2022
[7] “ Inference in Time Series Models using Smoothed Clustered Standard Errors” (with Timothy J. Vogelsang), Journal of Econometrics, vol. 224, 113-133, 2021, pdf, supplemental appendix, additional results
[8] “ Time Variation in the Persistence of Unemployment over the Past Century” (with Dooyeon Cho), Economics Letters, vol. 182, 19-22, 2019
[9] “ Long Memory, Realized Volatility and Heterogeneous Autoregressive Models” (with Richard T. Baillie, Fabio Calonaci, and Dooyeon Cho), Journal of Time Series Analysis, vol. 40, 609-628, 2019
[10] “ Heteroskedasticity Autocorrelation Robust Inference in Time Series Regressions with Missing Data” (with Timothy J. Vogelsang), Econometric Theory, vol. 35, 601-629, 2019, pdf,supplemental appendix
[11] “ Are All Firms Inefficient?” (with Peter J. Schmidt), Journal of Productivity Analysis, vol. 43, 327-349, 2015, pdf