Research

Publications

  1. Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach, (with Rui Fan and Ji Hyung Lee), Journal of Econometrics, Forthcoming, November 2022 [journal] [arXiv]
  2. Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling, (with Sokbae Lee, Yuan Liao, Myung Hwan Seo), Proceedings of the 36th AAAI Conference on Artificial Intelligence, 36(7), 2022, pp. 7381-7389 [journal] [arXiv]
  3. Complete Subset Averaging for Quantile Regression, (with Ji Hyung Lee), Econometric Theory, Forthcoming, July 2021 [journal] [arXiv]
  4. Exact Computation of Maximum Rank Correlation Estimator, (with Zvezdomir Todorov), Econometrics Journal, 24(3), 2021, pp. 589-607 [journal] [arXiv]
  5. Factor-Driven Two-Regime Regression, (with Sokbae Lee, Yuan Liao, and Myung Hwan Seo), Annals of Statistics, 49(3), 2021, pp. 1656-1678 [journal] [arXiv]
  6. Complete Subset Averaging with Many Instruments, (with Seojeong Lee), Econometrics Journal, 24(2), 2021, pp. 290-314 [journal] [arXiv]
  7. Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate, (with Sokbae Lee, Yuan Liao, and Myung Hwan Seo), Journal of Econometrics, 220(1), 2021, pp. 158-180 [journal] [arXiv]
  8. Desperate times call for desperate measures: government spending multipliers in hard times, (with Sokbae Lee, Yuan Liao, and Myung Hwan Seo), Economic Inquiry, 58(4), 2020, pp. 1949-1957 [journal] [arXiv]
  9. Oracle Estimation of a Change Point in High Dimensional Quantile Regression, (with Sokbae Lee, Yuan Liao, and Myung Hwan Seo), Journal of the American Statistical Association, 113(523), 2018, pp. 1184-1194 [journal] [arXiv]
  10. Testing for a Debt-threshold Effect on Output Growth, (with Sokbae Lee, Hyunmin Park, and Myung Hwan Seo), Fiscal Studies, 38(4), 2017, pp. 701-717 [journal]
  11. Treatment Effects with Unobserved Heterogeneity: A Set Identification Approach, (with Sung Jae Jun and Yoonseok Lee), Journal of Business and Economic Statistics, 34(2), 2016, pp. 302-311 [journal]
  12. The Lasso for High-dimensional Regression with a Possible Change-point, (with Sokbae Lee and Myung Hwan Seo), Journal of the Royal Statistical Society: Series B, 78(1), 2016, pp. 193-210 [journal] [arXiv]
  13. Rank Estimation of Partially Linear Index Models, (with Jason Abrevaya), Econometrics Journal, 14(3), 2011, pp. 409-437 [journal]
  14. Testing for Threshold Effects in Regression Models, (with Sokbae Lee and Myung Hwan Seo), Journal of the American Statistical Association, 106(493), 2011, pp. 220-231 [journal]
  15. Heteroskedastic Transformation Models with Covariate Dependent Censoring, (with Shakeeb Khan and Elie Tamer), Journal of Business and Economic Statistics, 29(1), 2011, pp. 40-48 [journal]
  16. Local Rank Estimation of Transformation Models with Functional Coefficients, Econometric Theory, 26(6), 2010, pp. 1807-1819 [journal]
  17. Length-bias Correction in Transformation Models with Supplementary Data, Econometric Reviews, 28(6), 2009, pp. 658-681 [journal]
  18. Misspecified Markov Switching Model, Economics Bulletin, 29(2), 2009, pp. 957-963 [journal]
  19. Semiparametric estimation of the Box-Cox transformation model, Econometrics Journal, 11(3), 2008, pp. 517-537 [journal]
  20. Rank estimation of monotone hazard models, Economics Letters, 100(1), 2008, pp. 80-82 [journal]

Working Papers

  1. Statistical Treatment Rules under Social Interaction, (with Seungjin Han and Julius Owusu), Under Review, November 2022 [arXiv]
  2. Fast Inference for Quantile Regression with Tens of Millions of Observations, (with Sokbae Lee, Yuan Liao, and Myung Hwan Seo), October 2022 [arXiv]
  3. csa2sls: A complete subset approach for many instruments using Stata, (with Seojeong Lee, Siha Lee, and Julius Owusu), Under Review, July 2022 [arXiv]
  4. Designing a Competitive Monotone Signaling Equilibrium, (with Seungjin Han and Alex Sam), Revise and Resubmit, Journal of Economic Theory, July 2022 [arXiv]
  5. Returns to Skill and the Evolution of Skills for Older Men, (with Qian Liu, Lance Lochner, and Youngmin Park), August 2020 [pdf]
  6. Wage Dynamics and Returns to Unobserved Skill, (with Lance Lochner and Youngmin Park), November 2017 [pdf]
  7. Understanding Income Dynamics: Identifying and Estimating the Changing Roles of Unobserved Ability, Permanent and Transitory Shocks, (with Lance Lochner), April 2014 [pdf]