Details about Jin Seo Cho

Access statistics for papers by Jin Seo Cho.

Last updated 2025-03-12. Update your information in the RePEc Author Service.

Short-id: pch1541

Working Papers

2024

1. Estimating and Inferring the Nonlinear Autoregressive Distributed Lag Model by Ordinary Least Squares
   Working papers, Yonsei University, Yonsei Economics Research Institute
2. GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2024)

2023

3. Asymmetric Interest Rate Pass-through and Its Effects on Macroeconomic Variables: Evidence from Thailand
   Working papers, Yonsei University, Yonsei Economics Research Institute
4. Forecasting the Confirmed COVID-19 Cases Using Modal Regression
   Working papers, Yonsei University, Yonsei Economics Research Institute
5. Functional Data Inference in a Parametric Quantile Model applied to Lifetime Income Curves
   Working papers, Yonsei University, Yonsei Economics Research Institute
6. The Asymmetric Response of Dividends to Earnings News
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (2)
   See also Journal Article The asymmetric response of dividends to earnings news, Finance Research Letters, Elsevier (2023) View citations (2) (2023)

2021

7. Recent Developments of the Autoregressive Distributed Lag Modelling Framework
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (11)
   See also Journal Article Recent developments of the autoregressive distributed lag modelling framework, Journal of Economic Surveys, Wiley Blackwell (2023) View citations (9) (2023)
8. Spillovers between Exchange Rate Pressure and CDS Bid-Ask Spreads, Reserve Assets and Oil Prices Using the Quantile ARDL Model
   Working papers, Yonsei University, Yonsei Economics Research Institute
   See also Journal Article Spillovers between exchange rate pressure and CDS bid-ask spreads, reserve assets and oil prices using the quantile ARDL model, International Economics, Elsevier (2022) (2022)
9. Testing a Constant Mean Function Using Functional Regression
   Working papers, Yonsei University, Yonsei Economics Research Institute

2020

10. Sequentially Estimating Approximate Conditional Mean Using the Extreme Learning Machine
    Working papers, Yonsei University, Yonsei Economics Research Institute
11. Sequentially Estimating the Structural Equation by Power Transformation
    Working papers, Yonsei University, Yonsei Economics Research Institute
    See also Journal Article SEQUENTIALLY ESTIMATING THE STRUCTURAL EQUATION BY POWER TRANSFORMATION, Econometric Theory, Cambridge University Press (2024) (2024)

2019

12. Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2019) View citations (2)
13. Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (3)
14. Testing for the Sandwich-Form Covariance Matrix Applied to Quasi-Maximum Likelihood Estimation Using Economic and Energy Price Growth Rates
    Working papers, Yonsei University, Yonsei Economics Research Institute
15. Two-Step Estimation of the Nonlinear Autoregressive Distributed Lag Model
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (3)

2018

16. Testing for the Conditional Geometric Mixture Distribution
    Working papers, Yonsei University, Yonsei Economics Research Institute

2017

17. Directionally Differentiable Econometric Models
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (3)
    See also Journal Article DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS, Econometric Theory, Cambridge University Press (2018) View citations (6) (2018)
18. Supplements to "Directionally Differentiable Econometric Models"
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (3)

2016

19. Online Supplement to "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices"
    Working papers, Yonsei University, Yonsei Economics Research Institute
20. Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
    See also Journal Article Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (3) (2018)
21. Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
    See also Journal Article Pythagorean generalization of testing the equality of two symmetric positive definite matrices, Journal of Econometrics, Elsevier (2018) View citations (6) (2018)
22. Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2016)
    See also Journal Article Sequentially testing polynomial model hypotheses using power transforms of regressors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (12) (2018)
23. Supplement to ¡°Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea¡±
    Working papers, Yonsei University, Yonsei Economics Research Institute

2015

24. Analyzing the Interrelationship of the Statistics for Testing Neglected Nonlinearity under the Null of Linearity
    Working papers, Yonsei University, Yonsei Economics Research Institute
25. Minimum Distance Testing and Top Income Shares in Korea
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
26. Testing Linearity Using Power Transforms of Regressors
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (27)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013)
    See also Journal Article Testing linearity using power transforms of regressors, Journal of Econometrics, Elsevier (2015) View citations (27) (2015)
27. We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors"
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)

2014

28. Notations in "Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing" by Cho and White (2014)
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (12)
29. Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
    See also Journal Article Quantile cointegration in the autoregressive distributed-lag modeling framework, Journal of Econometrics, Elsevier (2015) View citations (172) (2015)
30. Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (12)

2013

31. Mathematical Proofs for "Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions"
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (2)
32. Testing for Neglected Nonlinearity Using Extreme Learning Machines (published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 21, Suppl. 2 (2013), 117--129.)
    Working papers, Yonsei University, Yonsei Economics Research Institute
33. Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions (published in: Essays in Nonlinear Time Series Econometrics, Festschrift in Honor of Timo Terasvirta. Eds. Niels Haldrup, Mika Meitz, and Pentti Saikkonen (2014). Oxford: Oxford University Press.)
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (11)

2009

34. Generalized Runs Test for the IID Hypothesis
    Discussion Paper Series, Institute of Economic Research, Korea University
    See also Journal Article Generalized runs tests for the IID hypothesis, Journal of Econometrics, Elsevier (2011) View citations (11) (2011)
35. Infinite Density at the Median and the Typical Shape of Stock Return Distributions
    Discussion Paper Series, Institute of Economic Research, Korea University View citations (2)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (1)
    See also Journal Article Infinite Density at the Median and the Typical Shape of Stock Return Distributions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (3) (2011)
36. LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
    Discussion Paper Series, Institute of Economic Research, Korea University
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009)
    See also Journal Article LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES, Econometric Theory, Cambridge University Press (2010) View citations (2) (2010)
37. Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models
    Discussion Paper Series, Institute of Economic Research, Korea University
    See also Journal Article Testing for unobserved heterogeneity in exponential and Weibull duration models, Journal of Econometrics, Elsevier (2010) View citations (17) (2010)
38. Testing for a Constant Mean Function using Functional Regression
    Discussion Paper Series, Institute of Economic Research, Korea University

Undated

39. Testing Equality of Covariance Matrices via Pythagorean Means
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

Journal Articles

2024

1. SEQUENTIALLY ESTIMATING THE STRUCTURAL EQUATION BY POWER TRANSFORMATION
   Econometric Theory, 2024, 40, (1), 98-161
   See also Working Paper Sequentially Estimating the Structural Equation by Power Transformation, Working papers (2020) (2020)

2023

2. Recent developments of the autoregressive distributed lag modelling framework
   Journal of Economic Surveys, 2023, 37, (1), 7-32 View citations (9)
   See also Working Paper Recent Developments of the Autoregressive Distributed Lag Modelling Framework, Working papers (2021) View citations (11) (2021)
3. The asymmetric response of dividends to earnings news
   Finance Research Letters, 2023, 54, (C) View citations (2)
   See also Working Paper The Asymmetric Response of Dividends to Earnings News, Working papers (2023) View citations (2) (2023)

2022

4. Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
   Econometric Reviews, 2022, 41, (8), 966-984 View citations (2)
5. PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES
   International Economic Review, 2022, 63, (1), 391-456 View citations (1)
6. Spillovers between exchange rate pressure and CDS bid-ask spreads, reserve assets and oil prices using the quantile ARDL model
   International Economics, 2022, 170, (C), 66-78
   Also in International Economics, 2022, (170), 66-78 (2022) View citations (1)
   See also Working Paper Spillovers between Exchange Rate Pressure and CDS Bid-Ask Spreads, Reserve Assets and Oil Prices Using the Quantile ARDL Model, Working papers (2021) (2021)

2021

7. Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator
   TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2021, 30, (2), 293-317 View citations (2)

2018

8. DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS
   Econometric Theory, 2018, 34, (5), 1101-1131 View citations (6)
   See also Working Paper Directionally Differentiable Econometric Models, Working papers (2017) View citations (3) (2017)
9. Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
   Journal of Business & Economic Statistics, 2018, 36, (3), 523-537 View citations (3)
   See also Working Paper Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea, Working papers (2016) View citations (1) (2016)
10. Pythagorean generalization of testing the equality of two symmetric positive definite matrices
    Journal of Econometrics, 2018, 202, (1), 45-56 View citations (6)
    See also Working Paper Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices, Working papers (2016) View citations (1) (2016)
11. Sequentially testing polynomial model hypotheses using power transforms of regressors
    Journal of Applied Econometrics, 2018, 33, (1), 141-159 View citations (12)
    See also Working Paper Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors, Cowles Foundation Discussion Papers (2016) (2016)

2015

12. Quantile cointegration in the autoregressive distributed-lag modeling framework
    Journal of Econometrics, 2015, 188, (1), 281-300 View citations (172)
    See also Working Paper Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework, Working papers (2014) View citations (1) (2014)
13. Testing linearity using power transforms of regressors
    Journal of Econometrics, 2015, 187, (1), 376-384 View citations (27)
    See also Working Paper Testing Linearity Using Power Transforms of Regressors, Working papers (2015) View citations (27) (2015)

2012

14. An Alternative Proof That OLS is BLUE
    Journal of Econometric Methods, 2012, 1, (1), 107-107
15. Testing for the effects of omitted power transformations
    Economics Letters, 2012, 117, (1), 287-290 View citations (16)

2011

16. Generalized runs tests for the IID hypothesis
    Journal of Econometrics, 2011, 162, (2), 326-344 View citations (11)
    See also Working Paper Generalized Runs Test for the IID Hypothesis, Discussion Paper Series (2009) (2009)
17. Infinite Density at the Median and the Typical Shape of Stock Return Distributions
    Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 View citations (3)
    Also in Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 (2011) View citations (3)
    See also Working Paper Infinite Density at the Median and the Typical Shape of Stock Return Distributions, Discussion Paper Series (2009) View citations (2) (2009)

2010

18. LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES
    Econometric Theory, 2010, 26, (3), 953-962 View citations (2)
    See also Working Paper LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities, Discussion Paper Series (2009) (2009)
19. Testing for unobserved heterogeneity in exponential and Weibull duration models
    Journal of Econometrics, 2010, 157, (2), 458-480 View citations (17)
    See also Working Paper Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models, Discussion Paper Series (2009) (2009)

2007

20. Testing for Regime Switching
    Econometrica, 2007, 75, (6), 1671-1720 View citations (103)

Chapters

2014

1. Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing☆A glossary of notation and the program codes written in GAUSS for our simulations are available at:http://web.yonsei.ac.kr/jinseocho/research.htm
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 491-556