Details about Joon Y. Park

Access statistics for papers by Joon Y. Park.

Last updated 2011-12-04. Update your information in the RePEc Author Service.

Short-id: ppa681

Working Papers

2008

1. Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory
   Working Papers, Department of Economics, University of Missouri View citations (1)
   Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (4)
   See also Journal Article in Journal of Econometrics (2010)

2006

2. Testing for a Unit Root against Transitional Autoregressive Models
   Levine's Bibliography, UCLA Department of Economics View citations (2)
   Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2005) View citations (18)
3. Time series properties of ARCH processes with persistent covariates
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in Journal of Econometrics (2008)

2005

4. Extracting a Common Stochastic Trend: Theories with Some Applications
   Working Papers, Rice University, Department of Economics
   Also in Working Papers, Department of Economics, University of Missouri (2005) View citations (1)
5. How They Interact to Generate Persistency in Memory
   Working Papers, Rice University, Department of Economics
6. Iterative Maximum Likelihood Estimation of Cointegrating Vectors
   Working Papers, Rice University, Department of Economics View citations (1)
7. Nonstationary Nonlinear Heteroskedasticity in Regression
   Working Papers, Rice University, Department of Economics
   Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (3)
   See also Journal Article in Journal of Econometrics (2007)
8. The Spatial Analysis of Time Series
   Working Papers, Rice University, Department of Economics View citations (1)
   Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)

2004

9. A Test of the Martingale Hypothesis
   Working Papers, Rice University, Department of Economics
   See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2005)
10. Endogeneity in Nonlinear Regressions with Integrated Time Series
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (5)
11. Taking a New Contour: A Novel View on Unit Root Test
    Working Papers, Rice University, Department of Economics

2003

12. A Bootstrap Theory for Weakly Integrated Processes
    Working Papers, Rice University, Department of Economics
    See also Journal Article in Journal of Econometrics (2006)
13. Nonstationary Nonlinearity: An Outlook for New Opportunities
    Working Papers, Rice University, Department of Economics View citations (3)
14. Strong Approximations for Nonlinear Transformations of Integrated Time Series
    Working Papers, Rice University, Department of Economics View citations (3)
15. Weak Unit Roots
    Working Papers, Rice University, Department of Economics View citations (10)

2002

16. Bootstrap Unit Root Tests
    Working Papers, Rice University, Department of Economics
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (2)
    See also Journal Article in Econometrica (2003)
17. Bootstrapping Cointegrating Regressions
    Working Papers, Rice University, Department of Economics View citations (4)
    See also Journal Article in Journal of Econometrics (2006)

2001

18. Nonlinear Instrumental Variable Estimation of an Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article in Journal of Econometrics (2004)

2000

19. Nonstationary Nonlinear Heteroskedasticity: An Alternative to ARCH
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo

1999

20. Longrun Relationships Evolving Over Time
    Working Paper Series, Institute of Economic Research, Seoul National University
21. Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (26)
    See also Journal Article in Econometrics Journal (2001)
22. Nonlinear Regressions with Integrated Time Series
    Working Paper Series, Institute of Economic Research, Seoul National University View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1998) View citations (2)
    See also Journal Article in Econometrica (2001)
23. Nonstationary Binary Choice
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    Also in Working Paper Series, Institute of Economic Research, Seoul National University (1999) View citations (1)
    See also Journal Article in Econometrica (2000)
24. Nonstationary Index Models
    Working Paper Series, Institute of Economic Research, Seoul National University View citations (4)
25. Random Walk or Chaos: A Formal Test on the Lyapunov Exponent
    Working Paper Series, Institute of Economic Research, Seoul National University View citations (3)
26. The Asymptotic Variance Bound for Instrumental Variables Estimators
    Working Paper Series, Institute of Economic Research, Seoul National University

1998

27. Asymptotics for Nonlinear Transformations of Integrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    See also Journal Article in Econometric Theory (1999)
28. Nonstationary Density Estimation and Kernel Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (26)

1991

29. Inference in Cointegrated Models Using VAR Prewhitening to Estimate Shortrun Dynamics
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (20)
30. Seemingly Unrelated Canonical Cointegrating Regressions
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (14)

1990

31. DISEQUILIBRIUM IMPULSE ANALYSIS
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (8)
32. MAXIMUM LIKELIHOOD ESTIMATION OF SIMULTANEOUS COINTEGRATION MODELS
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (7)

1988

33. Testing for a Unit Root in the Presence of a Maintained Trend
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (23)

1987

34. Statistical Inference in Regressions with Integrated Processes: Part 1
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (35)
    See also Journal Article in Econometric Theory (1988)
35. Statistical Inference in Regressions with Integrated Processes: Part 2
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (43)
    See also Journal Article in Econometric Theory (1989)

1986

36. Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
37. On the Formulation of Wald Tests of Nonlinear Restrictions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
    See also Journal Article in Econometrica (1988)

Journal Articles

2010

1. A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving
   Journal of Econometrics, 2010, 157, (1), 165-178
2. Cointegrating Regressions with Time Heterogeneity
   Econometric Reviews, 2010, 29, (4), 397-438
3. Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory
   Journal of Econometrics, 2010, 155, (1), 83-89 View citations (3)
   See also Working Paper (2008)

2009

4. Extracting a common stochastic trend: Theory with some applications
   Journal of Econometrics, 2009, 150, (2), 231-247 View citations (1)
5. Functional-coefficient models for nonstationary time series data
   Journal of Econometrics, 2009, 148, (2), 101-113 View citations (16)

2008

6. Time series properties of ARCH processes with persistent covariates
   Journal of Econometrics, 2008, 146, (2), 275-292 View citations (1)
   See also Working Paper (2006)

2007

7. Nonstationary nonlinear heteroskedasticity in regression
   Journal of Econometrics, 2007, 137, (1), 230-259 View citations (2)
   See also Working Paper (2005)

2006

8. A bootstrap theory for weakly integrated processes
   Journal of Econometrics, 2006, 133, (2), 639-672 View citations (1)
   See also Working Paper (2003)
9. Bootstrapping cointegrating regressions
   Journal of Econometrics, 2006, 133, (2), 703-739 View citations (44)
   See also Working Paper (2002)

2005

10. A Test of the Martingale Hypothesis
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (2), 2
    See also Working Paper (2004)

2004

11. Nonlinear instrumental variable estimation of an autoregression
    Journal of Econometrics, 2004, 118, (1-2), 219-246 View citations (12)
    See also Working Paper (2001)

2003

12. A Sieve Bootstrap For The Test Of A Unit Root
    Journal of Time Series Analysis, 2003, 24, (4), 379-400 View citations (55)
13. Bootstrap Unit Root Tests
    Econometrica, 2003, 71, (6), 1845-1895 View citations (37)
    See also Working Paper (2002)
14. Index models with integrated time series
    Journal of Econometrics, 2003, 114, (1), 73-106 View citations (11)

2002

15. AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
    Econometric Theory, 2002, 18, (02), 469-490 View citations (44)
16. Nonstationary nonlinear heteroskedasticity
    Journal of Econometrics, 2002, 110, (2), 383-415 View citations (11)
17. ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
    Econometric Reviews, 2002, 21, (4), 431-447 View citations (43)

2001

18. Nonlinear Regressions with Integrated Time Series
    Econometrica, 2001, 69, (1), 117-61 View citations (95)
    See also Working Paper (1999)
19. Nonlinear econometric models with cointegrated and deterministically trending regressors
    Econometrics Journal, 2001, 4, (1), 1-36 View citations (14)
    See also Working Paper (1999)

2000

20. Nonstationary Binary Choice
    Econometrica, 2000, 68, (5), 1249-1280 View citations (27)
    See also Working Paper (1999)

1999

21. ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
    Econometric Theory, 1999, 15, (03), 269-298 View citations (95)
    See also Working Paper (1998)
22. COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
    Econometric Theory, 1999, 15, (05), 664-703 View citations (20)

1997

23. A cointegration approach to estimating preference parameters
    Journal of Econometrics, 1997, 82, (1), 107-134 View citations (59)
24. Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables
    Econometric Theory, 1997, 13, (06), 850-876 View citations (3)

1994

25. Testing for Unit Roots in Models with Structural Change
    Econometric Theory, 1994, 10, (05), 917-936 View citations (16)

1992

26. Canonical Cointegrating Regressions
    Econometrica, 1992, 60, (1), 119-43 View citations (130)

1991

27. Testing Purchasing Power Parity under the Null Hypothesis of Co-integration
    Economic Journal, 1991, 101, (409), 1476-84 View citations (45)

1989

28. Statistical Inference in Regressions with Integrated Processes: Part 2
    Econometric Theory, 1989, 5, (01), 95-131 View citations (81)
    See also Working Paper (1987)

1988

29. On the Formulation of Wald Tests of Nonlinear Restrictions
    Econometrica, 1988, 56, (5), 1065-83 View citations (32)
    See also Working Paper (1986)
30. Statistical Inference in Regressions with Integrated Processes: Part 1
    Econometric Theory, 1988, 4, (03), 468-497 View citations (104)
    See also Working Paper (1987)