Details about Myung Hwan Seo

Access statistics for papers by Myung Hwan Seo.

Last updated 2021-10-12. Update your information in the RePEc Author Service.

Short-id: pse168

Working Papers

2024

1. Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic
   Papers, arXiv.org

2023

2. Robust Inference on Infinite and Growing Dimensional Time Series Regression
   Papers, arXiv.org View citations (5)

2021

3. Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling
   Papers, arXiv.org View citations (1)

2020

4. Desperate times call for desperate measures: government spending multipliers in hard times
   Papers, arXiv.org View citations (4)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2020) View citations (4)
   Department of Economics Working Papers, McMaster University (2019)
   Working Paper Series, Institute of Economic Research, Seoul National University (2019)
   See also Journal Article DESPERATE TIMES CALL FOR DESPERATE MEASURES: GOVERNMENT SPENDING MULTIPLIERS IN HARD TIMES, Economic Inquiry, Western Economic Association International (2020) View citations (4) (2020)
5. Factor-Driven Two-Regime Regression
   Papers, arXiv.org View citations (1)
   Also in Department of Economics Working Papers, McMaster University (2018) View citations (7)
   Working Paper Series, Institute of Economic Research, Seoul National University (2019)
6. Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate
   Working Paper Series, Institute of Economic Research, Seoul National University View citations (2)
   Also in Department of Economics Working Papers, McMaster University (2020) View citations (2)
   Papers, arXiv.org (2020) View citations (2)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2020) View citations (2)
   See also Journal Article Sparse HP filter: Finding kinks in the COVID-19 contact rate, Journal of Econometrics, Elsevier (2021) View citations (18) (2021)
7. Testing Stochastic Dominance with Many Conditioning Variables
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

2019

8. Causal inference on regression discontinuity designs by high-dimensional methods
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (1)
9. Estimation of Dynamic Panel Threshold Model using Stata
   Papers, arXiv.org View citations (77)
   See also Journal Article Estimation of dynamic panel threshold model using Stata, Stata Journal, StataCorp LLC (2019) View citations (84) (2019)
10. Robust inference for threshold regression models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (19)
    See also Journal Article Robust inference for threshold regression models, Journal of Econometrics, Elsevier (2019) View citations (24) (2019)

2017

11. Robust Inference and Testing of Continuity in Threshold Regression Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (2)

2016

12. Local M-estimation with discontinuous criterion for dependent and limited observations
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (1)
13. Oracle Estimation of a Change Point in High Dimensional Quantile Regression
    Papers, arXiv.org View citations (3)
    See also Journal Article Oracle Estimation of a Change Point in High-Dimensional Quantile Regression, Journal of the American Statistical Association, Taylor & Francis Journals (2018) View citations (11) (2018)

2015

14. Specification tests for lattice processes
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
    See also Journal Article SPECIFICATION TESTS FOR LATTICE PROCESSES, Econometric Theory, Cambridge University Press (2015) (2015)

2014

15. A contribution to the Reinhart and Rogoff debate: not 90 percent but maybe 30 percent
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)
16. Asymptotics for maximum score method under general conditions
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
17. Dynamic Panels with Threshold Effect and Endogeneity
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (9)
    See also Journal Article Dynamic panels with threshold effect and endogeneity, Journal of Econometrics, Elsevier (2016) View citations (213) (2016)
18. The lasso for high-dimensional regression with a possible change-point
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (4)
    See also Journal Article The lasso for high dimensional regression with a possible change point, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2016) View citations (24) (2016)

2013

19. SPECIFICATION FOR LATTICE PROCESSES
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2013)
20. Structural-break models under mis-specification: implications for forecasting
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013)
    See also Journal Article Structural-break models under mis-specification: Implications for forecasting, Journal of Econometrics, Elsevier (2015) View citations (7) (2015)

2012

21. Testing for Structural Stability in the Whole Sample
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2012)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2011)
    See also Journal Article Testing for structural stability in the whole sample, Journal of Econometrics, Elsevier (2013) View citations (15) (2013)

2010

22. Testing for threshold effects in regression models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (11)
    See also Journal Article Testing for Threshold Effects in Regression Models, Journal of the American Statistical Association, American Statistical Association (2011) View citations (47) (2011)

2008

23. Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article Testing for non-nested conditional moment restrictions using unconditional empirical likelihood, Journal of Econometrics, Elsevier (2012) View citations (2) (2012)

2007

24. Estimation of Nonlinear Error CorrectionModels
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    See also Journal Article Correction, Journal of the American Statistical Association, Taylor & Francis Journals (2017) (2017)
25. Estimation of nonlinear error correction models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
    See also Journal Article Correction, Journal of the American Statistical Association, Taylor & Francis Journals (2017) (2017)
26. SEMIPARAMETRIC ESTIMATION OF A BINARYRESPONSE MODEL WITH A CHANGE-POINTDUE TO A COVARIATE THRESHOLD
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007)
    See also Journal Article Semiparametric estimation of a binary response model with a change-point due to a covariate threshold, Journal of Econometrics, Elsevier (2008) View citations (9) (2008)

2005

27. A smoothed least squares estimator for threshold regression models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
    See also Journal Article A smoothed least squares estimator for threshold regression models, Journal of Econometrics, Elsevier (2007) View citations (74) (2007)
28. Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) View citations (1)
    Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (1)
    See also Journal Article UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP, Econometric Theory, Cambridge University Press (2008) View citations (31) (2008)

Journal Articles

2021

1. Sparse HP filter: Finding kinks in the COVID-19 contact rate
   Journal of Econometrics, 2021, 220, (1), 158-180 View citations (18)
   See also Working Paper Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate, Working Paper Series (2020) View citations (2) (2020)

2020

2. DESPERATE TIMES CALL FOR DESPERATE MEASURES: GOVERNMENT SPENDING MULTIPLIERS IN HARD TIMES
   Economic Inquiry, 2020, 58, (4), 1949-1957 View citations (4)
   See also Working Paper Desperate times call for desperate measures: government spending multipliers in hard times, Papers (2020) View citations (4) (2020)
3. High-dimensional predictive regression in the presence of cointegration
   Journal of Econometrics, 2020, 219, (2), 456-477 View citations (18)

2019

4. Estimation of dynamic panel threshold model using Stata
   Stata Journal, 2019, 19, (3), 685-697 View citations (84)
   See also Working Paper Estimation of Dynamic Panel Threshold Model using Stata, Papers (2019) View citations (77) (2019)
5. Robust inference for threshold regression models
   Journal of Econometrics, 2019, 210, (2), 291-309 View citations (24)
   See also Working Paper Robust inference for threshold regression models, LSE Research Online Documents on Economics (2019) View citations (19) (2019)

2018

6. Oracle Estimation of a Change Point in High-Dimensional Quantile Regression
   Journal of the American Statistical Association, 2018, 113, (523), 1184-1194 View citations (11)
   See also Working Paper Oracle Estimation of a Change Point in High Dimensional Quantile Regression, Papers (2016) View citations (3) (2016)

2017

7. Correction
   Journal of the American Statistical Association, 2017, 112, (518), 883-883
   Also in Journal of Econometrics, 2006, 134, (1), 129-150 (2006) View citations (95)
   Econometric Theory, 2011, 27, (2), 201-234 (2011) View citations (19)
   See also Working Paper Estimation of nonlinear error correction models, LSE Research Online Documents on Economics (2007) View citations (2) (2007)
   Working Paper Estimation of Nonlinear Error CorrectionModels, STICERD - Econometrics Paper Series (2007) (2007)
8. Is There a Jump in the Transition?
   Journal of Business & Economic Statistics, 2017, 35, (2), 241-249 View citations (1)
9. Testing for a Debt‐Threshold Effect on Output Growth
   Fiscal Studies, 2017, 38, 701-717 View citations (21)

2016

10. Dynamic panels with threshold effect and endogeneity
    Journal of Econometrics, 2016, 195, (2), 169-186 View citations (213)
    See also Working Paper Dynamic Panels with Threshold Effect and Endogeneity, STICERD - Econometrics Paper Series (2014) View citations (9) (2014)
11. The lasso for high dimensional regression with a possible change point
    Journal of the Royal Statistical Society Series B, 2016, 78, (1), 193-210 View citations (24)
    See also Working Paper The lasso for high-dimensional regression with a possible change-point, CeMMAP working papers (2014) View citations (4) (2014)

2015

12. SPECIFICATION TESTS FOR LATTICE PROCESSES
    Econometric Theory, 2015, 31, (2), 294-336
    See also Working Paper Specification tests for lattice processes, LSE Research Online Documents on Economics (2015) (2015)
13. Structural-break models under mis-specification: Implications for forecasting
    Journal of Econometrics, 2015, 188, (1), 166-181 View citations (7)
    See also Working Paper Structural-break models under mis-specification: implications for forecasting, Monash Econometrics and Business Statistics Working Papers (2013) (2013)

2013

14. Testing for structural stability in the whole sample
    Journal of Econometrics, 2013, 175, (2), 84-93 View citations (15)
    See also Working Paper Testing for Structural Stability in the Whole Sample, STICERD - Econometrics Paper Series (2012) (2012)

2012

15. Testing for non-nested conditional moment restrictions using unconditional empirical likelihood
    Journal of Econometrics, 2012, 167, (2), 370-382 View citations (2)
    See also Working Paper Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood, Cowles Foundation Discussion Papers (2008) View citations (2) (2008)

2011

16. Testing for Threshold Effects in Regression Models
    Journal of the American Statistical Association, 2011, 106, (493), 220-231 View citations (47)
    See also Working Paper Testing for threshold effects in regression models, CeMMAP working papers (2010) View citations (11) (2010)

2008

17. Semiparametric estimation of a binary response model with a change-point due to a covariate threshold
    Journal of Econometrics, 2008, 144, (2), 492-499 View citations (9)
    See also Working Paper SEMIPARAMETRIC ESTIMATION OF A BINARYRESPONSE MODEL WITH A CHANGE-POINTDUE TO A COVARIATE THRESHOLD, STICERD - Econometrics Paper Series (2007) (2007)
18. UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
    Econometric Theory, 2008, 24, (6), 1699-1716 View citations (31)
    See also Working Paper Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap, STICERD - Econometrics Paper Series (2005) View citations (1) (2005)

2007

19. A smoothed least squares estimator for threshold regression models
    Journal of Econometrics, 2007, 141, (2), 704-735 View citations (74)
    See also Working Paper A smoothed least squares estimator for threshold regression models, LSE Research Online Documents on Economics (2005) View citations (2) (2005)