Details about Yoon-Jae Whang

Access statistics for papers by Yoon-Jae Whang.

Last updated 2009-09-20. Update your information in the RePEc Author Service.

Short-id: pwh7

Working Papers

2009

1. An Improved Bootstrap Test of Stochastic Dominance
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
   Also in Economics Working Papers, Universidad Carlos III, Departamento de Economía (2009)
2. Nonparametric Estimation of a Polarization Measure
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009)
   Economics Working Papers, Universidad Carlos III, Departamento de Economía (2009)

2008

3. Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008)
4. Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
5. Testing for stochastic monotonicity
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
   Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2006) View citations
   See also Journal Article in Econometrica (2009)

2006

6. Are there Monday effects in Stock Returns: A Stochastic Dominance Approach
   FMG Discussion Papers, Financial Markets Group View citations
   See also Journal Article in Journal of Empirical Finance (2007)

2005

7. Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
8. Testing for Stochastic Dominance Efficiency
   Research Paper, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

2004

9. A Quantilogram Approach to Evaluating Directional Predictability
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
   Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) View citations
10. A Test of the Martingale Hypothesis
    Working Papers, Rice University, Department of Economics
11. Consistent Testing for Stochastic Dominance: A Subsampling Approach
    FMG Discussion Papers, Financial Markets Group
    Also in FMG Discussion Papers, Financial Markets Group (2002) View citations
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2002) View citations
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2002) View citations
12. Smoothed Empirical Likelihood Methods for Quantile Regression Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    Also in Econometrics, EconWPA (2003) View citations
    See also Journal Article in Econometric Theory (2006)

2000

13. Nonparametric Estimation with Aggregated Data
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
    See also Journal Article in Econometric Theory (2002)

1999

14. Random Walk or Chaos: A Formal Test on the Lyapunov Exponent
    Working Paper Series, Institute of Economic Research, Seoul National University View citations

1997

15. The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See also Journal Article in Journal of Econometrics (1999)

1991

16. Tests of Specification for Parametric and Semiparametric Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See also Journal Article in Journal of Econometrics (1993)

1989

17. Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See also Journal Article in Econometric Theory (1990)

Journal Articles

2009

1. Testing for Stochastic Monotonicity
   Econometrica, 2009, 77, (2), 585-602 View citations
   See also Working Paper (2008)

2007

2. Are there Monday effects in stock returns: A stochastic dominance approach
   Journal of Empirical Finance, 2007, 14, (5), 736-755
   See also Working Paper (2006)
3. The quantilogram: With an application to evaluating directional predictability
   Journal of Econometrics, 2007, 141, (1), 250-282 View citations

2006

4. SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS
   Econometric Theory, 2006, 22, (02), 173-205 View citations
   See also Working Paper (2004)

2005

5. Consistent Testing for Stochastic Dominance under General Sampling Schemes
   Review of Economic Studies, 2005, 72, (3), 735-765 View citations

2003

6. A multiple variance ratio test using subsampling
   Economics Letters, 2003, 79, (2), 225-230 View citations

2002

7. NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA
   Econometric Theory, 2002, 18, (02), 420-468 View citations
   See also Working Paper (2000)

2001

8. Consistent specification testing for conditional moment restrictions
   Economics Letters, 2001, 71, (3), 299-306 View citations

2000

9. Consistent bootstrap tests of parametric regression functions
   Journal of Econometrics, 2000, 98, (1), 27-46 View citations

1999

10. The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
    Journal of Econometrics, 1999, 91, (1), 1-42 View citations
    See also Working Paper (1997)

1998

11. A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
    Econometric Theory, 1998, 14, (01), 87-122 View citations
12. A test of normality using nonparametrlic residuals
    Econometric Reviews, 1998, 17, (3), 301-327
13. TOPICS IN ADVANCED ECONOMETRICS: ESTIMATION, TESTING, AND SPECIFICATION OF CROSS-SECTION AND TIME SERIES MODELS
    Econometric Theory, 1998, 14, (03), 369-374

1993

14. A SEMIPARAMETRIC ANALYSIS OF THE LIFE CYCLE-PERMANENT INCOME HYPOTHESIS
    International Economic Journal, 1993, 7, (4), 89-108
15. Tests of specification for parametric and semiparametric models
    Journal of Econometrics, 1993, 57, (1-3), 277-318 View citations
    See also Working Paper (1991)

1990

16. A Matrix Inequality
    Econometric Theory, 1990, 6, (01), 120-121
17. Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality
    Econometric Theory, 1990, 6, (04), 466-479 View citations
    See also Working Paper (1989)