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Details about In Choi

Homepage:http://inchoi.sogang.ac.kr
Phone:821038238517
Workplace:College of Economics, Sogang University, (more information at EDIRC)

Access statistics for papers by In Choi.

Last updated 2019-09-22. Update your information in the RePEc Author Service.

Short-id: pch1190


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Working Papers

2016

  1. A Multilevel Factor Model: Identification, Asymptotic Theory and Applications
    Working Papers, Research Institute for Market Economy, Sogang University Downloads View citations (2)
    See also Journal Article in Journal of Applied Econometrics (2018)
  2. Cross-sectional maximum likelihood and bias-corrected pooled least squares estimators for dynamic panels with short T
    Working Papers, Research Institute for Market Economy, Sogang University Downloads
  3. Maximum Likelihood Estimation of Autoregressive Models with a Near Unit Root and Cauchy Errors
    Working Papers, Research Institute for Market Economy, Sogang University Downloads
    See also Journal Article in Annals of the Institute of Statistical Mathematics (2019)
  4. Optimal Autoregressive Predictions
    Working Papers, Research Institute for Market Economy, Sogang University Downloads

2015

  1. Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement
    MPRA Paper, University Library of Munich, Germany Downloads

2014

  1. Unit root tests for dependent and heterogeneous micropanels
    Working Papers, Research Institute for Market Economy, Sogang University Downloads

2013

  1. Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons
    Working Papers, Research Institute for Market Economy, Sogang University Downloads View citations (4)
    See also Journal Article in Econometric Reviews (2019)
  2. Panel Cointegration
    Working Papers, Research Institute for Market Economy, Sogang University Downloads

2012

  1. Forecasting Korean inflation
    Working Papers, Research Institute for Market Economy, Sogang University Downloads View citations (1)

2011

  1. Efficient Estimation of Nonstationary Factor Models
    Working Papers, Research Institute for Market Economy, Sogang University Downloads View citations (3)
  2. Factor models
    Working Papers, Research Institute for Market Economy, Sogang University Downloads View citations (6)
    See also Chapter (2013)
  3. Spurious Fixed Effects Regression
    Working Papers, Research Institute for Market Economy, Sogang University Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2013)

2010

  1. Efficient Estimation of Factor Models
    Working Papers, Research Institute for Market Economy, Sogang University Downloads
    See also Journal Article in Econometric Theory (2012)

2009

  1. Model Selection Criteria for the Leads-and-Lags Cointegrating Regression
    Working Papers, Research Institute for Market Economy, Sogang University Downloads
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2008) Downloads View citations (1)
    CCES Discussion Paper Series, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University (2008) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2012)

2006

  1. Subsampling-Based Tests of Stock-Return Predictability
    Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads

2004

  1. Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis
    Econometric Society 2004 Latin American Meetings, Econometric Society View citations (1)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (1)

2000

  1. Cointegrating smooth transition regressions with applications to the Asian currency crisis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads

1997

  1. Regressions for Partially Identified, Cointegrated Simultaneous Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

1989

  1. Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (1992)
  2. Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

Journal Articles

2019

  1. Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors
    Annals of the Institute of Statistical Mathematics, 2019, 71, (5), 1121-1142 Downloads
    See also Working Paper (2016)
  2. Model selection for factor analysis: Some new criteria and performance comparisons
    Econometric Reviews, 2019, 38, (6), 577-596 Downloads
    See also Working Paper (2013)
  3. Unit Root Tests for Dependent Micropanels
    The Japanese Economic Review, 2019, 70, (2), 145-167 Downloads

2018

  1. A multilevel factor model: Identification, asymptotic theory and applications
    Journal of Applied Econometrics, 2018, 33, (3), 355-377 Downloads View citations (1)
    See also Working Paper (2016)
  2. Econometrics Best Paper Award 2018
    Econometrics, 2018, 6, (3), 1-2 Downloads

2017

  1. Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels
    Econometrics, 2017, 5, (3), 1-23 Downloads View citations (2)

2014

  1. THE ET INTERVIEW: PROFESSOR KATSUTO TANAKA
    Econometric Theory, 2014, 30, (2), 474-490 Downloads

2013

  1. Spurious Fixed Effects Regression
    Oxford Bulletin of Economics and Statistics, 2013, 75, (2), 297-306 Downloads
    See also Working Paper (2011)

2012

  1. EFFICIENT ESTIMATION OF FACTOR MODELS
    Econometric Theory, 2012, 28, (2), 274-308 Downloads View citations (23)
    See also Working Paper (2010)
  2. Model selection criteria for the leads-and-lags cointegrating regression
    Journal of Econometrics, 2012, 169, (2), 224-238 Downloads View citations (8)
    See also Working Paper (2009)

2010

  1. TESTS FOR NONLINEAR COINTEGRATION
    Econometric Theory, 2010, 26, (3), 682-709 Downloads View citations (23)

2008

  1. Causal relation between interest and exchange rates in the Asian currency crisis
    Japan and the World Economy, 2008, 20, (3), 435-452 Downloads View citations (3)

2007

  1. Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices
    Journal of Applied Econometrics, 2007, 22, (2), 233-264 Downloads View citations (33)

2005

  1. Inconsistency of bootstrap for nonstationary, vector autoregressive processes
    Statistics & Probability Letters, 2005, 75, (1), 39-48 Downloads View citations (2)
  2. Subsampling vector autoregressive tests of linear constraints
    Journal of Econometrics, 2005, 124, (1), 55-89 Downloads View citations (5)

2004

  1. COINTEGRATING SMOOTH TRANSITION REGRESSIONS
    Econometric Theory, 2004, 20, (2), 301-340 Downloads View citations (60)
  2. Testing linearity in cointegrating smooth transition regressions
    Econometrics Journal, 2004, 7, (2), 341-365 Downloads View citations (71)

2002

  1. ECONOMETRICS
    Econometric Theory, 2002, 18, (4), 1000-1006 Downloads
  2. Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model
    Journal of Econometrics, 2002, 109, (1), 1-32 Downloads View citations (4)
  3. STRUCTURAL CHANGES AND SEEMINGLY UNIDENTIFIED STRUCTURAL EQUATIONS
    Econometric Theory, 2002, 18, (3), 744-775 Downloads View citations (1)

2001

  1. Unit root tests for panel data
    Journal of International Money and Finance, 2001, 20, (2), 249-272 Downloads View citations (1104)

1999

  1. Testing the Random Walk Hypothesis for Real Exchange Rates
    Journal of Applied Econometrics, 1999, 14, (3), 293-308 Downloads View citations (71)

1998

  1. TIME-SERIES-BASED ECONOMETRICS
    Econometric Theory, 1998, 14, (3), 375-378 Downloads
  2. Testing the null of stationarity for multiple time series
    Journal of Econometrics, 1998, 88, (1), 41-77 Downloads View citations (11)

1997

  1. Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables
    Econometric Theory, 1997, 13, (6), 850-876 Downloads View citations (6)
  2. Frequency Domain Tests for Residual Serial Correlation in Cointegration Regressions
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 549-62 View citations (2)

1995

  1. Sampling frequency and the power of tests for a unit root: A simulation study
    Economics Letters, 1995, 49, (2), 131-136 Downloads View citations (31)
  2. Testing for Cointegration in a System of Equations
    Econometric Theory, 1995, 11, (5), 952-983 Downloads View citations (16)

1994

  1. Durbin-Hausman tests for cointegration
    Journal of Economic Dynamics and Control, 1994, 18, (2), 467-480 Downloads View citations (6)
  2. Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series
    Econometric Theory, 1994, 10, (3-4), 720-746 Downloads View citations (21)
  3. Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
    Journal of Econometrics, 1994, 60, (1-2), 313-320 Downloads View citations (5)

1993

  1. Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications
    Econometric Theory, 1993, 9, (2), 263-282 Downloads View citations (25)
  2. Testing for a unit root by frequency domain regression
    Journal of Econometrics, 1993, 59, (3), 263-286 Downloads View citations (9)
  3. Univariate Properties of The Korean Economic Time Series
    Korean Economic Review, 1993, 9, 201-232 Downloads

1992

  1. Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
    Journal of Econometrics, 1992, 51, (1-2), 113-150 Downloads View citations (58)
    See also Working Paper (1989)
  2. Asymptotic normality of the instrumental variable estimates for ARIMA(p, m, q) processes
    Economics Letters, 1992, 40, (2), 147-153 Downloads
  3. Durbin-Hausman Tests for a Unit Root
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 289-304 View citations (4)
  4. Effects of data aggregation on the power of tests for a unit root: A simulation study
    Economics Letters, 1992, 40, (4), 397-401 Downloads View citations (22)

1988

  1. Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986
    Econometric Theory, 1988, 4, (1), 1-34 Downloads View citations (7)

Books

2015

  1. Almost All about Unit Roots
    Cambridge Books, Cambridge University Press View citations (8)
    Also in Cambridge Books, Cambridge University Press (2015) View citations (8)

Chapters

2013

  1. Factor models
    Chapter 11 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 249-265 Downloads View citations (3)
    See also Working Paper (2011)
 
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