Details about In Choi

Access statistics for papers by In Choi.

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Short-id: pch1190

Working Papers

2020

1. Canonical Correlation-based Model Selection for the Multilevel Factors
   Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
   See also Journal Article Canonical correlation-based model selection for the multilevel factors, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
2. Cross-sectional quasi maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels
   Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
   See also Journal Article Cross-sectional quasi-maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels, Empirical Economics, Springer (2021) View citations (3) (2021)
3. Online Appendix for Canonical Correlation-based Model Selection for the Multilevel Factors
   Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)

2016

4. A Multilevel Factor Model: Identification, Asymptotic Theory and Applications
   Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) View citations (4)
   See also Journal Article A multilevel factor model: Identification, asymptotic theory and applications, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (31) (2018)
5. Cross-sectional maximum likelihood and bias-corrected pooled least squares estimators for dynamic panels with short T
   Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
6. Maximum Likelihood Estimation of Autoregressive Models with a Near Unit Root and Cauchy Errors
   Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
   See also Journal Article Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors, Annals of the Institute of Statistical Mathematics, Springer (2019) (2019)
7. Optimal Autoregressive Predictions
   Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)

2015

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

2014

9. Unit root tests for dependent and heterogeneous micropanels
   Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)

2012

10. Forecasting Korean inflation
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) View citations (1)
11. Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) View citations (6)
    See also Journal Article Model selection for factor analysis: Some new criteria and performance comparisons, Econometric Reviews, Taylor & Francis Journals (2019) View citations (15) (2019)
12. Panel Cointegration
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)

2011

13. Efficient Estimation of Nonstationary Factor Models
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) View citations (4)
14. Factor models
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) View citations (6)
    See also Chapter Factor models, Chapters, Edward Elgar Publishing (2013) View citations (3) (2013)
15. Spurious Fixed Effects Regression
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
    See also Journal Article Spurious Fixed Effects Regression, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2013) View citations (2) (2013)

2010

16. Efficient Estimation of Factor Models
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
    See also Journal Article EFFICIENT ESTIMATION OF FACTOR MODELS, Econometric Theory, Cambridge University Press (2012) View citations (44) (2012)

2009

17. Model Selection Criteria for the Leads-and-Lags Cointegrating Regression
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2008) View citations (2)
    CCES Discussion Paper Series, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University (2008) View citations (2)
    See also Journal Article Model selection criteria for the leads-and-lags cointegrating regression, Journal of Econometrics, Elsevier (2012) View citations (13) (2012)

2006

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

2004

19. Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (3)
    Also in Econometric Society 2004 Latin American Meetings, Econometric Society (2004) View citations (3)

2000

20. 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

1997

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

1989

22. 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 View citations (6)
    See also Journal Article Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations, Journal of Econometrics, Elsevier (1992) View citations (82) (1992)
23. 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

Journal Articles

2023

1. Canonical correlation-based model selection for the multilevel factors
   Journal of Econometrics, 2023, 233, (1), 22-44 View citations (1)
   See also Working Paper Canonical Correlation-based Model Selection for the Multilevel Factors, Working Papers (2020) (2020)
2. Does climate change affect economic data?
   Empirical Economics, 2023, 64, (6), 2939-2956
   See also Chapter Does climate change affect economic data?, Advanced Studies in Theoretical and Applied Econometrics, 2024, 483-500 (2024) (2024)

2021

3. Choosing the Level of Significance: A Decision‐theoretic Approach
   Abacus, 2021, 57, (1), 27-71 View citations (5)
4. Cross-sectional quasi-maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels
   Empirical Economics, 2021, 60, (1), 177-203 View citations (3)
   See also Working Paper Cross-sectional quasi maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels, Working Papers (2020) (2020)

2020

5. Differencing versus nondifferencing in factor‐based forecasting
   Journal of Applied Econometrics, 2020, 35, (6), 728-750

2019

6. 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
   See also Working Paper Maximum Likelihood Estimation of Autoregressive Models with a Near Unit Root and Cauchy Errors, Working Papers (2016) (2016)
7. Model selection for factor analysis: Some new criteria and performance comparisons
   Econometric Reviews, 2019, 38, (6), 577-596 View citations (15)
   See also Working Paper Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons, Working Papers (2012) View citations (6) (2012)
8. Unit Root Tests for Dependent Micropanels
   The Japanese Economic Review, 2019, 70, (2), 145-167 View citations (2)
   Also in The Japanese Economic Review, 2019, 70, (2), 145-167 (2019) View citations (2)

2018

9. A multilevel factor model: Identification, asymptotic theory and applications
   Journal of Applied Econometrics, 2018, 33, (3), 355-377 View citations (31)
   See also Working Paper A Multilevel Factor Model: Identification, Asymptotic Theory and Applications, Working Papers (2016) View citations (4) (2016)
10. Econometrics Best Paper Award 2018
    Econometrics, 2018, 6, (3), 1-2

2017

11. Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels
    Econometrics, 2017, 5, (3), 1-23 View citations (9)

2014

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

2013

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

2012

14. EFFICIENT ESTIMATION OF FACTOR MODELS
    Econometric Theory, 2012, 28, (2), 274-308 View citations (44)
    See also Working Paper Efficient Estimation of Factor Models, Working Papers (2010) (2010)
15. Model selection criteria for the leads-and-lags cointegrating regression
    Journal of Econometrics, 2012, 169, (2), 224-238 View citations (13)
    See also Working Paper Model Selection Criteria for the Leads-and-Lags Cointegrating Regression, Working Papers (2009) (2009)

2010

16. TESTS FOR NONLINEAR COINTEGRATION
    Econometric Theory, 2010, 26, (3), 682-709 View citations (39)

2008

17. Causal relation between interest and exchange rates in the Asian currency crisis
    Japan and the World Economy, 2008, 20, (3), 435-452 View citations (6)

2007

18. Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices
    Journal of Applied Econometrics, 2007, 22, (2), 233-264 View citations (48)

2005

19. Inconsistency of bootstrap for nonstationary, vector autoregressive processes
    Statistics & Probability Letters, 2005, 75, (1), 39-48 View citations (3)
20. Subsampling vector autoregressive tests of linear constraints
    Journal of Econometrics, 2005, 124, (1), 55-89 View citations (6)

2004

21. COINTEGRATING SMOOTH TRANSITION REGRESSIONS
    Econometric Theory, 2004, 20, (2), 301-340 View citations (102)
22. Testing linearity in cointegrating smooth transition regressions
    Econometrics Journal, 2004, 7, (2), 341-365 View citations (90)

2002

23. ECONOMETRICS
    Econometric Theory, 2002, 18, (4), 1000-1006
24. Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model
    Journal of Econometrics, 2002, 109, (1), 1-32 View citations (5)
25. STRUCTURAL CHANGES AND SEEMINGLY UNIDENTIFIED STRUCTURAL EQUATIONS
    Econometric Theory, 2002, 18, (3), 744-775 View citations (2)

2001

26. Unit root tests for panel data
    Journal of International Money and Finance, 2001, 20, (2), 249-272 View citations (1748)

1999

27. Testing the Random Walk Hypothesis for Real Exchange Rates
    Journal of Applied Econometrics, 1999, 14, (3), 293-308 View citations (103)
    Also in Journal of Applied Econometrics, 1999, 14, (3), 293-308 (1999) View citations (16)

1998

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

1997

30. Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables
    Econometric Theory, 1997, 13, (6), 850-876 View citations (6)
31. Frequency Domain Tests for Residual Serial Correlation in Cointegration Regressions
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 549-62 View citations (3)

1995

32. Sampling frequency and the power of tests for a unit root: A simulation study
    Economics Letters, 1995, 49, (2), 131-136 View citations (44)
33. Testing for Cointegration in a System of Equations
    Econometric Theory, 1995, 11, (5), 952-983 View citations (20)

1994

34. Durbin-Hausman tests for cointegration
    Journal of Economic Dynamics and Control, 1994, 18, (2), 467-480 View citations (9)
35. Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series
    Econometric Theory, 1994, 10, (3-4), 720-746 View citations (31)
36. Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
    Journal of Econometrics, 1994, 60, (1-2), 313-320 View citations (5)

1993

37. Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications
    Econometric Theory, 1993, 9, (2), 263-282 View citations (34)
38. Testing for a unit root by frequency domain regression
    Journal of Econometrics, 1993, 59, (3), 263-286 View citations (12)
39. Univariate Properties of The Korean Economic Time Series
    Korean Economic Review, 1993, 9, 201-232

1992

40. 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 View citations (82)
    See also Working Paper Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations, Cowles Foundation Discussion Papers (1989) View citations (6) (1989)
41. Asymptotic normality of the instrumental variable estimates for ARIMA(p, m, q) processes
    Economics Letters, 1992, 40, (2), 147-153
42. Durbin-Hausman Tests for a Unit Root
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 289-304 View citations (7)
43. Effects of data aggregation on the power of tests for a unit root: A simulation study
    Economics Letters, 1992, 40, (4), 397-401 View citations (30)

1988

44. Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986
    Econometric Theory, 1988, 4, (1), 1-34 View citations (8)

Books

2015

1. Almost All about Unit Roots
   Cambridge Books, Cambridge University Press View citations (42)
   Also in Cambridge Books, Cambridge University Press (2015) View citations (42)

Chapters

2024

1. Does climate change affect economic data?
   Springer
   See also Journal Article Does climate change affect economic data?, Springer (2023) (2023)

2013

2. Factor models
   Chapter 11 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 249-265 View citations (3)
   See also Working Paper Factor models, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) (2011) View citations (6) (2011)