Details about Ji Hyung Lee

Access statistics for papers by Ji Hyung Lee.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: ple807

Working Papers

2024

1. Econometric Inference for High Dimensional Predictive Regressions
   Papers, arXiv.org
2. Predictive Quantile Regression with High-Dimensional Predictors: The Variable Screening Approach
   Papers, arXiv.org

2023

3. Tuning Parameter-Free Nonparametric Density Estimation from Tabulated Summary Data
   Papers, arXiv.org
   See also Journal Article Tuning parameter-free nonparametric density estimation from tabulated summary data, Journal of Econometrics, Elsevier (2024) (2024)

2022

4. Capital and Labor Income Pareto Exponents in the United States, 1916-2019
   Papers, arXiv.org View citations (2)
5. Fixed-k Tail Regression: New Evidence on Tax and Wealth Inequality from Forbes 400
   Papers, arXiv.org
6. Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach
   Papers, arXiv.org
   See also Journal Article Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach, Journal of Econometrics, Elsevier (2023) View citations (5) (2023)

2021

7. Complete Subset Averaging for Quantile Regressions
   Papers, arXiv.org View citations (2)
   Also in Department of Economics Working Papers, McMaster University (2020) View citations (2)
   See also Journal Article COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS, Econometric Theory, Cambridge University Press (2023) (2023)
8. On LASSO for Predictive Regression
   Papers, arXiv.org View citations (8)
   See also Journal Article On LASSO for predictive regression, Journal of Econometrics, Elsevier (2022) View citations (8) (2022)

2018

9. Quantilograms under Strong Dependence
   Working Paper Series, Institute of Economic Research, Seoul National University
   See also Journal Article QUANTILOGRAMS UNDER STRONG DEPENDENCE, Econometric Theory, Cambridge University Press (2020) (2020)

2015

10. Predictive quantile regression with persistent covariates: IVX-QR approach
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Predictive quantile regression with persistent covariates: IVX-QR approach, Journal of Econometrics, Elsevier (2016) View citations (49) (2016)

2012

11. VARs with Mixed Roots Near Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

Journal Articles

2024

1. Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics*
   Journal of Financial Econometrics, 2024, 22, (1), 1-29
2. Tuning parameter-free nonparametric density estimation from tabulated summary data
   Journal of Econometrics, 2024, 238, (1)
   See also Working Paper Tuning Parameter-Free Nonparametric Density Estimation from Tabulated Summary Data, Papers (2023) (2023)

2023

3. COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS
   Econometric Theory, 2023, 39, (1), 146-188
   See also Working Paper Complete Subset Averaging for Quantile Regressions, Papers (2021) View citations (2) (2021)
4. Nonparametric identification and estimation of the extended Roy model
   Journal of Econometrics, 2023, 235, (2), 1087-1113 View citations (2)
5. Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach
   Journal of Econometrics, 2023, 237, (2) View citations (5)
   See also Working Paper Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach, Papers (2022) (2022)

2022

6. On LASSO for predictive regression
   Journal of Econometrics, 2022, 229, (2), 322-349 View citations (8)
   See also Working Paper On LASSO for Predictive Regression, Papers (2021) View citations (8) (2021)

2020

7. QUANTILOGRAMS UNDER STRONG DEPENDENCE
   Econometric Theory, 2020, 36, (3), 457-487
   See also Working Paper Quantilograms under Strong Dependence, Working Paper Series (2018) (2018)

2019

8. Martingale decomposition and approximations for nonlinearly dependent processes
   Statistics & Probability Letters, 2019, 152, (C), 35-42
9. Predictive quantile regressions under persistence and conditional heteroskedasticity
   Journal of Econometrics, 2019, 213, (1), 261-280 View citations (28)

2018

10. ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS
    Econometric Theory, 2018, 34, (4), 790-814 View citations (9)

2016

11. Asset pricing with financial bubble risk
    Journal of Empirical Finance, 2016, 38, (PB), 590-622 View citations (25)
12. Predictive quantile regression with persistent covariates: IVX-QR approach
    Journal of Econometrics, 2016, 192, (1), 105-118 View citations (49)
    See also Working Paper Predictive quantile regression with persistent covariates: IVX-QR approach, MPRA Paper (2015) View citations (2) (2015)
13. Robust econometric inference with mixed integrated and mildly explosive regressors
    Journal of Econometrics, 2016, 192, (2), 433-450 View citations (34)

2015

14. Limit Theory for VARs with Mixed Roots Near Unity
    Econometric Reviews, 2015, 34, (6-10), 1035-1056 View citations (6)

2013

15. Predictive regression under various degrees of persistence and robust long-horizon regression
    Journal of Econometrics, 2013, 177, (2), 250-264 View citations (69)

Chapters

2023

1. Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance
   A chapter in Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, 2023, vol. 45B, pp 99-131