Details about Joon Y. Park

Access statistics for papers by Joon Y. Park.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: ppa681

Working Papers

2025

1. Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Shocking Climate: Identifying Economic Damages from Anthropogenic and Natural Climate Change
   Working Papers, Department of Economics, University of Missouri

2024

3. Common Trends and Country Specific Heterogeneities in Long-Run World Energy Consumption
   Working Papers, Department of Economics, University of Missouri

2023

4. A Trajectories-Based Approach to Measuring Intergenerational Mobility
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)

2006

5. Time series properties of ARCH processes with persistent covariates
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Time series properties of ARCH processes with persistent covariates, Journal of Econometrics, Elsevier (2008) View citations (16) (2008)

2005

6. Extracting a Common Stochastic Trend: Theories with Some Applications
   Working Papers, Rice University, Department of Economics View citations (1)
   Also in Working Papers, Department of Economics, University of Missouri (2005) View citations (2)
7. How They Interact to Generate Persistency in Memory
   Working Papers, Rice University, Department of Economics View citations (2)
8. Iterative Maximum Likelihood Estimation of Cointegrating Vectors
   Working Papers, Rice University, Department of Economics View citations (1)
9. Nonstationary Nonlinear Heteroskedasticity in Regression
   Working Papers, Rice University, Department of Economics
   Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (3)
   See also Journal Article Nonstationary nonlinear heteroskedasticity in regression, Journal of Econometrics, Elsevier (2007) View citations (13) (2007)
10. Testing for a Unit Root against Transitional Autoregressive Models
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics View citations (56)
11. The Spatial Analysis of Time Series
    Working Papers, Rice University, Department of Economics View citations (1)
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)

2004

12. A Test of the Martingale Hypothesis
    Working Papers, Rice University, Department of Economics
    See also Journal Article A Test of the Martingale Hypothesis, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2005) View citations (3) (2005)
13. Endogeneity in Nonlinear Regressions with Integrated Time Series
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (7)
14. Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (6)
    See also Journal Article Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory, Journal of Econometrics, Elsevier (2010) View citations (15) (2010)
15. Taking a New Contour: A Novel View on Unit Root Test
    Working Papers, Rice University, Department of Economics View citations (1)

2003

16. A Bootstrap Theory for Weakly Integrated Processes
    Working Papers, Rice University, Department of Economics
    See also Journal Article A bootstrap theory for weakly integrated processes, Journal of Econometrics, Elsevier (2006) View citations (9) (2006)
17. Nonstationary Nonlinearity: An Outlook for New Opportunities
    Working Papers, Rice University, Department of Economics View citations (2)
18. Strong Approximations for Nonlinear Transformations of Integrated Time Series
    Working Papers, Rice University, Department of Economics View citations (4)
19. Weak Unit Roots
    Working Papers, Rice University, Department of Economics View citations (18)

2002

20. Bootstrap Unit Root Tests
    Working Papers, Rice University, Department of Economics
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (2)
    See also Journal Article Bootstrap Unit Root Tests, Econometrica, Econometric Society (2003) View citations (74) (2003)
21. Bootstrapping Cointegrating Regressions
    Working Papers, Rice University, Department of Economics View citations (6)
    See also Journal Article Bootstrapping cointegrating regressions, Journal of Econometrics, Elsevier (2006) View citations (79) (2006)

2001

22. Nonlinear Instrumental Variable Estimation of an Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article Nonlinear instrumental variable estimation of an autoregression, Journal of Econometrics, Elsevier (2004) View citations (27) (2004)

2000

23. Nonstationary Nonlinear Heteroskedasticity: An Alternative to ARCH
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo

1999

24. Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (22)
    See also Journal Article Nonlinear econometric models with cointegrated and deterministically trending regressors, Econometrics Journal, Royal Economic Society (2001) View citations (80) (2001)
25. Nonstationary Binary Choice
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article Nonstationary Binary Choice, Econometrica, Econometric Society (2000) View citations (81) (2000)

1998

26. Asymptotics for Nonlinear Transformations of Integrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
    See also Journal Article ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES, Econometric Theory, Cambridge University Press (1999) View citations (186) (1999)
27. Nonlinear Regressions with Integrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article Nonlinear Regressions with Integrated Time Series, Econometrica, Econometric Society (2001) View citations (227) (2001)
28. Nonstationary Density Estimation and Kernel Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (64)

1991

29. Inference in Cointegrated Models Using VAR Prewhitening to Estimate Shortrun Dynamics
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (36)
30. Seemingly Unrelated Canonical Cointegrating Regressions
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (17)

1988

31. Testing for a Unit Root in the Presence of a Maintained Trend
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (115)

1987

32. Statistical Inference in Regressions with Integrated Processes: Part 1
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (32)
    See also Journal Article Statistical Inference in Regressions with Integrated Processes: Part 1, Econometric Theory, Cambridge University Press (1988) View citations (226) (1988)
33. Statistical Inference in Regressions with Integrated Processes: Part 2
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (39)
    See also Journal Article Statistical Inference in Regressions with Integrated Processes: Part 2, Econometric Theory, Cambridge University Press (1989) View citations (183) (1989)

1986

34. Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
35. On the Formulation of Wald Tests of Nonlinear Restrictions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
    See also Journal Article On the Formulation of Wald Tests of Nonlinear Restrictions, Econometrica, Econometric Society (1988) View citations (61) (1988)

Journal Articles

2010

1. A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving
   Journal of Econometrics, 2010, 157, (1), 165-178 View citations (12)
2. Cointegrating Regressions with Time Heterogeneity
   Econometric Reviews, 2010, 29, (4), 397-438 View citations (6)
3. Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory
   Journal of Econometrics, 2010, 155, (1), 83-89 View citations (15)
   See also Working Paper Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory, Econometric Society 2004 North American Summer Meetings (2004) View citations (6) (2004)

2009

4. Extracting a common stochastic trend: Theory with some applications
   Journal of Econometrics, 2009, 150, (2), 231-247 View citations (17)
5. Functional-coefficient models for nonstationary time series data
   Journal of Econometrics, 2009, 148, (2), 101-113 View citations (87)

2008

6. Time series properties of ARCH processes with persistent covariates
   Journal of Econometrics, 2008, 146, (2), 275-292 View citations (16)
   See also Working Paper Time series properties of ARCH processes with persistent covariates, MPRA Paper (2006) (2006)

2007

7. Nonstationary nonlinear heteroskedasticity in regression
   Journal of Econometrics, 2007, 137, (1), 230-259 View citations (13)
   See also Working Paper Nonstationary Nonlinear Heteroskedasticity in Regression, Working Papers (2005) (2005)

2006

8. A bootstrap theory for weakly integrated processes
   Journal of Econometrics, 2006, 133, (2), 639-672 View citations (9)
   See also Working Paper A Bootstrap Theory for Weakly Integrated Processes, Working Papers (2003) (2003)
9. Bootstrapping cointegrating regressions
   Journal of Econometrics, 2006, 133, (2), 703-739 View citations (79)
   See also Working Paper Bootstrapping Cointegrating Regressions, Working Papers (2002) View citations (6) (2002)

2005

10. A Test of the Martingale Hypothesis
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (2), 32 View citations (3)
    See also Working Paper A Test of the Martingale Hypothesis, Working Papers (2004) (2004)

2004

11. Nonlinear instrumental variable estimation of an autoregression
    Journal of Econometrics, 2004, 118, (1-2), 219-246 View citations (27)
    See also Working Paper Nonlinear Instrumental Variable Estimation of an Autoregression, Cowles Foundation Discussion Papers (2001) View citations (1) (2001)

2003

12. A Sieve Bootstrap For The Test Of A Unit Root
    Journal of Time Series Analysis, 2003, 24, (4), 379-400 View citations (118)
13. Bootstrap Unit Root Tests
    Econometrica, 2003, 71, (6), 1845-1895 View citations (74)
    See also Working Paper Bootstrap Unit Root Tests, Working Papers (2002) (2002)
14. Index models with integrated time series
    Journal of Econometrics, 2003, 114, (1), 73-106 View citations (27)

2002

15. AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
    Econometric Theory, 2002, 18, (2), 469-490 View citations (72)
16. Nonstationary nonlinear heteroskedasticity
    Journal of Econometrics, 2002, 110, (2), 383-415 View citations (24)
17. ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
    Econometric Reviews, 2002, 21, (4), 431-447 View citations (95)

2001

18. Nonlinear Regressions with Integrated Time Series
    Econometrica, 2001, 69, (1), 117-61 View citations (227)
    See also Working Paper Nonlinear Regressions with Integrated Time Series, Cowles Foundation Discussion Papers (1998) View citations (2) (1998)
19. Nonlinear econometric models with cointegrated and deterministically trending regressors
    Econometrics Journal, 2001, 4, (1), 1-36 View citations (80)
    See also Working Paper Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors, Cowles Foundation Discussion Papers (1999) View citations (22) (1999)

2000

20. Nonstationary Binary Choice
    Econometrica, 2000, 68, (5), 1249-1280 View citations (81)
    See also Working Paper Nonstationary Binary Choice, Cowles Foundation Discussion Papers (1999) (1999)

1999

21. ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
    Econometric Theory, 1999, 15, (3), 269-298 View citations (186)
    See also Working Paper Asymptotics for Nonlinear Transformations of Integrated Time Series, Cowles Foundation Discussion Papers (1998) View citations (10) (1998)
22. COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
    Econometric Theory, 1999, 15, (5), 664-703 View citations (120)

1997

23. A cointegration approach to estimating preference parameters
    Journal of Econometrics, 1997, 82, (1), 107-134 View citations (94)
24. 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)

1994

25. Testing for Unit Roots in Models with Structural Change
    Econometric Theory, 1994, 10, (5), 917-936 View citations (28)

1992

26. Canonical Cointegrating Regressions
    Econometrica, 1992, 60, (1), 119-43 View citations (430)

1991

27. Testing Purchasing Power Parity under the Null Hypothesis of Co-integration
    Economic Journal, 1991, 101, (409), 1476-84 View citations (74)

1989

28. Statistical Inference in Regressions with Integrated Processes: Part 2
    Econometric Theory, 1989, 5, (1), 95-131 View citations (183)
    See also Working Paper Statistical Inference in Regressions with Integrated Processes: Part 2, Cowles Foundation Discussion Papers (1987) View citations (39) (1987)

1988

29. On the Formulation of Wald Tests of Nonlinear Restrictions
    Econometrica, 1988, 56, (5), 1065-83 View citations (61)
    See also Working Paper On the Formulation of Wald Tests of Nonlinear Restrictions, Cowles Foundation Discussion Papers (1986) View citations (4) (1986)
30. Statistical Inference in Regressions with Integrated Processes: Part 1
    Econometric Theory, 1988, 4, (3), 468-497 View citations (226)
    See also Working Paper Statistical Inference in Regressions with Integrated Processes: Part 1, Cowles Foundation Discussion Papers (1987) View citations (32) (1987)