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Details about Yoon-Jae Whang

E-mail:
Homepage:https://sites.google.com/site/whangyjhomepage/
Phone:+82-2-880-6362
Postal address:Department of Economics Seoul National University Seoul 08826 Korea
Workplace:Division of Economics, Seoul National University, (more information at EDIRC)

Access statistics for papers by Yoon-Jae Whang.

Last updated 2017-01-04. Update your information in the RePEc Author Service.

Short-id: pwh7


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Working Papers

2016

  1. DOUBLY ROBUST UNIFORM CONFIDENCE BAND FOR THE CONDITIONAL AVERAGE TREATMENT EFFECT FUNCTION
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) Downloads

2014

  1. TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (4)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) Downloads View citations (4)
  2. The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2016)

2013

  1. A nonparametric test of a strong leverage hypothesis
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)

2012

  1. A nonparametric test of the leverage hypothesis
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
  2. Testing for the stochastic dominance efficiency of a given portfolio
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
    See also Journal Article in Econometrics Journal (2014)

2011

  1. Testing functional inequalities
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2013)

2009

  1. An Improved Bootstrap Test of Stochastic Dominance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2010)
  2. Nonparametric Estimation of a Polarization Measure
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) Downloads View citations (3)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads View citations (3)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) Downloads View citations (3)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) Downloads
  3. Nonparametric Tests of Conditional Treatment Effects
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (12)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) Downloads View citations (12)

2008

  1. 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 Downloads View citations (4)
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2008) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) Downloads
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) Downloads View citations (4)
  2. Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2012)
  3. Testing for stochastic monotonicity
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2006) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) Downloads

    See also Journal Article in Econometrica (2009)

2006

  1. Are there Monday effects in Stock Returns: A Stochastic Dominance Approach
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) Downloads

    See also Journal Article in Journal of Empirical Finance (2007)

2005

  1. Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometric Theory (2011)
  2. Testing for Stochastic Dominance Efficiency
    ERIM Report Series Research in Management, 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 Downloads View citations (2)

2004

  1. A Quantilogram Approach to Evaluating Directional Predictability
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads
  2. A Test of the Martingale Hypothesis
    Working Papers, Rice University, Department of Economics Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2005)
  3. Consistent Testing for Stochastic Dominance: A Subsampling Approach
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads
    FMG Discussion Papers, Financial Markets Group (2002) Downloads View citations (8)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads View citations (1)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2002) Downloads View citations (1)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2002) Downloads View citations (14)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads View citations (1)
  4. Smoothed Empirical Likelihood Methods for Quantile Regression Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Econometrics, EconWPA (2003) Downloads View citations (2)

    See also Journal Article in Econometric Theory (2006)

2003

  1. Consistent Testing for Stochastic Dominance under General Sampling Schemes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (16)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads View citations (4)

    See also Journal Article in Review of Economic Studies (2005)

2002

  1. Nonparametric estimation with aggregated data
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads

    See also Journal Article in Econometric Theory (2002)

1999

  1. Random Walk or Chaos: A Formal Test on the Lyapunov Exponent
    Working Paper Series, Institute of Economic Research, Seoul National University Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2012)

1997

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

1991

  1. Tests of Specification for Parametric and Semiparametric Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (1993)

1989

  1. Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article in Econometric Theory (1990)

Journal Articles

2016

  1. The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
    Journal of Econometrics, 2016, 193, (1), 251-270 Downloads View citations (8)
    See also Working Paper (2014)

2014

  1. Testing for the stochastic dominance efficiency of a given portfolio
    Econometrics Journal, 2014, 17, (2), S59-S74 Downloads View citations (4)
    See also Working Paper (2012)

2013

  1. Testing functional inequalities
    Journal of Econometrics, 2013, 172, (1), 14-32 Downloads View citations (15)
    See also Working Paper (2011)

2012

  1. Nonparametric estimation and inference about the overlap of two distributions
    Journal of Econometrics, 2012, 171, (1), 1-23 Downloads View citations (16)
  2. Random walk or chaos: A formal test on the Lyapunov exponent
    Journal of Econometrics, 2012, 169, (1), 61-74 Downloads
    See also Working Paper (1999)
  3. Testing for non-nested conditional moment restrictions using unconditional empirical likelihood
    Journal of Econometrics, 2012, 167, (2), 370-382 Downloads View citations (1)
    See also Working Paper (2008)

2011

  1. TESTING FOR NONNESTED CONDITIONAL MOMENT RESTRICTIONS VIA CONDITIONAL EMPIRICAL LIKELIHOOD
    Econometric Theory, 2011, 27, (01), 114-153 Downloads View citations (9)
    See also Working Paper (2005)

2010

  1. A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving
    Journal of Econometrics, 2010, 157, (1), 165-178 Downloads View citations (3)
  2. An improved bootstrap test of stochastic dominance
    Journal of Econometrics, 2010, 154, (2), 186-202 Downloads View citations (38)
    See also Working Paper (2009)

2009

  1. Testing for Stochastic Monotonicity
    Econometrica, 2009, 77, (2), 585-602 Downloads View citations (22)
    See also Working Paper (2008)

2007

  1. Are there Monday effects in stock returns: A stochastic dominance approach
    Journal of Empirical Finance, 2007, 14, (5), 736-755 Downloads View citations (19)
    See also Working Paper (2006)
  2. The quantilogram: With an application to evaluating directional predictability
    Journal of Econometrics, 2007, 141, (1), 250-282 Downloads View citations (25)

2006

  1. SMOOTHED EMPIRICAL LIKELIHOOD METHODS FOR QUANTILE REGRESSION MODELS
    Econometric Theory, 2006, 22, (02), 173-205 Downloads View citations (21)
    See also Working Paper (2004)

2005

  1. A Test of the Martingale Hypothesis
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (2), 1-32 Downloads
    See also Working Paper (2004)
  2. Consistent Testing for Stochastic Dominance under General Sampling Schemes
    Review of Economic Studies, 2005, 72, (3), 735-765 Downloads View citations (151)
    See also Working Paper (2003)

2003

  1. A multiple variance ratio test using subsampling
    Economics Letters, 2003, 79, (2), 225-230 Downloads View citations (25)

2002

  1. NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA
    Econometric Theory, 2002, 18, (02), 420-468 Downloads View citations (3)
    See also Working Paper (2002)

2001

  1. Consistent specification testing for conditional moment restrictions
    Economics Letters, 2001, 71, (3), 299-306 Downloads View citations (6)

2000

  1. Consistent bootstrap tests of parametric regression functions
    Journal of Econometrics, 2000, 98, (1), 27-46 Downloads View citations (32)

1999

  1. The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
    Journal of Econometrics, 1999, 91, (1), 1-42 Downloads View citations (20)
    See also Working Paper (1997)

1998

  1. A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
    Econometric Theory, 1998, 14, (01), 87-122 Downloads View citations (7)
  2. A test of normality using nonparametrlic residuals
    Econometric Reviews, 1998, 17, (3), 301-327 Downloads View citations (1)
  3. TOPICS IN ADVANCED ECONOMETRICS: ESTIMATION, TESTING, AND SPECIFICATION OF CROSS-SECTION AND TIME SERIES MODELS
    Econometric Theory, 1998, 14, (03), 369-374 Downloads

1993

  1. Tests of specification for parametric and semiparametric models
    Journal of Econometrics, 1993, 57, (1-3), 277-318 Downloads View citations (36)
    See also Working Paper (1991)

1990

  1. A Matrix Inequality
    Econometric Theory, 1990, 6, (01), 120-121 Downloads
  2. Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality
    Econometric Theory, 1990, 6, (04), 466-479 Downloads View citations (18)
    See also Working Paper (1989)
 
Page updated 2017-10-20