Working Papers

From University of California at Riverside, Department of Economics
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202507: Combining Forecasts under Structural Breaks Using Graphical LASSO

Tae-Hwy Lee and Ekaterina Seregina

202506: Large Volatility Matrix Prediction using Tensor Factor Structure

Sung Hoon Choi and Donggyu Kim

202505: How does Medicaid managed care affect provider behavior? New evidence from spillovers on private health care

Ajin Lee

202504: Boosting GMM with Many Instruments When Some Are Invalid and/or Irrelevant

Hao Hao and Tae-Hwy Lee

202503: Progressive Taxation and Long-Run Income Inequality under Endogenous Growth

Juin-Jen Chang, Jang-Ting Guo and Wei-Neng Wang

202502: Forecasting Using Supervised Factors and Idiosyncratic Elements

Tae-Hwy Lee and Daanish Padha

202501: Quantile-Covariance Three-Pass Regression Filter

Pedro Isaac Chavez-Lopez and Tae-Hwy Lee

202424: Large Global Volatility Matrix Analysis Based on Observation Structural Information

Sung Hoon Choi and Donggyu Kim

202423: Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector

Sung Hoon Choi and Donggyu Kim

202422: Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta

Donggyu Kim, Minseog Oh and Yazhen Wang

202421: Dynamic Realized Minimum Variance Portfolio Models

Donggyu Kim and Minseog Oh

202420: Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups

Donggyu Kim and Minseog Oh

202419: Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data

Jianqing Fan, Donggyu Kim and Minseok Shin

202418: Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure

Donggyu Kim and Minseok Shin

202417: Robust High-Dimensional Time-Varying Coefficient Estimation

Donggyu Kim and Minseok Shin

202416: High-Dimensional Time-Varying Coefficient Estimation

Donggyu Kim

202415: Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data

Jianqing Fan, Donggyu Kim, Minseok Shin and Yazhen Wang

202414: Asymmetric AdaBoost for Maximum Score Estimation of High-dimensional Binary Choice Regression Models

Jianghao Chu, Tae-Hwy Lee and Aman Ullah

202413: Combining Forecasts under Structural Breaks Using Graphical LASSO

Tae-Hwy Lee and Ekaterina Seregina

202412: Estimation and Testing of Forecast Rationality with Many Moments

Tae-Hwy Lee and Tao Wang

202411: Boosting GMM with Many Instruments When Some Are Invalid and/or Irrelevant

Hao Hao and Tae-Hwy Lee

202410: Endogenous Realtor Intermediation and Housing Market Liquidity

Miroslav Gabrovski, Ioannis Kospentaris and Victor Ortego-Marti

202409: Second Try's a Charm: The Impact of Financial Aid Policy on Course Retaking Behavior for Low Income Students

Veronica Sovero

202408: Harvesting Votes: The Electoral Effects of the Italian Land Reform

Bruno Caprettini, Lorenzo Casaburi and Miriam Venturini

202407: The Imperfect Union: Labor Racketeering, Corruption Exposure, and Its Consequences

Miriam Venturini

202406: Econometric Inference Using Hausman Instruments

Jinyong Hahn, Zhipeng Liao, Nan Liu and Ruoyao Shi

202405: Econometric Inference Using Hausman Instruments

Jinyong Hahn, Zhipeng Liao, Nan Liu and Ruoyao Shi

202404: Tenant Rights, Eviction, and Rent Affordability

N. Edward Coulson, Thao Le, Victor Ortego-Marti and Lily Shen

202403: Optimal Dynamic Income Taxation under Quasi-Hyperbolic Discounting and Idiosyncratic Productivity Shocks

Yunmin Chen and Jang-Ting Guo

202402: Identification and Estimation of Nonstationary Dynamic Binary Choice Models

Cheng Chou, Geert Ridder and Ruoyao Shi

202401: Caste Differences in Child Growth: Disentangling Endowment and Investment Effects

Neha Agarwal, Anaka Aiyar, Andrew Bergmann, Joseph Cummins, Jingyan Guo and Vaishali Jain

202315: A Truncated Mixture Transition Model for Interval-valued Time Series

Gloria Gonzalez-Rivera and Yun Luo

202314: Expecting the unexpected: Stressed scenarios for economic growth

Gloria Gonzalez-Rivera, Vladimir Rodriguez-Caballero and Esther Ruiz

202313: The Second-order Bias and Mean Squared Error of Quantile Regression Estimators

Tae Hwy Lee, Aman Ullah and He Wang

202312: Teacher labor market policy and the theory of the second best

Michael Bates, Michael Dinerstein, Andrew Johnston and Isaac Sorkin

202311: Elicitability and Encompassing for Volatility Forecasts by Bregman Functions

Tae Hwy Lee, Ekaterina Seregina and Yaojue Xu

202310: Combining Forecasts under Structural Breaks Using Graphical LASSO

Tae Hwy Lee and Ekaterina Seregina

202309: Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant

Hao Hao and Tae Hwy Lee

202308: Inferential Theory for Granular Instrumental Variables in High Dimensions

Saman Banafti and Tae Hwy Lee

202307: Estimation and Testing of Forecast Rationality with Many Moments

Tae Hwy Lee and Tao Wang

202306: Asymmetric AdaBoost for High-dimensional Maximum Score Regression

Jianghao Chu, Tae Hwy Lee and Aman Ullah

202305: Nonlinear Correlated Random Effects Models with Endogeneity and Unbalanced Panels

Michael Bates, Leslie Papke and Jeffrey Wooldridge

202304: Estimating the Price Elasticity of Gasoline Demand in Correlated Random Coefficient Models with Endogeneity

Michael Bates and Seolah Kim

202303: Generalized Kernel Regularized Least Squares Estimator with Parametric Error Covariance

Justin Dang and Aman Ullah

202302: Optimal Portfolio Using Factor Graphical Lasso

Tae Hwy Lee and Ekaterina Seregina

202301: Financial integration and international risk spillovers

Dongwon Lee

202218: Testing Attrition Bias in Field Experiments

Dalia Ghanem, Sarojini Hirshleifer and Karen Ortiz-Becerra

202217: Home Construction Financing and Search Frictions in the Housing Market

Miroslav Gabrovski and Victor Ortego-Marti

202216: Commodity terms of trade volatility and industry growth

Dongwon Lee

202215: Semiparametric Partially Linear Varying Coefficient Modal Regression

Aman Ullah, Tao Wang and Weixin Yao