All
papers below are copyrighted by their publishers and are not to be reproduced without
the permission of the publishers.
1.
Trimmed Mean Group
Estimation (with Yoonseok Lee), forthcoming in Advanced in Econometrics,
essays in honor of Hashem Pesaran, 2021.
2.
Two-Way Fixed Effects versus
Panel Factor Augmented Estimators: Asymptotic Comparison among Pre-testing
Procedures (with Minyu Han, Jihun Kwak), forthcoming in Econometric Review,
2021.
3.
Testing weak sigma convergence using HAR Inference, Li, T.,Pesaran, M.H. and Terrell, D. (Ed.) Essays
in Honor of Cheng Hsiao (Advances in Econometrics, Vol. 41), Emerald Publishing Limited, pp. 25-72.
4.
Weak
Sigma Convergence: Theory and Applications (with Jianning Kong and Peter
C.B. Phillips), Journal of Econometrics,.
2019, (2), 185-207. Online
Supplement (Appendix of Proofs) , Stata and Gauss Code, Additional
MC results
5. Estimation of Treatment Effects in Repeated
Public Good Experiments (with Jianning Kong), 2019, In honor of Peter C.B. Phillips, Econometrics,
6(4), 43.
6. Identifying
Exchange Rates Common Factors (with Ryan Greenaway-McGrevy, Nelson
C. Mark and Jyh-Lin Wu), International Economic Review,
2018, 59(4), 2193-2218. Data and Program
5 Lag Length Selection in Panel Autoregression (with Chirok Han and Peter C.B. Phillips) Econometric
Review 2017,
Vol 36(1), 225—240. Gauss
Code.
6
Identification of Unknown Common Factors:
Leaders and Followers (with Jason Parker) Journal of Business, Economics & Statistics, 2016, Vol
34(2), 227—239 Additional MC results, Example
GAUSS Code
7 Efficient Estimation and Inference for Difference-In-Difference Regressions with Persistent Errors" in honor of Peter C.B. Phillips, Advances in Econometrics, 2014, 33, 281--302 (with Ryan Greenaway-McGrevy and Chirok Han)
8
Average
Estimation of Dynamic Panel Models with Nonstationary Initial Condition"
In honor of Peter C.B.
Phillips, Advances in Econometrics, 2014, Vol 33, 241--279 (with John Chao and Myungsup Kim)
9 Dynamic
Panel Analysis under Cross-Sectional Dependence Political Analysis, 2014, Vol 22(2), 258—273 (with K. Gaibulloev
and T. Sandler).
10 Of Nickell Bias, Cross-Sectional
Dependence, and Their Cures: Reply. Political Analysis, 2014, Vol 22(2), 279—280 (with K. Gaibulloev
and T. Sandler).
11
X-Differencing
and Dynamic Panel Model Estimation, Econometric Theory,
2014, 30(1), 201—251 (with Chirok Han and P.C.B. Phillips)
12 Common Drivers of Transnational Terrorism: Principal Component Analysis Economic Inquiry, 2013, 707-721. (with K. Gaibulloev and T. Sandler)
13 When Are Pooled
Panel-Data Regression Forecasts of Exchange Rates More Accurate than the
Time-Series Regression Forecasts?, Handbook of Exchange Rates,
2012, 256-281 (with Nelson C. Mark) Edited by J. James, I.W. Marsh and L. Sarno. John Wiley & Sons, Inc.
14 Standardization
and Estimation of the Number of Factors for Panel Data, Journal
of Economic Theory and Econometrics, 2012, 23(2), 79-88 (with Ryan
Greenaway-McGrevy and Chirok Han)
15 Estimating
the Number of Common Factors in Serially Dependent Approximate Factor Models,
Economics
Letters 2012, 116, 531--534 Additional MC
results (with Ryan Greenaway-McGrevy and Chirok
Han)
16 Asymptotic
Distribution of Factor Augmented Estimators for Panel Regression In honor of Peter C.B.
Phillips, Journal of Econometrics 2012, 169, 48--53 (with R. Greenaway-McGrevy and C. Han).
17 Uniform Asymptotic Normality in Stationary and Unit Root Autoregression Econometric Theory 2011, 27 (6), 1117--1151 (with C. Han and
P.C.B. Phillips)
18 Bias Reduction in Dynamic Panel Data Models by Recursive
Mean Adjustment under Cross Section Dependence Oxford Bulletin of Economics & Statistics, 2010, 72 (7), 567--599 (with CY Choi and Nelson C. Mark)
19 Panel Unit Root Tests under Cross Section Dependence
with Recursive Mean Adjustment Economics Letters
2009, 105 (1). 123-126, Detail Critical
values for CRMA tests (Excel File). Example Gauss Code
20 Economic
Transition and Growth Journal of
Applied Econometrics 2009, 24, 1153-1185 (with P.C.B. Phillips). Example Gauss Code , Stata Code
written by Kerui Du
21 Endogenous Discounting, the World Savings Glut and the U.S. Current
Account Journal of International Economics, 2008, 30—53. (with Horag Choi and Nelson C. Mark)
22 Transition
Modeling and Econometric Convergence Tests Econometrica, 2007, Vol
75, 1771-1855. (with P.C.B. Phillips) Power
Point Slides by Sul, Gauss Code for Clustering Algorithm
Data
23 Some Empirics
on Economic Growth under Heterogeneous Technology Journal
of Macroeconomics, 2007, 455-469.
(with P.C.B. Phillips)
24 Bias in
Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross
Section Dependence Journal of
Econometrics, 2007, Vol 137, 162-188 (with P.C.B. Phillips)
25 Unbiased
Estimation of the Half-Life to PPP Convergence in Panel Data Journal
of Money, Credit, and Banking, 2006, 921-938. (with C.Y. Choi
and N.C. Mark) Data, Gauss Code
26 Prewhitening Bias in HAC Estimation
27
Dynamic Seemingly
Unrelated Cointegrating Regression (with N.C. Mark and M. Ogaki), Review
of Economic Studies, 2005, 72, 797-820. Gauss Code
28 Dynamic Panel Estimation and Homogeneity Testing Under
Cross Section Dependence Econometrics Journal, 2003, Vol. 6. 217—260. (with P.C.B.
Phillips) Gauss Code
29 Cointegration vector estimation by panel DOLS and long-run
money demand Oxford Bulletin of Economics & Statistics, 2003, Vol 65, 655-680. (with N.C. Mark) Gauss Code (Updated Aug 2010)
30 Spatial Market Efficiency and Policy Regime Change:
Seemingly Unrelated Error Correction Model Estimation American Journal of
Agricultural Economics, 2002, 84(4), 1042—1053. (with S.R. Thompson, M.T. Bohl)
31
Nominal Exchange Rates and Monetary Fundamentals: Evidence from a
Seventeen Country Panel Journal of International Economics, 2001, 53, 29-52 (with N.C. Mark) Data and Program (GAUSS code)
32 Excess Volatility of Realized Excess Profit from
Currency Speculation in a Two-Country General Equilibrium Model Review
of International Economics, 1999, 7, 280-292.
33 Does Ex Post Uncovered Interest Differential Reflect on the Degrees of Capital Mobility? Applied Economics Letters, 1999, 6, 97-102.