Recent Working Papers
Testing weak sigma convergence based on HAR covariance matrix estimators. August 2017 (with Jianning Kong and Peter C.B. Phillips)
Identifying Exchange Rates Common Factors August 2017 (with Ryan Greenaway-McGrevy, Nelson C. Mark and Jyh-Lin Wu)
The Role of Labor Share in Relative Price Divergence May 2015 (with Horag Choi, Ryan Greenaway-McGrevy and Youngse Kim)
Published Papers and Book Chapters
All papers below are copyrighted by their publishers and are not to be reproduced without the permission of the publishers.
2. 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
3. Efficient Estimation and Inference for Difference-In-Difference Regressions with Persistent Errors" Advances in Econometrics, 2014, 33, 281--302 (with Ryan Greenaway-McGrevy and Chirok Han)
4. Average Estimation of Dynamic Panel Models with Nonstationary Initial Condition" Advances in Econometrics, 2014, Vol 33, 241--279 (with John Chao and Myungsup Kim)
5. Dynamic Panel Analysis under Cross-Sectional Dependence Political Analysis, 2014, Vol 22(2), 258—273 (with K. Gaibulloev and T. Sandler).
6. Of Nickell Bias, Cross-Sectional Dependence, and Their Cures: Reply. Political Analysis, 2014, Vol 22(2), 279—280 (with K. Gaibulloev and T. Sandler).
7. X-Differencing and Dynamic Panel Model Estimation, Econometric Theory, 2014, 30(1), 201—251 (with Chirok Han and P.C.B. Phillips)
8. Common Drivers of Transnational Terrorism: Principal Component Analysis Economic Inquiry, 2013, 707-721. (with K. Gaibulloev and T. Sandler)
9. 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.
10. 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)
11. 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)
12. Asymptotic Distribution of Factor Augmented Estimators for Panel Regression Journal of Econometrics 2012, 169, 48--53 (with R. Greenaway-McGrevy and C. Han).
13. Uniform Asymptotic Normality in Stationary and Unit Root Autoregression Econometric Theory 2011, 27 (6), 1117--1151 (with C. Han and P.C.B. Phillips)
14. 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)
15. 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
17. 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)
18. 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
19. Some Empirics on Economic Growth under Heterogeneous Technology Journal of Macroeconomics, 2007, 455-469. (with P.C.B. Phillips)
20. 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)
21. 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
23. Dynamic Seemingly Unrelated Cointegrating Regression (with N.C. Mark and M. Ogaki), Review of Economic Studies, 2005, 72, 797-820. Gauss Code
24. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence Econometrics Journal, 2003, Vol. 6. 217—260. (with P.C.B. Phillips) Gauss Code
25. 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)
26. 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)
27. Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Seventeen Country Panel Journal of International Economics, 2001, 53, 29-52 (with N.C. Mark)
28. Excess Volatility of Realized Excess Profit from Currency Speculation in a Two-Country General Equilibrium Model Review of International Economics, 1999, 7, 280-292.
29. Does Ex Post Uncovered Interest Differential Reflect on the Degrees of Capital Mobility? Applied Economics Letters, 1999, 6, 97-102.