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Ji Hyung Lee
Ji Hyung Lee
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Title
Cited by
Cited by
Year
Predictive regression under various degrees of persistence and robust long-horizon regression
PCB Phillips, JH Lee
Journal of Econometrics 177 (2), 250-264, 2013
1142013
Predictive Quantile Regression with Persistent Covariates: IVX-QR Apporach
JH Lee
Journal of Econometrics 192 (1), 105-118, 2016
712016
On lasso for predictive regression
JH Lee, Z Shi, Z Gao
Journal of Econometrics 229 (2), 322-349, 2022
592022
Asset pricing with financial bubble risk
JH Lee, PCB Phillips
Journal of Empirical Finance 38, 590-622, 2016
552016
Robust econometric inference with mixed integrated and mildly explosive regressors
PCB Phillips, JH Lee
Journal of Econometrics 192 (2), 433-450, 2016
502016
Predictive quantile regressions under persistence and conditional heteroskedasticity
R Fan, JH Lee
Journal of Econometrics 213 (1), 261-280, 2019
282019
Estimation and inference of quantile impulse response functions by local projections: with applications to VAR dynamics
H Han, W Jung, JH Lee
Journal of Financial Econometrics, 2022
162022
On standard inference for GMM with local identification failure of known forms
JH Lee, Z Liao
Econometric Theory 34 (4), 790-814, 2018
162018
Limit theory for VARs with mixed roots near unity
PCB Phillips, JH Lee
Econometric Reviews 34 (6-10), 1035-1056, 2015
142015
Nonparametric identification and estimation of the extended Roy model
JH Lee, BG Park
Journal of Econometrics 235 (2), 1087-1113, 2023
12*2023
Stable limit theorems for empirical processes under conditional neighborhood dependence
JH Lee, K Song
Bernoulli 25 (2), 1189-1224, 2019
122019
Limit theory for explosive autoregression under conditional heteroskedasticity
JH Lee
Journal of Statistical Planning and Inference 196, 30-55, 2018
72018
Complete subset averaging for quantile regressions
JH Lee, Y Shin
Econometric Theory 39 (1), 146-188, 2023
62023
Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach
R Fan, JH Lee, Y Shin
Journal of Econometrics 237 (2), 105372, 2023
5*2023
Quantile impulse response analysis with applications in macroeconomics and finance
W Jung, JH Lee
Advances in Econometrics 45, 99-131, 2023
42023
Quantilograms under strong dependence
JH Lee, OB Linton, YJ Whang
Available at SSRN 2939361, 2019
42019
On standard inference for GMM with seeming local identification failure
JH Lee, Z Liao
Unpublished Manuscript, 2014
42014
Fixed-k Tail Regression: New Evidence on Tax and Wealth Inequality from Forbes 400
JH Lee, Y Sasaki, AA Toda, Y Wang
arXiv preprint arXiv:2105.10007, 2021
22021
Quantilograms under Strong Dependence
JH Lee, O Linton, YJ Whang
Econometric Theory 36 (3), 457-487, 2020
22020
Capital and Labor Income Pareto Exponents in the United States, 1916-2019
JH Lee, Y Sasaki, AA Toda, Y Wang
arXiv preprint arXiv:2206.04257, 2022
12022
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Articles 1–20