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Jin Seo Cho

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS, 2015. "Testing Linearity Using Power Transforms of Regressors," Working papers 2015rwp-79, Yonsei University, Yonsei Economics Research Institute.

    Mentioned in:

    1. April Reading
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2015-04-02 01:53:00

Working papers

  1. Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2023. "The Asymmetric Response of Dividends to Earnings News," Working papers 2023rwp-210, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Sephton, Peter, 2023. "Threshold cointegration and asymmetries between dividends and earnings news," Finance Research Letters, Elsevier, vol. 58(PB).
    2. Núñez, Héctor M. & Otero, Jesús & Trujillo-Barrera, Andrés, 2023. "Wholesale price rigidities and exchange rate pass-through: Evidence from daily data of agricultural products," International Economics, Elsevier, vol. 176(C).
    3. Abdullah AlGhazali & Khamis Hamed Al-Yahyaee & Richard Fairchild & Yilmaz Guney, 2024. "What do dividend changes reveal? Theory and evidence from a unique environment," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 499-552, February.

  2. Shawkat Hammoudeh & Walid Mensi & Jin Seo Cho, 2021. "Spillovers between Exchange Rate Pressure and CDS Bid-Ask Spreads, Reserve Assets and Oil Prices Using the Quantile ARDL Model," Working papers 2021rwp-191, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Priya, Pragati & Pal, Debdatta, 2024. "Does crude oil price volatility respond asymmetrically to financial shocks?," Resources Policy, Elsevier, vol. 92(C).

  3. Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2021. "Recent Developments of the Autoregressive Distributed Lag Modelling Framework," Working papers 2021rwp-186, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Li, Sisi & Khan, Sufyan Ullah & Yao, Yao & Chen, George S. & Zhang, Lin & Salim, Ruhul & Huo, Jiaying, 2022. "Estimating the long-run crude oil demand function of China: Some new evidence and policy options," Energy Policy, Elsevier, vol. 170(C).
    2. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "A banklevel analysis of interest rate passthrough in South Africa," Working Papers 11027, South African Reserve Bank.
    3. Kleanthis Natsiopoulos & Nickolaos G. Tzeremes, 2022. "ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) results for the UK earnings equation using R," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1079-1090, August.
    4. Nishkar Kumar, Nikeel & Patel, Arvind, 2024. "A test of the tourism Dutch disease hypothesis in developing countries," Journal of Air Transport Management, Elsevier, vol. 116(C).
    5. Thomas H.W. ZIESEMER, 2024. "Estimation Of A Production Function Of Brazil With Domestic And Foreign Capital Stock, 1991-2017," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 24(2), pages 103-128.
    6. Joseph Chukwudi Odionye & Ndukwe O. Dibia & Ndubuisi Eme Uguru & Ndubuisi Agoh & Veronica Adaku Ihezukwu & Emeka Atuma & Chima Keneth Ifeanyi, 2025. "Evaluating The Heterogeneous Role Of Institutional Quality In Mitigating The Adverse Effects Of Capital Flight On Nigeria’S Economic Growth: Fresh Insights From A Quantile Nonlinear Ardl Framework," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 70(244), pages 143-171, January –.
    7. Achua, Joseph Kwaghkor & Yusuf, Mariam & Wakdok, Samuel Stephen, 2022. "Nonlinear public debt and resource rent nexus in highly indebted resource-rich sub-Saharan economies: Evidence from Nigeria," Resources Policy, Elsevier, vol. 79(C).
    8. Stewart, Chris, 2023. "The autoregressive distributed lag bounds test generalised to consider a long-run levels relationship when all levels variables are 𝑰(𝟎)," Economics Discussion Papers 2023-2, School of Economics, Kingston University London.
    9. Felix Chan & Les Oxley, 2023. "A pulse check on recent developments in time series econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 3-6, February.
    10. Shawkat Hammoudeh & Walid Mensi & Jin Seo Cho, 2022. "Spillovers between exchange rate pressure and CDS bid-ask spreads, reserve assets and oil prices using the quantile ARDL model," International Economics, CEPII research center, issue 170, pages 66-78.
    11. Robert Ugochukwu Onyeneke & Emeka Emmanuel Osuji & Ifeoma Quinette Anugwa & Nneka Maris Chidiebere-Mark, 2024. "Impacts of biocapacity, climate change, food vulnerability, readiness and adaptive capacity on cereal crops yield: evidence from Africa," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(5), pages 11979-12003, May.
    12. Ahmed, Khalid & Khan, Bareerah, 2024. "China's post-pandemic energy rebound and climate targets under the current regulations and green innovation capacity," Energy, Elsevier, vol. 302(C).
    13. Bertsatos, Georgios & Tsounis, Nicholas & Agiomirgianakis, George, 2024. "Handling asymmetries in the trade balance," Research in Economics, Elsevier, vol. 78(1), pages 1-13.
    14. Javed IQBAL, 2024. "Asymmetric Effects Of Local And Global Business Cycle Variations On The Sectoral Industrial Production In Singapore," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 19(1), pages 75-96, April.
    15. Muhammad Tahir Suleman & Mosab I. Tabash & Umaid A. Sheikh, 2024. "Do stock market fluctuations lead to currency deflation in the South Asian region? Evidence beyond symmetry," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1432-1450, April.
    16. Arturo J. Galindo & Roberto Steiner, 2020. "Asymmetric Interest Rate Transmission in an Inflation Targeting Framework: The Case of Colombia," Borradores de Economia 1138, Banco de la Republica de Colombia.
    17. Narasingha Das & Partha Gangopadhyay, 2023. "Did weekly economic index and volatility index impact US food sales during the first year of the pandemic?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    18. Brice, M'bakob Gilles, 2024. "Gender disparity and enterprise expansion in the impact and transmission channels of ICT on unemployment in developing countries," Technology in Society, Elsevier, vol. 77(C).
    19. Alexandra Horobet & Lucian Belascu & Magdalena Radulescu & Daniel Balsalobre-Lorente & Cosmin-Alin Botoroga & Cristina-Carmencita Negreanu, 2024. "Exploring the Nexus between Greenhouse Emissions, Environmental Degradation and Green Energy in Europe: A Critique of the Environmental Kuznets Curve," Energies, MDPI, vol. 17(20), pages 1-29, October.
    20. Bosupeng, Mpho & Naranpanawa, Athula & Su, Jen-Je, 2024. "Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach," Economic Modelling, Elsevier, vol. 130(C).
    21. Dionysios Kyriakopoulos & John Yfantopoulos & Theodoros V. Stamatopoulos, 2025. "Sustainability of Public Social Spending: Asymmetric Effects and Financialization," Sustainability, MDPI, vol. 17(7), pages 1-27, March.

  4. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2019. "Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves," Working papers 2019rwp-153, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Thierry Magnac & Sébastien Roux, 2021. "Heterogeneity and wage inequalities over the life cycle," Post-Print hal-04532017, HAL.

  5. Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2019. "Two-Step Estimation of the Nonlinear Autoregressive Distributed Lag Model," Working papers 2019rwp-154, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Kashif Islam & Ahmad Raza Bilal & Zeeshan Saeed & Samina Sardar & Muhammad Husnain Kamboh, 2023. "Impact of government integrity and corruption on sustainable stock market development: linear and nonlinear evidence from Pakistan," Economic Change and Restructuring, Springer, vol. 56(4), pages 2529-2556, August.
    2. Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2021. "Recent Developments of the Autoregressive Distributed Lag Modelling Framework," Working papers 2021rwp-186, Yonsei University, Yonsei Economics Research Institute.
    3. Núñez, Héctor M. & Otero, Jesús & Trujillo-Barrera, Andrés, 2023. "Wholesale price rigidities and exchange rate pass-through: Evidence from daily data of agricultural products," International Economics, Elsevier, vol. 176(C).

  6. Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019. "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers 2019-17, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2021. "Recent Developments of the Autoregressive Distributed Lag Modelling Framework," Working papers 2021rwp-186, Yonsei University, Yonsei Economics Research Institute.

  7. Jin Seo Cho & Halbert White, 2017. "Supplements to "Directionally Differentiable Econometric Models"," Working papers 2017rwp-103a, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
    2. Michael Jansson & Demian Pouzo, 2019. "Towards a general large sample theory for regularized estimators," CeMMAP working papers CWP63/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

  8. Jin Seo Cho & Halbert White, 2017. "Directionally Differentiable Econometric Models," Working papers 2017rwp-103, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Michael Jansson & Demian Pouzo, 2019. "Towards a general large sample theory for regularized estimators," CeMMAP working papers CWP63/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Firpo, Sergio & Galvao, Antonio F. & Parker, Thomas, 2023. "Uniform inference for value functions," Journal of Econometrics, Elsevier, vol. 235(2), pages 1680-1699.
    3. Jin Seo Cho & Halbert White, 2017. "Supplements to "Directionally Differentiable Econometric Models"," Working papers 2017rwp-103a, Yonsei University, Yonsei Economics Research Institute.
    4. Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019. "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers 2019-17, Department of Economics and Business Economics, Aarhus University.
    5. David Kang & Seojeong Lee, 2025. "Misspecification-Robust Asymptotic and Bootstrap Inference for Nonsmooth GMM," Working Papers 423284005, Lancaster University Management School, Economics Department.
    6. Sergio Firpo & Antonio F. Galvao & Martyna Kobus & Thomas Parker & Pedro Rosa-Dias, 2020. "Loss aversion and the welfare ranking of policy interventions," Papers 2004.08468, arXiv.org, revised Sep 2023.

  9. Jin Seo Cho & Peter C.B. Phillips, 2016. "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices," Working papers 2016rwp-89, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb, 2023. "Testing for the appropriate level of clustering in linear regression models," Papers 2301.04522, arXiv.org, revised Mar 2023.
    2. Jin Seo Cho & Peter C.B. Phillips, 2016. "Online Supplement to "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices"," Working papers 2016rwp-89a, Yonsei University, Yonsei Economics Research Institute.
    3. Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner, 2019. "Consequences of Model Misspecification for Maximum Likelihood Estimation with Missing Data," Econometrics, MDPI, vol. 7(3), pages 1-27, September.
    4. Lijuan Huo & Jin Seo Cho, 2019. "Testing for the Sandwich-Form Covariance Matrix Applied to Quasi-Maximum Likelihood Estimation Using Economic and Energy Price Growth Rates," Working papers 2019rwp-152, Yonsei University, Yonsei Economics Research Institute.
    5. Sin, C.Y. (Chor-yiu) & Lee, Cheng-Few, 2021. "Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression," Econometrics and Statistics, Elsevier, vol. 18(C), pages 117-142.
    6. Linton, O. & Tang, H., 2020. "Estimation of the Kronecker Covariance Model by Quadratic Form," Cambridge Working Papers in Economics 2050, Faculty of Economics, University of Cambridge.

  10. Jin Seo Cho & Myung-Ho Park & Peter C.B. Phillips, 2016. "Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea," Working papers 2016rwp-88, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2022. "Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 391-456, February.
    2. Jin Seo Cho & Peter C. B. Phillips, 2024. "GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement," Cowles Foundation Discussion Papers 2411, Cowles Foundation for Research in Economics, Yale University.
    3. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2019. "Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves," Working papers 2019rwp-153, Yonsei University, Yonsei Economics Research Institute.
    4. Jin Seo Cho & Myung-Ho Park & Peter C.B. Phillips, 2016. "Supplement to ¡°Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea¡±," Working papers 2016rwp-88a, Yonsei University, Yonsei Economics Research Institute.

  11. Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips, 2016. "Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors," Cowles Foundation Discussion Papers 2060, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Peter C.B. Phillips & Zhentao Shi, 2019. "Boosting: Why you Can Use the HP Filter," Cowles Foundation Discussion Papers 2212, Cowles Foundation for Research in Economics, Yale University.
    2. Zheng Fang & Juwon Seo, 2019. "A Projection Framework for Testing Shape Restrictions That Form Convex Cones," Papers 1910.07689, arXiv.org, revised Sep 2021.
    3. Mohitosh Kejriwal & Xiaoxiao Li & Evan Totty, 2020. "Multidimensional skills and the returns to schooling: Evidence from an interactive fixed‐effects approach and a linked survey‐administrative data set," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 548-566, August.
    4. Mohitosh Kejriwal & Xiaoxiao Li & Evan Totty, 2019. "Multidemsional Skills and Returns to Schooling: Evidence from an Interactive Fixed Effects Aproach and a Linked Survey-Administrative Dataset," Purdue University Economics Working Papers 1316, Purdue University, Department of Economics.
    5. Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2021. "Recent Developments of the Autoregressive Distributed Lag Modelling Framework," Working papers 2021rwp-186, Yonsei University, Yonsei Economics Research Institute.
    6. Yicong Lin & Hanno Reuvers, 2022. "Cointegrating Polynomial Regressions With Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?," Tinbergen Institute Discussion Papers 22-092/III, Tinbergen Institute.
    7. Jaedo Choi & Jin Seo Cho & Hyungsik Roger Moon, 2020. "Sequentially Estimating the Structural Equation by Power Transformation," Working papers 2020rwp-162, Yonsei University, Yonsei Economics Research Institute.
    8. Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019. "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers 2019-17, Department of Economics and Business Economics, Aarhus University.
    9. Zhishui Hu & Peter C.B. Phillips & Qiying Wang, 2019. "Nonlinear Cointegrating Power Function Regression with Endogeneity," Cowles Foundation Discussion Papers 2211, Cowles Foundation for Research in Economics, Yale University.
    10. Jin Seo Cho & Jin Seok Park & Sang Woo Park, 2018. "Testing for the Conditional Geometric Mixture Distribution," Working papers 2018rwp-123, Yonsei University, Yonsei Economics Research Institute.

  12. YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS, 2015. "We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors"," Working papers 2015rwp-79a, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015. "Testing linearity using power transforms of regressors," Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.

  13. Jin Seo Cho & Tae-Hwan Kim & Yongcheol Shin, 2014. "Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework," Working papers 2014rwp-69, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Najia Saqib & Ivan A. Duran & Ilhan Ozturk, 2023. "Unraveling the Interrelationship of Digitalization, Renewable Energy, and Ecological Footprints within the EKC Framework: Empirical Insights from the United States," Sustainability, MDPI, vol. 15(13), pages 1-21, July.
    2. Song, Lina & Li, Wenting & Yang, Yandi & Gao, Hongyu & Du, Xinqiang & Jia, Xinlin, 2024. "Understanding the impact of Fintech, and Mineral Resources on Artificial Intelligence currency: A global evidence from QARDL Approach," Resources Policy, Elsevier, vol. 95(C).
    3. Lei Wang & Sana Ullah & Muhammad Tayyab Sohail, 2024. "Exchange rate volatility and green growth in China: does nonlinearity matter?," Economic Change and Restructuring, Springer, vol. 57(6), pages 1-26, December.
    4. Andre M. Marques & Gilberto Tadeu Lima, 2021. "Testing for Granger Causality in Quantiles Between the Wage Share and Capacity Utilization," Working Papers, Department of Economics 2021_03, University of São Paulo (FEA-USP).
    5. Sephton, Peter, 2023. "Threshold cointegration and asymmetries between dividends and earnings news," Finance Research Letters, Elsevier, vol. 58(PB).
    6. Lijuan Huo & Tae-Hwan Kim & Yunmi Kim & Dong Jin Lee, 2014. "Testing for Autocorrelation in Quantile Regression Models," Working papers 2014rwp-76, Yonsei University, Yonsei Economics Research Institute.
    7. Magdalena Radulescu & Mihaela Simionescu & Mustafa Tevfik Kartal & Kamel Si Mohammed & Daniel Balsalobre-Lorente, 2025. "The Impact of Human Capital, Natural Resources, and Renewable Energy on Achieving Sustainable Cities and Communities in European Union Countries," Sustainability, MDPI, vol. 17(5), pages 1-22, March.
    8. Du, He & Zhang, Chunguang, 2024. "Economic policy uncertainty and natural resources commodity prices: A comparative analysis of pre- and post-pandemic quantile trends in China," Resources Policy, Elsevier, vol. 88(C).
    9. Guo, Yawei & Li, Jianping & Li, Yehua & You, Wanhai, 2021. "The roles of political risk and crude oil in stock market based on quantile cointegration approach: A comparative study in China and US," Energy Economics, Elsevier, vol. 97(C).
    10. Hao-Lin Shao & Ying-Hui Shao & Yan-Hong Yang, 2021. "New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach," Papers 2110.02693, arXiv.org.
    11. Georgios Bertsatos & Plutarchos Sakellaris & Mike G. Tsionas, 2022. "Extensions of the Pesaran, Shin and Smith (2001) bounds testing procedure," Empirical Economics, Springer, vol. 62(2), pages 605-634, February.
    12. Benkraiem, Ramzi & Lahiani, Amine & Miloudi, Anthony & Shahbaz, Muhammad, 2018. "New insights into the US stock market reactions to energy price shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 169-187.
    13. Hassan, Syed Tauseef & Danish, & Gong, Bengang, 2025. "China's blueprint for a sustainable energy future: Analyzing the factors behind the climate change and globalized knowledge-based technological policies," Energy, Elsevier, vol. 316(C).
    14. Arshian Sharif & Usman Mehmood & Sunil Tiwari, 2024. "A step towards sustainable development: role of green energy and environmental innovation," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(4), pages 9603-9624, April.
    15. Chen, Fu & Wang, Liyun & Gu, Qiaojing & Wang, Mingyue & Ding, Xuanwen, 2022. "Nexus between natural resources, financial development, green innovation and environmental sustainability in China: Fresh insight from novel quantile ARDL," Resources Policy, Elsevier, vol. 79(C).
    16. Sharif, Arshian & Baris-Tuzemen, Ozge & Uzuner, Gizem & Ozturk, Ilhan & Sinha, Avik, 2020. "Revisiting the role of renewable and non-renewable energy consumption on Turkey’s ecological footprint: Evidence from Quantile ARDL approach," MPRA Paper 100044, University Library of Munich, Germany.
    17. Mihaela Simionescu, 2025. "The Impact of Energy Efficiency Technologies, Political Stability and Environmental Taxes on Biocapacity in the USA," Energies, MDPI, vol. 18(9), pages 1-21, April.
    18. Ren, Xiaohang & An, Yaning & Jin, Chenglu, 2023. "The asymmetric effect of geopolitical risk on China's crude oil prices: New evidence from a QARDL approach," Finance Research Letters, Elsevier, vol. 53(C).
    19. Hashmi, Shabir Mohsin & Chang, Bisharat Hussain & Huang, Liangfang & Uche, Emmanuel, 2022. "Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model," Resources Policy, Elsevier, vol. 75(C).
    20. Md. Qamruzzaman & Salma Karim, 2020. "ICT Investment Impact on Human Capital Development through the Channel of Financial Development in Bangladesh: An Investigation of Quantile ARDL and Toda-Yamamoto Test," Academic Journal of Interdisciplinary Studies, Richtmann Publishing Ltd, vol. 9, September.
    21. Godil, Danish Iqbal & Sarwat, Salman & Sharif, Arshian & Jermsittiparsert, Kittisak, 2020. "How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique," Resources Policy, Elsevier, vol. 66(C).
    22. M. Tamilselvan & Srinivasan Palamalai & Magesh Kumar & Bipasha Maity & Nidhi Agrawal, 2022. "Electricity Demand and CO Emissions during the COVID-19 Pandemic: The Case of India," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 161-169, May.
    23. Usman Mehmood & Salman Tariq & Zia Ul Haq & Muhammad Umar Aslam & Ali Imran, 2023. "How Economic Growth Contributes to CO 2 Emissions in the Presence of Globalization and Eco-Innovations in South Asian Countries?," World, MDPI, vol. 4(1), pages 1-12, March.
    24. Xin Jing & Jin Seo Cho, 2025. "Forecasting the Confirmed COVID‐19 Cases Using Modal Regression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(4), pages 1578-1601, July.
    25. Solarin, Sakiru Adebola & Bello, Mufutau Opeyemi, 2020. "The impact of shale gas development on the U.S economy: Evidence from a quantile autoregressive distributed lag model," Energy, Elsevier, vol. 205(C).
    26. Nuno Silva & José Alberto Fuinhas & Matheus Koengkan & Emad Kazemzadeh & Volkan Kaymaz, 2024. "Renewable energy deployment in Europe: Do politics matter?," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(11), pages 28751-28784, November.
    27. Christis Katsouris, 2023. "Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," Papers 2302.05193, arXiv.org.
    28. Silva Opuala-Charles & Philip Chimobi Omoke & Emmanuel Uche, 2023. "The Dynamic Role of Financial Development in Analyzing the N-Shaped Tourism-Led Growth Hypothesis in Mauritius," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 14(4), pages 4903-4928, December.
    29. Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2023. "The Asymmetric Response of Dividends to Earnings News," Working papers 2023rwp-210, Yonsei University, Yonsei Economics Research Institute.
    30. Tae-Hwan Kim & Dong Jin Lee & Paul Mizen, 2020. "Impulse Response Analysis in Conditional Quantile Models and an Application to Monetary Policy," Working papers 2020rwp-164, Yonsei University, Yonsei Economics Research Institute.
    31. Ahmed, Walid M.A., 2024. "Attention to climate change and eco-friendly financial-asset prices: A quantile ARDL approach," Energy Economics, Elsevier, vol. 136(C).
    32. Wang, Fanyi & Ma, Wanying & Mirza, Nawazish & Altuntaş, Mehmet, 2023. "Green financing, financial uncertainty, geopolitical risk, and oil prices volatility," Resources Policy, Elsevier, vol. 83(C).
    33. Yongqin Niu, 2024. "RETRACTED ARTICLE: Toward a greener energy transition: examining the effects of circular economy and carbon footprint for sustainable development," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-22, April.
    34. Appiah, Michael & Ashraf, Sania & Tiwari, Aviral Kumar & Gyamfi, Bright Akwasi & Onifade, Stephen Taiwo, 2023. "Does financialization enhance renewable energy development in Sub-Saharan African countries?," Energy Economics, Elsevier, vol. 125(C).
    35. Valérie Mignon & Jamel Saadaoui, 2023. "Asymmetries in the oil market: Accounting for the growing role of China through quantile regressions," Post-Print hal-04435770, HAL.
    36. Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018. "Do house prices hedge inflation in the US? A quantile cointegration approach," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 15-26.
    37. Umar, Muhammad & Ji, Xiangfeng & Safi, Adnan & Afshan, Sahar, 2024. "Decentralization, institutional quality, and carbon neutrality: Unraveling the nexus in China's pursuit of sustainable development," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 1238-1249.
    38. Jungho Baek, 2021. "The role of crude oil prices in the movement of the Indonesian rupiah: a quantile ARDL approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 975-994, November.
    39. Melike E. Bildirici & Rui Alexandre Castanho & Fazıl Kayıkçı & Sema Yılmaz Genç, 2022. "ICT, Energy Intensity, and CO 2 Emission Nexus," Energies, MDPI, vol. 15(13), pages 1-15, June.
    40. Jiang, Hu & Yang, Yihan & Wang, Yiwen & Chandni, Kehkashan & Wang, Mengzhen, 2024. "Shades of sustainability: Decoding the influence of fintech, natural resources and green ICT on CO2 emissions and green growth in China," Resources Policy, Elsevier, vol. 97(C).
    41. Yu, Siming & Wan, Kang & Cai, Cheng & Xu, Lingli & Zhao, Tuanjie, 2023. "Resource curse and green growth in China: Role of energy transitions under COP26 declarations," Resources Policy, Elsevier, vol. 85(PA).
    42. Jin, Cheng & Razzaq, Asif & Saleem, Faiza & Sinha, Avik, 2021. "Asymmetric effects of Eco-innovation and Human Capital development in realizing Environmental Sustainability in China: Evidence from Quantile ARDL framework," MPRA Paper 111922, University Library of Munich, Germany, revised 2021.
    43. José Alves & Clarisse Wagner, 2024. "Leveraging interest-growth differentials: Hidden effects of government financial assets in the European Union," Working Papers REM 2024/0307, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    44. Isik, Sayim & Mert, Mehmet & Ulug, Mehmet, 2025. "Profit produced by post-pandemic inflation: Evidence from an emerging economy," Structural Change and Economic Dynamics, Elsevier, vol. 72(C), pages 233-244.
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    155. Altaf, Asma & Anwar, Muhammad Awais & Shahzad, U. & Bilan, Yuriy, 2025. "Exploring the nexus among green finance, renewable energy and environmental sustainability: Evidence from OECD economies," Renewable Energy, Elsevier, vol. 244(C).
    156. Chen, Liang & Ma, Rui & Li, Jing & Zhou, Fengjiao, 2024. "Revolutionizing sustainable economic growth in China: Harnessing natural resources, green development, and fintech for a greener future," Resources Policy, Elsevier, vol. 92(C).
    157. Emmanuel Uche & Lionel Effiom, 2021. "Fighting capital flight in Nigeria: have we considered global uncertainties and exchange rate volatilities? Fresh insights via quantile ARDL model," SN Business & Economics, Springer, vol. 1(6), pages 1-22, June.
    158. Luqman, Muhammad & Mugheri, Adil & Ahmad, Najid & Soytas, Ugur, 2023. "Casting shadows on natural resource commodity markets: Unraveling the quantile dilemma of gold and crude oil prices," Resources Policy, Elsevier, vol. 86(PA).
    159. Fengsheng Chien & YunQian Zhang & Arshian Sharif & Muhammad Sadiq & Minh Vu Hieu, 2023. "Does air pollution affect the tourism industry in the USA? Evidence from the quantile autoregressive distributed lagged approach," Tourism Economics, , vol. 29(5), pages 1164-1180, August.
    160. Xiaoqing Wang & Wenxin Jin & Baochang Xu & Kaihua Wang, 2025. "Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(4), pages 308-325, April.
    161. Nawaz, Kishwar & Lahiani, Amine & Roubaud, David, 2023. "Do natural resources determine energy consumption in Pakistan? The importance of quantile asymmetries," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 200-211.
    162. Umer Zaman & Joshua Chukwuma Onwe & Pabitra Kumar Jena & Ogochukwu C. Anyanwu & Joy Eleojo Ebeh & Obonetse Fulu, 2023. "Unraveling the intricate relationship between unemployment, population, and poverty in Sub‐Saharan Africa: Does quality of life matter?," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(5), pages 3930-3945, October.
    163. Priya, Pragati & Pal, Debdatta, 2024. "Does crude oil price volatility respond asymmetrically to financial shocks?," Resources Policy, Elsevier, vol. 92(C).
    164. Nur Dwiana Sari Saudi & Indraswati Tri Abdi Reviane & Abdul Hamid Paddu & Grisvia Agustin & Fitriwati Djam'an & Sabbar Dahham Sabbar, 2024. "Carbon Neutrality and Sustainable Development: An Empirical Study of Indonesia’s Renewable Energy Adoption," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 526-537, July.
    165. Apergis, Nicholas & Hayat, Tasawar & Saeed, Tareq, 2021. "US partisan conflict uncertainty and oil prices," Energy Policy, Elsevier, vol. 150(C).
    166. Rashid Latief & Sohail Ahmad Javeed & Sumaira Ashraf, 2025. "The pathway to sustainable development: The roles of financial development, technological innovation, and educational development in energy poverty alleviation," Sustainable Development, John Wiley & Sons, Ltd., vol. 33(2), pages 2759-2779, April.
    167. Huthaifa Alqaralleh & Ahmad Alsarayreh & Ahmad Alsaraireh, 2025. "The Asymmetric Relationship Between Tourism and Economic Growth: A Panel Quantile ARDL Analysis," Economies, MDPI, vol. 13(4), pages 1-21, April.
    168. Pang, Deliang & Li, Kuangzhe & Wang, Gang & Ajaz, Tahseen, 2022. "The asymmetric effect of green investment, natural resources, and growth on financial inclusion in China," Resources Policy, Elsevier, vol. 78(C).
    169. Huthaifa Sameeh Alqaralleh, 2024. "From volatility to stability: understanding the role of macroeconomic factors in sovereign CDS spreads," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 665-707, September.
    170. Li, Yabo & Teng, Rui & Iqbal, Mubasher, 2023. "Natural resources rent and climate vulnerability: An inverted U-shaped relationship moderated by productive capacity, trade openness, and urbanization in resource-abundant countries," Resources Policy, Elsevier, vol. 86(PB).
    171. Zhu, Huiming & Peng, Cheng & You, Wanhai, 2016. "Quantile behaviour of cointegration between silver and gold prices," Finance Research Letters, Elsevier, vol. 19(C), pages 119-125.
    172. Pan, Changchun & Yu, Jingxia & Huang, Yuzhe & Altuntas, Sumeyya, 2023. "The dynamic relationship between resources, finances, and sustainable development: An in-depth analysis," Resources Policy, Elsevier, vol. 86(PB).
    173. Nikolaos A. Kyriazis, 2020. "Is Bitcoin Similar to Gold? An Integrated Overview of Empirical Findings," JRFM, MDPI, vol. 13(5), pages 1-19, May.
    174. Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Hkiri, Besma & Hamed Al Yahyaee, Khamis, 2019. "Long-run relationships between US financial credit markets and risk factors: Evidence from the quantile ARDL approach," Finance Research Letters, Elsevier, vol. 29(C), pages 101-110.
    175. Chien, Fengsheng & Ajaz, Tahseen & Andlib, Zubaria & Chau, Ka Yin & Ahmad, Paiman & Sharif, Arshian, 2021. "The role of technology innovation, renewable energy and globalization in reducing environmental degradation in Pakistan: A step towards sustainable environment," Renewable Energy, Elsevier, vol. 177(C), pages 308-317.
    176. Zaighum, Isma & Aman, Ameenullah & Sharif, Arshian & Suleman, Muhammad Tahir, 2021. "Do energy prices interact with global Islamic stocks? Fresh insights from quantile ARDL approach," Resources Policy, Elsevier, vol. 72(C).
    177. Lijuan Huo & Jin Seo Cho, 2021. "Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(2), pages 293-317, June.
    178. FengSheng Chien & Ching-Chi Hsu & Massoud Moslehpour & Muhammad Sadiq & Bushra Tufail & Thanh Quang Ngo, 2024. "A step toward sustainable development: the nexus of environmental sustainability, technological advancement and green finance: evidence from Indonesia," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(5), pages 11581-11602, May.
    179. Kais Tissaoui & Taha Zaghdoudi & Sahbi Boubaker & Besma Hkiri & Mariem Talbi, 2024. "Testing the Nonlinear Long- and Short-Run Distributional Asymmetries Effects of Bitcoin Prices on Bitcoin Energy Consumption: New Insights through the QNARDL Model and XGBoost Machine-Learning Tool," Energies, MDPI, vol. 17(12), pages 1-19, June.
    180. Luqman, Muhammad, 2024. "Transition towards natural resource rents and green technology to achieve China's COP26 success: A novel insights in the case of trade openness and environmental pollution," Resources Policy, Elsevier, vol. 92(C).
    181. Jato, Terungwa Paul Joseph & Nwankwo, Nneka, 2024. "Crowding-out Effect of Public Debt on Private Sector Credit in Nigeria," African Journal of Economic Review, African Journal of Economic Review, vol. 12(3), September.
    182. Oluwatoyin Abidemi Somoye & Muhammad Mar'I & Gbolahan Olowu, 2025. "Does carbon dioxide emission influence food security in the United States amidst economic expansion, population growth, and inflation? A QARDL and Wavelet Coherence analysis," Natural Resources Forum, Blackwell Publishing, vol. 49(1), pages 824-840, February.
    183. Chang, Lei & Taghizadeh-Hesary, Farhad & Chen, Huangen & Mohsin, Muhammad, 2022. "Do green bonds have environmental benefits?," Energy Economics, Elsevier, vol. 115(C).
    184. Feng, Shanshan & Li, Jianfeng & Nawi, Hafizah Mat & Alhamdi, Fuad Mohammed & Shamansurova, Zilola, 2024. "Assessing the nexus between fintech, natural resources, government effectiveness, and environmental pollution in China: A QARDL study," Resources Policy, Elsevier, vol. 88(C).
    185. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
    186. Hebin Shen & Syed Ahtsham Ali & Majed Alharthi & Ali Shan Shah & Abdul Basit Khan & Qaiser Abbas & Saeed ur Rahman, 2021. "Carbon-Free Energy and Sustainable Environment: The Role of Human Capital and Technological Revolutions in Attaining SDGs," Sustainability, MDPI, vol. 13(5), pages 1-17, March.
    187. Sheikh, Umaid A. & Asadi, Mehrad & Roubaud, David & Hammoudeh, Shawkat, 2024. "Global uncertainties and Australian financial markets: Quantile time-frequency connectedness," International Review of Financial Analysis, Elsevier, vol. 92(C).
    188. Andrew Phiri & Simba Mhaka & Lovemore Taonezvi, 2024. "Too poor to be clean? A quantile ARDL assessment of the environmental Kuznets curve in SADC countries," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(11), pages 27301-27323, November.

  14. Jin Seo Cho & Halbert White, 2014. "Notations in "Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing" by Cho and White (2014)," Working papers 2014rwp-67a, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Jin Seo Cho & Peter C.B. Phillips, 2016. "Online Supplement to "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices"," Working papers 2016rwp-89a, Yonsei University, Yonsei Economics Research Institute.
    2. Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner, 2019. "Consequences of Model Misspecification for Maximum Likelihood Estimation with Missing Data," Econometrics, MDPI, vol. 7(3), pages 1-27, September.
    3. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2022. "Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 391-456, February.
    4. Cho, Jin Seo & Phillips, Peter C.B., 2018. "Pythagorean generalization of testing the equality of two symmetric positive definite matrices," Journal of Econometrics, Elsevier, vol. 202(1), pages 45-56.
    5. Perera, Indeewara & Silvapulle, Mervyn J., 2023. "Bootstrap specification tests for dynamic conditional distribution models," Journal of Econometrics, Elsevier, vol. 235(2), pages 949-971.
    6. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015. "An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability," Cambridge Working Papers in Economics 1552, Faculty of Economics, University of Cambridge.
    7. Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner, 2016. "Generalized Information Matrix Tests for Detecting Model Misspecification," Econometrics, MDPI, vol. 4(4), pages 1-24, November.
    8. Jin Seo Cho & Peter C.B. Phillips, "undated". "Testing Equality of Covariance Matrices via Pythagorean Means," Cowles Foundation Discussion Papers 1970, Cowles Foundation for Research in Economics, Yale University.
    9. Lijuan Huo & Jin Seo Cho, 2021. "Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(2), pages 293-317, June.

  15. Jin Seo Cho & Halbert White, 2014. "Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing," Working papers 2014rwp-67, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Jin Seo Cho & Peter C.B. Phillips, 2016. "Online Supplement to "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices"," Working papers 2016rwp-89a, Yonsei University, Yonsei Economics Research Institute.
    2. Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner, 2019. "Consequences of Model Misspecification for Maximum Likelihood Estimation with Missing Data," Econometrics, MDPI, vol. 7(3), pages 1-27, September.
    3. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2022. "Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 391-456, February.
    4. Cho, Jin Seo & Phillips, Peter C.B., 2018. "Pythagorean generalization of testing the equality of two symmetric positive definite matrices," Journal of Econometrics, Elsevier, vol. 202(1), pages 45-56.
    5. Perera, Indeewara & Silvapulle, Mervyn J., 2023. "Bootstrap specification tests for dynamic conditional distribution models," Journal of Econometrics, Elsevier, vol. 235(2), pages 949-971.
    6. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015. "An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability," Cambridge Working Papers in Economics 1552, Faculty of Economics, University of Cambridge.
    7. Richard M. Golden & Steven S. Henley & Halbert White & T. Michael Kashner, 2016. "Generalized Information Matrix Tests for Detecting Model Misspecification," Econometrics, MDPI, vol. 4(4), pages 1-24, November.
    8. Jin Seo Cho & Peter C.B. Phillips, "undated". "Testing Equality of Covariance Matrices via Pythagorean Means," Cowles Foundation Discussion Papers 1970, Cowles Foundation for Research in Economics, Yale University.
    9. Lijuan Huo & Jin Seo Cho, 2021. "Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(2), pages 293-317, June.

  16. Jin Seo Cho & Isao Ishida & Halbert White, 2013. "Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions (published in: Essays in Nonlinear Time Series Econometrics, Festschrift in Honor of Timo Teras," Working papers 2013rwp-55, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Jin Seo Cho & Peter C. B. Phillips, 2018. "Sequentially testing polynomial model hypotheses using power transforms of regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 141-159, January.
    2. Yae Ji Jun & Jin Seo Cho, 2015. "Analyzing the Interrelationship of the Statistics for Testing Neglected Nonlinearity under the Null of Linearity," Working papers 2015rwp-78, Yonsei University, Yonsei Economics Research Institute.
    3. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
    4. Jin Seo Cho & Halbert White, 2017. "Supplements to "Directionally Differentiable Econometric Models"," Working papers 2017rwp-103a, Yonsei University, Yonsei Economics Research Institute.
    5. Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019. "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers 2019-17, Department of Economics and Business Economics, Aarhus University.
    6. Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015. "Testing linearity using power transforms of regressors," Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
    7. Jin Seo Cho & Jin Seok Park & Sang Woo Park, 2018. "Testing for the Conditional Geometric Mixture Distribution," Working papers 2018rwp-123, Yonsei University, Yonsei Economics Research Institute.
    8. Kyu Lee Shin & Jin Seo Cho, 2013. "Testing for Neglected Nonlinearity Using Extreme Learning Machines (published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 21, Suppl. 2 (2013), 117--129.)," Working papers 2013rwp-57, Yonsei University, Yonsei Economics Research Institute.

  17. Jin Seo Cho & Isao Ishida & Halbert White, 2013. "Mathematical Proofs for "Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions"," Working papers 2013rwp-55a, Yonsei University, Yonsei Economics Research Institute.

    Cited by:

    1. Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015. "Testing linearity using power transforms of regressors," Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
    2. Kyu Lee Shin & Jin Seo Cho, 2013. "Testing for Neglected Nonlinearity Using Extreme Learning Machines (published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 21, Suppl. 2 (2013), 117--129.)," Working papers 2013rwp-57, Yonsei University, Yonsei Economics Research Institute.

  18. Yae In Baek & Jin Seo Cho & Peter C.B. Phillips, 2013. "Testing Linearity Using Power Transforms of Regressors," Cowles Foundation Discussion Papers 1917, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Degui Li & Peter C.B. Phillips & Jiti Gao, 2017. "Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression," Cowles Foundation Discussion Papers 2109, Cowles Foundation for Research in Economics, Yale University.
    2. Jin Seo Cho & Peter C. B. Phillips, 2018. "Sequentially testing polynomial model hypotheses using power transforms of regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 141-159, January.
    3. Lijuan Huo & Jin Seo Cho, 2020. "Sequentially Estimating Approximate Conditional Mean Using the Extreme Learning Machine," Working papers 2020rwp-180, Yonsei University, Yonsei Economics Research Institute.
    4. Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2018. "The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016," CREATES Research Papers 2018-15, Department of Economics and Business Economics, Aarhus University.
    5. Peter C.B. Phillips & Zhentao Shi, 2019. "Boosting: Why you Can Use the HP Filter," Cowles Foundation Discussion Papers 2212, Cowles Foundation for Research in Economics, Yale University.
    6. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2022. "Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 391-456, February.
    7. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
    8. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2019. "Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves," Working papers 2019rwp-153, Yonsei University, Yonsei Economics Research Institute.
    9. Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2021. "Recent Developments of the Autoregressive Distributed Lag Modelling Framework," Working papers 2021rwp-186, Yonsei University, Yonsei Economics Research Institute.
    10. Yicong Lin & Hanno Reuvers, 2022. "Cointegrating Polynomial Regressions With Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?," Tinbergen Institute Discussion Papers 22-092/III, Tinbergen Institute.
    11. Cho, Jin Seo & Phillips, Peter C.B., 2018. "Pythagorean generalization of testing the equality of two symmetric positive definite matrices," Journal of Econometrics, Elsevier, vol. 202(1), pages 45-56.
    12. Jaedo Choi & Jin Seo Cho & Hyungsik Roger Moon, 2020. "Sequentially Estimating the Structural Equation by Power Transformation," Working papers 2020rwp-162, Yonsei University, Yonsei Economics Research Institute.
    13. Jin Seo Cho & Meng Huang & Halbert White, 2021. "Testing a Constant Mean Function Using Functional Regression," Working papers 2021rwp-190, Yonsei University, Yonsei Economics Research Institute.
    14. Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019. "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers 2019-17, Department of Economics and Business Economics, Aarhus University.
    15. Jianning Kong & Peter C.B. Phillips & Donggyu Sul, 2017. "Weak s- Convergence: Theory and Applications," Cowles Foundation Discussion Papers 2072, Cowles Foundation for Research in Economics, Yale University.
    16. Zhishui Hu & Peter C.B. Phillips & Qiying Wang, 2019. "Nonlinear Cointegrating Power Function Regression with Endogeneity," Cowles Foundation Discussion Papers 2211, Cowles Foundation for Research in Economics, Yale University.
    17. Jin Seo Cho & Jin Seok Park & Sang Woo Park, 2018. "Testing for the Conditional Geometric Mixture Distribution," Working papers 2018rwp-123, Yonsei University, Yonsei Economics Research Institute.
    18. Jaedo Choi & Yun Jeong Choi & Minki Kim, 2017. "Vertical Foreclosure with Product Choice and Allocation: Evidence from the Movie Industry," Working papers 2017rwp-107, Yonsei University, Yonsei Economics Research Institute.
    19. Peter C.B. Phillips & Zhentao Shi, 2019. "Boosting the Hodrick-Prescott Filter," Cowles Foundation Discussion Papers 2192, Cowles Foundation for Research in Economics, Yale University.

  19. Jin Seo Cho & Halbert White, 2009. "Generalized Runs Test for the IID Hypothesis," Discussion Paper Series 0913, Institute of Economic Research, Korea University.

    Cited by:

    1. Naveed Chehrazi & Thomas A. Weber, 2015. "Dynamic Valuation of Delinquent Credit-Card Accounts," Management Science, INFORMS, vol. 61(12), pages 3077-3096, December.
    2. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
    3. Lijuan Huo & Jin Seo Cho, 2019. "Testing for the Sandwich-Form Covariance Matrix Applied to Quasi-Maximum Likelihood Estimation Using Economic and Energy Price Growth Rates," Working papers 2019rwp-152, Yonsei University, Yonsei Economics Research Institute.
    4. Hiroaki Kaido & Yi Zhang, 2019. "Robust Likelihood Ratio Tests for Incomplete Economic Models," Papers 1910.04610, arXiv.org, revised Dec 2019.
    5. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2018. "A Residual Bootstrap for Conditional Value-at-Risk," Papers 1808.09125, arXiv.org, revised Aug 2023.
    6. Hentati-Kaffel, Rania & de Peretti, Philippe, 2015. "Generalized runs tests to detect randomness in hedge funds returns," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 608-615.
    7. Cho, Jin Seo & Phillips, Peter C.B., 2018. "Pythagorean generalization of testing the equality of two symmetric positive definite matrices," Journal of Econometrics, Elsevier, vol. 202(1), pages 45-56.
    8. Jin Seo Cho & Jin Seok Park & Sang Woo Park, 2018. "Testing for the Conditional Geometric Mixture Distribution," Working papers 2018rwp-123, Yonsei University, Yonsei Economics Research Institute.
    9. Lijuan Huo & Jin Seo Cho, 2021. "Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(2), pages 293-317, June.

  20. Jin Seo Cho & Halbert White, 2009. "Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models," Discussion Paper Series 0912, Institute of Economic Research, Korea University.

    Cited by:

    1. Jin Seo Cho & Peter C. B. Phillips, 2018. "Sequentially testing polynomial model hypotheses using power transforms of regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 141-159, January.
    2. Yae Ji Jun & Jin Seo Cho, 2015. "Analyzing the Interrelationship of the Statistics for Testing Neglected Nonlinearity under the Null of Linearity," Working papers 2015rwp-78, Yonsei University, Yonsei Economics Research Institute.
    3. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2022. "Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 391-456, February.
    4. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
    5. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2019. "Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves," Working papers 2019rwp-153, Yonsei University, Yonsei Economics Research Institute.
    6. Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2021. "Recent Developments of the Autoregressive Distributed Lag Modelling Framework," Working papers 2021rwp-186, Yonsei University, Yonsei Economics Research Institute.
    7. Byung-hill Jun & Hosin Song, 2019. "Tests for Detecting Probability Mass Points," Korean Economic Review, Korean Economic Association, vol. 35, pages 205-248.
    8. Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019. "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers 2019-17, Department of Economics and Business Economics, Aarhus University.
    9. Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015. "Testing linearity using power transforms of regressors," Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
    10. Jin Seo Cho & Jin Seok Park & Sang Woo Park, 2018. "Testing for the Conditional Geometric Mixture Distribution," Working papers 2018rwp-123, Yonsei University, Yonsei Economics Research Institute.
    11. Kyu Lee Shin & Jin Seo Cho, 2013. "Testing for Neglected Nonlinearity Using Extreme Learning Machines (published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 21, Suppl. 2 (2013), 117--129.)," Working papers 2013rwp-57, Yonsei University, Yonsei Economics Research Institute.
    12. Gómez-Déniz, E. & Pérez-Rodríguez, J.V., 2019. "Modelling bimodality of length of tourist stay," Annals of Tourism Research, Elsevier, vol. 75(C), pages 131-151.
    13. Jin Seo Cho & Halbert White, 2014. "Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing," Working papers 2014rwp-67, Yonsei University, Yonsei Economics Research Institute.

  21. Chirok Han & Jin Seo Cho & Peter C.B. Phillips, 2009. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Cowles Foundation Discussion Papers 1701, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Jin Seo Cho & Tae-Hwan Kim & Yongcheol Shin, 2014. "Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework," Working papers 2014rwp-69, Yonsei University, Yonsei Economics Research Institute.
    2. Byung-hill Jun & Hosin Song, 2019. "Tests for Detecting Probability Mass Points," Korean Economic Review, Korean Economic Association, vol. 35, pages 205-248.
    3. Jin Seo Cho & Chirok Han & Peter C.B. Phillips, 2009. "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities," Cowles Foundation Discussion Papers 1703, Cowles Foundation for Research in Economics, Yale University.

  22. Jin Seo Cho & Chirok Han & Peter C.B. Phillips, 2009. "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities," Cowles Foundation Discussion Papers 1703, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Jin Seo Cho & Tae-Hwan Kim & Yongcheol Shin, 2014. "Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework," Working papers 2014rwp-69, Yonsei University, Yonsei Economics Research Institute.

Articles

  1. Jin Seo Cho & Matthew Greenwood‐Nimmo & Yongcheol Shin, 2023. "Recent developments of the autoregressive distributed lag modelling framework," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 7-32, February.
    See citations under working paper version above.
  2. Cho, Jin Seo & Greenwood-Nimmo, Matthew & Shin, Yongcheol, 2023. "The asymmetric response of dividends to earnings news," Finance Research Letters, Elsevier, vol. 54(C).
    See citations under working paper version above.
  3. Shawkat Hammoudeh & Walid Mensi & Jin Seo Cho, 2022. "Spillovers between exchange rate pressure and CDS bid-ask spreads, reserve assets and oil prices using the quantile ARDL model," International Economics, CEPII research center, issue 170, pages 66-78.
    See citations under working paper version above.
  4. Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2022. "Comprehensively testing linearity hypothesis using the smooth transition autoregressive model," Econometric Reviews, Taylor & Francis Journals, vol. 41(8), pages 966-984, September.

    Cited by:

    1. Jin Seo Cho, 2024. "Estimating and Inferring the Nonlinear Autoregressive Distributed Lag Model by Ordinary Least Squares," Working papers 2024rwp-227, Yonsei University, Yonsei Economics Research Institute.
    2. Andrea Bucci, 2024. "A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models," Papers 2406.02152, arXiv.org.

  5. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2022. "Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 391-456, February.

    Cited by:

    1. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2023. "Functional Data Inference in a Parametric Quantile Model applied to Lifetime Income Curves," Working papers 2023rwp-211, Yonsei University, Yonsei Economics Research Institute.
    2. Peter C. B. Phillips & Liang Jiang, 2025. "Cross Section Curve Data Autoregression," Cowles Foundation Discussion Papers 2439, Cowles Foundation for Research in Economics, Yale University.

  6. Lijuan Huo & Jin Seo Cho, 2021. "Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(2), pages 293-317, June.

    Cited by:

    1. Perera, Indeewara & Silvapulle, Mervyn J., 2023. "Bootstrap specification tests for dynamic conditional distribution models," Journal of Econometrics, Elsevier, vol. 235(2), pages 949-971.
    2. Eric Beutner & Julia Schaumburg & Barend Spanjers, 2024. "Bootstrapping GARCH Models Under Dependent Innovations," Tinbergen Institute Discussion Papers 24-008/III, Tinbergen Institute.

  7. Cho, Jin Seo & Phillips, Peter C.B., 2018. "Pythagorean generalization of testing the equality of two symmetric positive definite matrices," Journal of Econometrics, Elsevier, vol. 202(1), pages 45-56.
    See citations under working paper version above.
  8. Jin Seo Cho & Peter C. B. Phillips, 2018. "Sequentially testing polynomial model hypotheses using power transforms of regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 141-159, January.
    See citations under working paper version above.
  9. Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips, 2018. "Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 523-537, July.
    See citations under working paper version above.
  10. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
    See citations under working paper version above.
  11. Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015. "Testing linearity using power transforms of regressors," Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
    See citations under working paper version above.
  12. Cho, Jin Seo & Kim, Tae-hwan & Shin, Yongcheol, 2015. "Quantile cointegration in the autoregressive distributed-lag modeling framework," Journal of Econometrics, Elsevier, vol. 188(1), pages 281-300.
    See citations under working paper version above.
  13. Cho, Jin Seo & Ishida, Isao, 2012. "Testing for the effects of omitted power transformations," Economics Letters, Elsevier, vol. 117(1), pages 287-290.

    Cited by:

    1. Jin Seo Cho & Peter C. B. Phillips, 2018. "Sequentially testing polynomial model hypotheses using power transforms of regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 141-159, January.
    2. Yae Ji Jun & Jin Seo Cho, 2015. "Analyzing the Interrelationship of the Statistics for Testing Neglected Nonlinearity under the Null of Linearity," Working papers 2015rwp-78, Yonsei University, Yonsei Economics Research Institute.
    3. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
    4. Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2021. "Recent Developments of the Autoregressive Distributed Lag Modelling Framework," Working papers 2021rwp-186, Yonsei University, Yonsei Economics Research Institute.
    5. Jaedo Choi & Jin Seo Cho & Hyungsik Roger Moon, 2020. "Sequentially Estimating the Structural Equation by Power Transformation," Working papers 2020rwp-162, Yonsei University, Yonsei Economics Research Institute.
    6. Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019. "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers 2019-17, Department of Economics and Business Economics, Aarhus University.
    7. Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015. "Testing linearity using power transforms of regressors," Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
    8. Marc Gaudry & Bernard Lapeyre & Emile Quinet, 2015. "Infrastructure maintenance, regeneration and service quality economics: A rail example," PSE Working Papers halshs-00559637, HAL.
    9. Jin Seo Cho & Jin Seok Park & Sang Woo Park, 2018. "Testing for the Conditional Geometric Mixture Distribution," Working papers 2018rwp-123, Yonsei University, Yonsei Economics Research Institute.
    10. Jaedo Choi & Yun Jeong Choi & Minki Kim, 2017. "Vertical Foreclosure with Product Choice and Allocation: Evidence from the Movie Industry," Working papers 2017rwp-107, Yonsei University, Yonsei Economics Research Institute.
    11. Kyu Lee Shin & Jin Seo Cho, 2013. "Testing for Neglected Nonlinearity Using Extreme Learning Machines (published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 21, Suppl. 2 (2013), 117--129.)," Working papers 2013rwp-57, Yonsei University, Yonsei Economics Research Institute.

  14. Han, Chirok & Cho, Jin Seo & Phillips, Peter C. B., 2011. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 282-294.
    See citations under working paper version above.
  15. Cho, Jin Seo & White, Halbert, 2011. "Generalized runs tests for the IID hypothesis," Journal of Econometrics, Elsevier, vol. 162(2), pages 326-344, June.
    See citations under working paper version above.
  16. Cho, Jin Seo & White, Halbert, 2010. "Testing for unobserved heterogeneity in exponential and Weibull duration models," Journal of Econometrics, Elsevier, vol. 157(2), pages 458-480, August.
    See citations under working paper version above.
  17. Cho, Jin Seo & Han, Chirok & Phillips, Peter C.B., 2010. "Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities," Econometric Theory, Cambridge University Press, vol. 26(3), pages 953-962, June.
    See citations under working paper version above.
  18. Jin Seo Cho & Halbert White, 2007. "Testing for Regime Switching," Econometrica, Econometric Society, vol. 75(6), pages 1671-1720, November.

    Cited by:

    1. Boris Blagov & Michael Funke & Richhild Moessner, 2015. "Modelling the time-variation in euro area lending spreads," BIS Working Papers 526, Bank for International Settlements.
    2. Huang, Yu-Lieh, 2012. "Measuring business cycles: A temporal disaggregation model with regime switching," Economic Modelling, Elsevier, vol. 29(2), pages 283-290.
    3. Igor Custodio João, 2024. "Testing for Clustering Under Switching," Tinbergen Institute Discussion Papers 24-052/III, Tinbergen Institute.
    4. Sanvi Avouyi-Dovi & Julien Idier., 2011. "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Working papers 339, Banque de France.
    5. Feng, Shu & Fu, Liang & Ho, Chun-Yu & Alex Ho, Wai-Yip, 2023. "Political stability and credibility of currency board," Journal of International Money and Finance, Elsevier, vol. 137(C).
    6. Jean-Marie Dufour & Richard Luger, 2016. "Identification-robust moment-based tests for Markov-switching in autoregressive models," CIRANO Working Papers 2016s-63, CIRANO.
    7. Candelon, Bertrand & Metiu, Norbert & Straetmans, Stefan, 2013. "Disentangling economic recessions and depressions," Discussion Papers 43/2013, Deutsche Bundesbank.
    8. Rossi, Barbara & Odendahl, Florens & Sekhposyan, Tatevik, 2020. "Comparing Forecast Performance with State Dependence," CEPR Discussion Papers 15217, C.E.P.R. Discussion Papers.
    9. Kuhanathan Ano Sujithan & Sanvi Avouyi-Dovi, 2013. "The links between some European financial factors and the BRICS credit default swap spreads," Post-Print hal-01511898, HAL.
    10. Boris Blagov, 2013. "Financial crises and time- varying risk premia in a small open economy: a Markov-Switching DSGE model for Estonia," Bank of Estonia Working Papers wp2013-8, Bank of Estonia, revised 09 Dec 2013.
    11. Xiaohong Chen & Maria Ponomareva & Elie Tamer, 2013. "Likelihood inference in some finite mixture models," CeMMAP working papers 19/13, Institute for Fiscal Studies.
    12. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    13. James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
    14. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2022. "Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 391-456, February.
    15. Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978R2, Cowles Foundation for Research in Economics, Yale University, revised Jan 2019.
    16. Sergei Koulayev & Marc Rysman & Scott Schuh & Joanna Stavins, 2016. "Explaining adoption and use of payment instruments by US consumers," RAND Journal of Economics, RAND Corporation, vol. 47(2), pages 293-325, May.
    17. Jin Seo Cho & Halbert White, 2009. "Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models," Discussion Paper Series 0912, Institute of Economic Research, Korea University.
    18. Tang, Yanlin & Song, Xinyuan & Zhu, Zhongyi, 2015. "Threshold effect test in censored quantile regression," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 149-156.
    19. Kasahara, Hiroyuki & Shimotsu, Katsumi, 2019. "Asymptotic properties of the maximum likelihood estimator in regime switching econometric models," Journal of Econometrics, Elsevier, vol. 208(2), pages 442-467.
    20. Cho, Jin Seo & White, Halbert, 2018. "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
    21. Chen, Runquan, 2009. "Regime switching in volatilities and correlation between stock and bond markets," LSE Research Online Documents on Economics 29306, London School of Economics and Political Science, LSE Library.
    22. Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 239-270, July.
    23. Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2024. "On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2024_04, Universidad Torcuato Di Tella.
    24. Shi, Yanlin & Ho, Kin-Yip, 2015. "Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 189-204.
    25. Janczura, Joanna & Weron, Rafal, 2011. "Goodness-of-fit testing for the marginal distribution of regime-switching models," MPRA Paper 32532, University Library of Munich, Germany.
    26. Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour, 2014. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 663-697, June.
    27. Feng Lingbing & Shi Yanlin, 2020. "Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(1), pages 1-27, February.
    28. Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2017. "Markov-Switching Three-Pass Regression Filter," Staff Working Papers 17-13, Bank of Canada.
    29. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
    30. Hiroyuki Kasahara & Katsumi Shimotsu, 2018. "Testing the Number of Regimes in Markov Regime Switching Models," Papers 1801.06862, arXiv.org, revised Jan 2018.
    31. Florens Odendahl & Tatevik Sekhposyan & Barbara Rossi, 2021. "Evaluating Forecast Performance with State Dependence," Working Papers 1295, Barcelona School of Economics.
    32. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2019. "Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves," Working papers 2019rwp-153, Yonsei University, Yonsei Economics Research Institute.
    33. Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2021. "Recent Developments of the Autoregressive Distributed Lag Modelling Framework," Working papers 2021rwp-186, Yonsei University, Yonsei Economics Research Institute.
    34. Chang, Yoosoon & Choi, Yongok & Park, Joon Y., 2017. "A new approach to model regime switching," Journal of Econometrics, Elsevier, vol. 196(1), pages 127-143.
    35. Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2023. "A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities," Department of Economics Working Papers 2023_01, Universidad Torcuato Di Tella.
    36. Kasahara Hiroyuki & Shimotsu Katsumi, 2012. "Testing the Number of Components in Finite Mixture Models," Global COE Hi-Stat Discussion Paper Series gd12-259, Institute of Economic Research, Hitotsubashi University.
    37. Kopchak, Seth J., 2013. "The realized forward term premium in the repo market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 253-278.
    38. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
    39. Mohammadreza Mahmoudi & Hana Ghaneei, 2021. "Detection of Structural Regimes and Analyzing the Impact of Crude Oil Market on Canadian Stock Market: Markov Regime-Switching Approach," Papers 2109.01046, arXiv.org, revised Oct 2021.
    40. Eric Girardin & Zakaria Moussa, 2010. "Quantitative easing works: Lessons from the unique experience in Japan 2001-2006," Working Papers halshs-00459384, HAL.
    41. Jiaying Gu & Roger Koenker & Stanislav Volgushev, 2017. "Testing for homogeneity in mixture models," CeMMAP working papers CWP39/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    42. Young-Joo Kim & Myung Hwan Seo, 2017. "Is There a Jump in the Transition?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 241-249, April.
    43. Jin Seo Cho & Meng Huang & Halbert White, 2021. "Testing a Constant Mean Function Using Functional Regression," Working papers 2021rwp-190, Yonsei University, Yonsei Economics Research Institute.
    44. Yanlin Shi & Lingbing Feng & Tong Fu, 2020. "Markov Regime-Switching in-Mean Model with Tempered Stable Distribution," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1275-1299, April.
    45. Blommestein, Hans & Eijffinger, Sylvester & Qian, Zongxin, 2016. "Regime-dependent determinants of Euro area sovereign CDS spreads," Journal of Financial Stability, Elsevier, vol. 22(C), pages 10-21.
    46. Zhang, Feipeng & Li, Qunhua, 2017. "A continuous threshold expectile model," Computational Statistics & Data Analysis, Elsevier, vol. 116(C), pages 49-66.
    47. Jin Seo Cho & Meng Huang & Halbert White, 2009. "Testing for a Constant Mean Function using Functional Regression," Discussion Paper Series 0915, Institute of Economic Research, Korea University.
    48. Sen, Rituparna & Hsieh, Fushing, 2009. "A note on testing regime switching assumption based on recurrence times," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2443-2450, December.
    49. Maddalena Cavicchioli, 2015. "Likelihood Ratio Test and Information Criteria for Markov Switching Var Models: An Application to the Italian Macroeconomy," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(3), pages 315-332, November.
    50. Carter Andrew V. & Steigerwald Douglas G., 2013. "Markov Regime-Switching Tests: Asymptotic Critical Values," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 25-34, July.
    51. Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019. "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers 2019-17, Department of Economics and Business Economics, Aarhus University.
    52. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    53. Masaru Chiba, 2023. "Robust and efficient specification tests in Markov-switching autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 99-137, April.
    54. Gabriel Rodriguez-Rondon & Jean-Marie Dufour, 2024. "MSTest: An R-Package for Testing Markov Switching Models," Papers 2411.08188, arXiv.org.
    55. Kaihua Deng, 2018. "Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 227-262, February.
    56. Jin Seo Cho & Isao Ishida & Halbert White, 2013. "Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions (published in: Essays in Nonlinear Time Series Econometrics, Festschrift in Honor of Timo Teras," Working papers 2013rwp-55, Yonsei University, Yonsei Economics Research Institute.
    57. Emrah Ismail Cevik & Durmuş Çağrı Yıldırım & Sel Dibooglu, 2021. "Renewable and non-renewable energy consumption and economic growth in the US: A Markov-Switching VAR analysis," Energy & Environment, , vol. 32(3), pages 519-541, May.
    58. Giovanni Compiani & Yuichi Kitamura, 2016. "Using mixtures in econometric models: a brief review and some new results," Econometrics Journal, Royal Economic Society, vol. 19(3), pages 95-127, October.
    59. Eijffinger, Sylvester & Blommestein, Hans J. & Qian, Zongxin, 2012. "Animal Spirits in the Euro Area Sovereign CDS Market," CEPR Discussion Papers 9092, C.E.P.R. Discussion Papers.
    60. Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023. "Score-type tests for normal mixtures," CIRANO Working Papers 2023s-02, CIRANO.
    61. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, Department of Economics, University of Venice "Ca' Foscari".
    62. Emrah Çevik & Erdal Atukeren & Turhan Korkmaz, 2013. "Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests," Empirical Economics, Springer, vol. 45(2), pages 675-695, October.
    63. Bucci, Andrea & Ciciretti, Vito, 2022. "Market regime detection via realized covariances," Economic Modelling, Elsevier, vol. 111(C).
    64. Zhou, Jian, 2016. "A high-frequency analysis of the interactions between REIT return and volatility," Economic Modelling, Elsevier, vol. 56(C), pages 102-108.
    65. Christis Katsouris, 2023. "Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors," Papers 2305.00860, arXiv.org, revised May 2023.
    66. Hiroyuki Kasahara & Tatsuyoshi Okimoto & Katsumi Shimotsu, 2014. "Modified Quasi-Likelihood Ratio Test for Regime Switching," The Japanese Economic Review, Japanese Economic Association, vol. 65(1), pages 25-41, March.
    67. Chevallier, Julien, 2012. "Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis," Economic Modelling, Elsevier, vol. 29(3), pages 943-973.
    68. Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
    69. Mika Meitz & Pentti Saikkonen, 2017. "Testing for observation-dependent regime switching in mixture autoregressive models," Papers 1711.03959, arXiv.org.
    70. Feipeng Zhang & Qunhua Li, 2023. "Segmented correspondence curve regression for quantifying covariate effects on the reproducibility of high‐throughput experiments," Biometrics, The International Biometric Society, vol. 79(3), pages 2272-2285, September.
    71. Jin Seo Cho & Jin Seok Park & Sang Woo Park, 2018. "Testing for the Conditional Geometric Mixture Distribution," Working papers 2018rwp-123, Yonsei University, Yonsei Economics Research Institute.
    72. Xiaotong Lian & Yingda Song, 2021. "Pricing and calibration of the futures options market: A unified approximation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1074-1091, July.
    73. Ciciretti, Vito & Bucci, Andrea, 2023. "Building optimal regime-switching portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    74. Jiaying Gu & Roger Koenker & Stanislav Volgushev, 2017. "Testing for homogeneity in mixture models," CeMMAP working papers 39/17, Institute for Fiscal Studies.
    75. Emrah I. Cevik & Sel Dibooglu & Max Gillman & Szilard Benk, 2025. "Granger predictability of real oil prices by us money and inflation in Markov-switching regimes," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 15(1), pages 29-52, March.
    76. Kalliovirta, Leena & Meitz, Mika & Saikkonen, Pentti, 2016. "Gaussian mixture vector autoregression," Journal of Econometrics, Elsevier, vol. 192(2), pages 485-498.
    77. Chipeniuk, Karsten O. & Walker, Todd B., 2021. "Forward inflation expectations: Evidence from inflation caps and floors," Journal of Macroeconomics, Elsevier, vol. 70(C).
    78. Kyu Lee Shin & Jin Seo Cho, 2013. "Testing for Neglected Nonlinearity Using Extreme Learning Machines (published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 21, Suppl. 2 (2013), 117--129.)," Working papers 2013rwp-57, Yonsei University, Yonsei Economics Research Institute.
    79. Jin Seo Cho & Halbert White, 2014. "Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing," Working papers 2014rwp-67, Yonsei University, Yonsei Economics Research Institute.

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