Yongcheol Shin
Biographic Data
| ID | 5730367 |
|---|---|
| NAME | Yongcheol Shin |
| GIVEN NAMES | Yongcheol |
| FAMILY NAME | Shin |
| SIGNATURE | SHIN Y |
| AFFILIATIONS | University of York |
| ORCID | 0000-0002-8589-9689 |
| VERIFIED | Yes |
| TOTAL WORKS | 16 |
| TOTAL CITATIONS | 2 |
| AUTHOR COUNT | 16 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1992 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 1 |
Dynamic Network Quantile Regression Model
We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile autoregression model of Zhu et al. by explicitly allowing the contemporaneous network effects and controlling for the common factors across quantiles. To cope with the endogeneity issue due to simultaneous network spillovers, we adopt the instrumental variable quantile …
An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
A huge literature on modeling cross-sectional dependence in panels has been developed using interactive effects (IE). One area of contention is the hypothesis concerned with whether the regressors and factor loadings are correlated or not. Under the null hypothesis that they are conditionally independent, we can still apply the consistent and robust two-way fixed effects estimator. As an important specification test we develop an LM test for both…
Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
A large literature on modelling cross-section dependence in panels has been developed through interactive effects. However, there are areas where research has not really caught on yet. One such area is the one concerned with whether the regressors are correlated with factor loadings or not. This is an important issue because if the regressors are uncorrelated with loadings, we can simply use the consistent two-way fixed effects (FE) estimator wit…
Gravity models of interprovincial migration flows in Canada with hierarchical multifactor structure
Following recent contributions on migration flows, we contribute to the literature by relaxing restrictions on how multilateral resistance to migration (MRM) may affect province-pair-specific migration flows. We follow recent advancements in the three-dimensional (3D) panel data models with a hierarchical multifactor structure and develop the more flexible specification for MRM. In addition to including unobserved global (country) factors with pr…
Dynamic panels with threshold effect and endogeneity
Quantile cointegration in the autoregressive distributed-lag modeling framework
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium
An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis
Introduction Econometric analysis of long-run relations has been the focus of much theoretical and empirical research in economics. In cases in which the variables in the long-run relation of interest are trend-stationary, the general practice has been to de-trend the series and to model the de-trended series as stationary autoregressive distributed-lag (ARDL) models. Estimation and inference concerning the long-run properties of the model have t…
Testing for a unit root in the nonlinear STAR framework
Testing for unit roots in heterogeneous panels
A Long run structural macroeconometric model of the UK
A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to …
Bounds testing approaches to the analysis of level relationships
This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend‐ or first‐difference stationary. The proposed tests are based on standard F ‐ and t ‐statistics used to test the significance of the lagged levels of the variables in a univariate equilibrium correction mechanism. The…
Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
It is now quite common to have panels in which both T, the number of time series observations, and N, the number of groups, are quite large and of the same order of magnitude. The usual practice is either to estimate N separate regressions and calculate the coefficient means, which we call the mean group (MG) estimator, or to pool the data and assume that the slope coefficients and error variances are identical. In this article we propose an inte…
Generalized impulse response analysis in linear multivariate models
Testing the null hypothesis of stationarity against the alternative of a unit root
A Long run structural macroeconometric model of the UK
A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to …
Testing the null hypothesis of stationarity against the alternative of a unit root
Generalized impulse response analysis in linear multivariate models
Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
It is now quite common to have panels in which both T, the number of time series observations, and N, the number of groups, are quite large and of the same order of magnitude. The usual practice is either to estimate N separate regressions and calculate the coefficient means, which we call the mean group (MG) estimator, or to pool the data and assume that the slope coefficients and error variances are identical. In this article we propose an inte…
Bounds testing approaches to the analysis of level relationships
This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend‐ or first‐difference stationary. The proposed tests are based on standard F ‐ and t ‐statistics used to test the significance of the lagged levels of the variables in a univariate equilibrium correction mechanism. The…
Testing for a unit root in the nonlinear STAR framework
Testing for unit roots in heterogeneous panels
A Long run structural macroeconometric model of the UK
A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to …
An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis
Introduction Econometric analysis of long-run relations has been the focus of much theoretical and empirical research in economics. In cases in which the variables in the long-run relation of interest are trend-stationary, the general practice has been to de-trend the series and to model the de-trended series as stationary autoregressive distributed-lag (ARDL) models. Estimation and inference concerning the long-run properties of the model have t…
Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
Quantile cointegration in the autoregressive distributed-lag modeling framework
Dynamic panels with threshold effect and endogeneity
Gravity models of interprovincial migration flows in Canada with hierarchical multifactor structure
Following recent contributions on migration flows, we contribute to the literature by relaxing restrictions on how multilateral resistance to migration (MRM) may affect province-pair-specific migration flows. We follow recent advancements in the three-dimensional (3D) panel data models with a hierarchical multifactor structure and develop the more flexible specification for MRM. In addition to including unobserved global (country) factors with pr…
Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
A large literature on modelling cross-section dependence in panels has been developed through interactive effects. However, there are areas where research has not really caught on yet. One such area is the one concerned with whether the regressors are correlated with factor loadings or not. This is an important issue because if the regressors are uncorrelated with loadings, we can simply use the consistent two-way fixed effects (FE) estimator wit…
Dynamic Network Quantile Regression Model
We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile autoregression model of Zhu et al. by explicitly allowing the contemporaneous network effects and controlling for the common factors across quantiles. To cope with the endogeneity issue due to simultaneous network spillovers, we adopt the instrumental variable quantile …
An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
A huge literature on modeling cross-sectional dependence in panels has been developed using interactive effects (IE). One area of contention is the hypothesis concerned with whether the regressors and factor loadings are correlated or not. Under the null hypothesis that they are conditionally independent, we can still apply the consistent and robust two-way fixed effects estimator. As an important specification test we develop an LM test for both…
Mathematics (15 works) · Econometrics (14 works) · Statistics (13 works) · Monetary Policy and Economic Impact (12 works) · Computer Science (8 works) · Economics (7 works) · Estimator (6 works) · Monte Carlo method (6 works) · Statistical hypothesis testing (6 works) · Autoregressive model (5 works)