Jungbin Hwang

Assistant Professor at University of Connecticut
Email: jungbin.hwang at uconn.edu
Mailing Address:
University of Connecticut
Department of Economics
365 Fairfield Way, Unit 1063
Storrs, CT 06269-1063
My research mainly focuses on the efficiency and approximation issues in Generalized Method of Moments (GMM) methods for economic data in the presence dependence and heteroscedasticity. I develop new, more accurate, and easy-to-use approximations to the nonparametric estimator of GMM weighting matrix. Besides the GMM context, I also apply the idea of new asymptotics to other modern econometric models such as triangular cointegration regression and long-horizon predictive regression. I am also interested in applied econometrics, financial econometrics, and Bayesian econometrics. Here is my cv.
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Extreme risk spillover in financial markets: Evidence from the recent financial crisis (with Jae-Young Kim)
Seoul Journal of Economics, 28, (2015): 171-198. -
Asymptotic F and t Tests in an Efficient GMM Setting (with Yixiao Sun)
Journal of Econometrics 198, no. 2 (2017): 277-295 [Paper link] [Erratum] - Simple, Robust, and Accurate F and t Tests in Cointegrated Systems (with Yixiao Sun)
Lead article at Econometric Theory (2018), Vol 34, Issue 5, 949-984 [Paper link] -
Should We Go One Step Further? An Accurate Comparison of One-step and Two-step Procedures in a Generalized Method of Moments Framework (with Yixiao Sun)
Journal of Econometrics (2018), 207(2), 381-405. [Paper link] - Religiosity: Identifying the Effect of Pluralism (with Metin Cosgel, Thomas J. Miceli and Sadullah Yıldırım)
Journal of Economic Behavior & Organization (2019), 158, 219-235. [Paper link] -
Simple and Trustworthy Cluster-Robust GMM Inference
Journal of Econometrics (2021), 222(2), 993-1023 [Paper link, Long version] -
A Doubly Corrected Robust Variance Estimator for Linear GMM (with Byunghoon Kang and Seojeong Jay Lee)
Journal of Econometrics, (2022), 229(2), 276-298 [Paper Link] -
Finite-sample Corrected Inference for Two-step GMM in Time Series (with Gonzalo Valdés, December 2021)Journal of Econometrics, forthcoming [Paper Link]
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Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence (with Gonzalo Valdés, Dec 2021)Accepted subject to a minor revision at Journal of Business & Economic Statistics [Paper]
- Optimal HAR Inference in GMM with Over-identification (with Gonzalo Valdés, May 2022)
- Higher-order Accuracy of Asymptotic F and t-tests for Over-identified GMM in Time Series (with Gonzalo Valdés, May 2022)
- Fixed-cluster Inference with Unbalanced Cluster Sizes (with Min Seong Kim, May 2022)
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ECON 2311- Empirical Methods in Economics I (Undergraduate) [Syllabus ]
- ECON 6310- Econometrics I (Ph.D.) [Syllabus ]
- ECON 6498-001: Topics in Econometrics (Ph.D.) [Syllabus Fall 2018 ] [Lecture note Fall 2019 ]