Jungbin Hwang
Associate 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
The first part of my research focuses on the efficiency and approximation issues in Generalized Method of Moments (GMM) methods for time series and panel data in the presence of (clustered) dependence and heteroscedasticity. I develop new, more accurate, and easy-to-use approximations to the nonparametric estimator of the GMM weighting matrix. Besides the GMM context, I apply new asymptotic theory to non-stationary time series such as triangular cointegration regression and predictive quantile regression. I am also interested in financial econometrics and Bayesian econometrics theory. Here is my cv.pdf.
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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)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 2022)Journal of Business & Economic Statistics, forthcoming [Paper]
- Asymptotic F and t Tests in Cointegrating Regressions with Asymptotically Homogeneous Functions (with Yixiao Sun, pdf)
- HAR Inference for Quantile Regression in Time Series (with Gonzalo Valdés, pdf)
- Higher-order Accuracy of Asymptotic F and t-tests for Over-identified GMM in Time Series (with Gonzalo Valdés)
- Fixed-cluster Inference with Unbalanced Cluster Sizes (with Min Seong Kim)