Ji Hyung Lee : Citation Profile


Are you Ji Hyung Lee?

University of Illinois at Urbana-Champaign

5

H index

3

i10 index

58

Citations

RESEARCH PRODUCTION:

7

Articles

4

Papers

RESEARCH ACTIVITY:

   7 years (2012 - 2019). See details.
   Cites by year: 8
   Journals where Ji Hyung Lee has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 4 (6.45 %)

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   Permalink: http://citec.repec.org/ple807
   Updated: 2020-07-04    RAS profile: 2019-11-17    
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Relations with other researchers


Works with:

Phillips, Peter (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ji Hyung Lee.

Is cited by:

Inoue, Atsushi (5)

Kilian, Lutz (5)

Demetrescu, Matei (3)

Gomez-Gonzalez, Jose (2)

Skrobotov, Anton (2)

Phillips, Peter (2)

Rodrigues, Paulo (2)

Sanin Restrepo, Sebastian (2)

Yu, Jun (1)

Steenkamp, Daan (1)

GUPTA, RANGAN (1)

Cites to:

Phillips, Peter (53)

Yu, Jun (12)

Campbell, John (11)

Stock, James (7)

Chernozhukov, Victor (6)

Yogo, Motohiro (6)

Elliott, Graham (5)

Wu, Yangru (4)

Hansen, Bruce (4)

LINTON, OLIVER (3)

Whang, Yoon-Jae (3)

Main data


Where Ji Hyung Lee has published?


Journals with more than one article published# docs
Journal of Econometrics3

Recent works citing Ji Hyung Lee (2020 and 2019)


YearTitle of citing document
2019Relevant moment selection under mixed identification strength. (2019). Dovonon, Prosper ; Doko Tchatoka, Firmin ; Aguessy, Michael. In: School of Economics Working Papers. RePEc:adl:wpaper:2019-04.

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2020The Cointegrated VAR without Unit Roots: Representation Theory and Asymptotics. (2020). Simons, Jerome R ; Duffy, James A. In: Papers. RePEc:arx:papers:2002.08092.

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2020Complete Subset Averaging for Quantile Regressions. (2020). Shin, Youngki ; Lee, Ji Hyung. In: Papers. RePEc:arx:papers:2003.03299.

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2020New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2019Predictive Regressions. (2019). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:28554.

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2020A robust test for predictability with unknown persistence. (2020). Yao, Shuang ; Liu, Guannan. In: Economics Letters. RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300483.

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2019A unified test for predictability of asset returns regardless of properties of predicting variables. (2019). Liu, Xiaohui ; Peng, Liang ; Cai, Zongwu ; Yang, Bingduo. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:141-159.

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2019On asymptotic size distortions in the random coefficients logit model. (2019). Ketz, Philipp. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:413-432.

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2019Predictive quantile regressions under persistence and conditional heteroskedasticity. (2019). Lee, Ji Hyung ; Fan, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:261-280.

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2020Sequential monitoring for changes from stationarity to mild non-stationarity. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:209-238.

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2020The uniform validity of impulse response inference in autoregressions. (2020). Kilian, Lutz ; Inoue, Atsushi. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:450-472.

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2020Is the presidential premium spurious?. (2020). al Zaman, Ashraf ; Sy, Oumar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:94-104.

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2019The finite sample power of long-horizon predictive tests in models with financial bubbles. (2019). Ren, Dongmeng ; Maynard, Alex. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:418-430.

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2020A new mechanism for anticipating price exuberance. (2020). Moreira, Afonso M ; Martins, Luis F. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:199-221.

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2019The Uniform Validity of Impulse Response Inference in Autoregressions. (2019). Kilian, Lutz ; Inoue, Atsushi. In: Working Papers. RePEc:fip:feddwp:1908.

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2019On the Limit Theory of Mixed to Unity VARs: Panel Setting With Weakly Dependent Errors. (2019). Stauskas, Ovidijus. In: Working Papers. RePEc:hhs:lunewp:2019_002.

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2020A New Robust Inference for Asset Return Predictability Via Quantile Regression. (2020). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202002.

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2020Complete Subset Averaging for Quantile Regressions. (2020). Shin, Youngki ; Lee, Ji Hyung. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2020-03.

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2019Testing for Episodic Predictability in Stock Returns. (2019). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan. In: Working Papers. RePEc:ptu:wpaper:w201906.

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2019.

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2019.

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2020Inference in nonparametric/semiparametric moment equality models with shape restrictions. (2020). Zhu, YU. In: Quantitative Economics. RePEc:wly:quante:v:11:y:2020:i:2:p:609-636.

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Works by Ji Hyung Lee:


YearTitleTypeCited
2020On LASSO for Predictive Regression In: Papers.
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paper1
2018ON STANDARD INFERENCE FOR GMM WITH LOCAL IDENTIFICATION FAILURE OF KNOWN FORMS In: Econometric Theory.
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article5
2012VARs with Mixed Roots Near Unity In: Cowles Foundation Discussion Papers.
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paper0
2013Predictive regression under various degrees of persistence and robust long-horizon regression In: Journal of Econometrics.
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article19
2016Predictive quantile regression with persistent covariates: IVX-QR approach In: Journal of Econometrics.
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article12
2015Predictive quantile regression with persistent covariates: IVX-QR approach.(2015) In: MPRA Paper.
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This paper has another version. Agregated cites: 12
paper
2016Robust econometric inference with mixed integrated and mildly explosive regressors In: Journal of Econometrics.
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article9
2016Asset pricing with financial bubble risk In: Journal of Empirical Finance.
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article11
2019Martingale decomposition and approximations for nonlinearly dependent processes In: Statistics & Probability Letters.
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article0
2018Quantilograms under Strong Dependence In: Working Paper Series.
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paper0
2015Limit Theory for VARs with Mixed Roots Near Unity In: Econometric Reviews.
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article1

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