← All authors Yongcheol Shin University of York (from arXiv:2111.07633, 2021) · ORCID · OpenAlex
62 papers in scope · 62 published · 1 on the econ.EM arXiv · 67,833 citations · h-index 31 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Xingbai Xu Martin Weidner Iván Fernández-Val Chaowen Zheng Xiu Xu Denis Kojevnikov Victor Chernozhukov Vadim Marmer Kyungchul Song Michael P. Leung Peng Ding Hyungsik Roger Moon Mengsi Gao Ning Wang Amrei Stammann Christian Hansen Alexandre Belloni Ayden Higgins Federico Martellosio Daniel Czarnowske Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 62)
Systematic common components in ESG ratings across legal origins
published 2025 · International Review of Financial Analysis
with Ting Xie, Kausik Chaudhuri, Han Jin
An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
published 2023 · Journal of Business and Economic Statistics · 9 citations
Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
published 2023 · Empirical Economics · 7 citations
The asymmetric response of dividends to earnings news
published 2023 · Finance research letters · 7 citations
with Jin Seo Cho, Matthew Greenwood-Nimmo
Reprint of: Testing for unit roots in heterogeneous panels
published 2023 · Journal of Econometrics · 11 citations
Reflections on “Testing for unit roots in heterogeneous panels”
published 2023 · Journal of Econometrics · 20 citations
What is mine is yours: Sovereign risk transmission during the European debt crisis
published 2023 · Journal of Financial Stability · 20 citations · first circulated 2017
with Matthew Greenwood-Nimmo, Viet Hoang Nguyen
Spatial Attendance Spillover in Football Leagues
published 2022 · International Journal of Empirical Economics · first circulated 2020
with Hayley Jang, Young Hoon Lee
published 2022 · Journal of Business and Economic Statistics · 18 citations · first circulated 2021
Nonlinear limits to arbitrage
published 2022 · Journal of Futures Markets · 5 citations
with Jingzhi Chen, Charlie X. Cai, Robert W. Faff
Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
published 2022 · Management Science · 784 citations · first circulated 2018
Recent developments of the autoregressive distributed lag modelling framework
published 2021 · Journal of Economic Surveys · 83 citations
with Jin Seo Cho, Matthew Greenwood-Nimmo, Jinseo Cho
Estimation and inference in heterogeneous spatial panels with a multifactor error structure
published 2021 · Journal of Econometrics · 28 citations · first circulated 2020
Measuring the Connectedness of the Global Economy
published 2021 · International Journal of Forecasting · 74 citations · first circulated 2015
with Matthew Greenwood-Nimmo, Viet Hoang Nguyen
Gravity models of interprovincial migration flows in Canada with hierarchical multifactor structure
published 2020 · Empirical Economics · 11 citations
with Laura Serlenga
Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure
published 2020 · Journal of Econometrics · 31 citations · first circulated 2019
Canonical Correlation-based Model Selection for the Multilevel Factors
published 2020 · Journal of Econometrics · 9 citations
with In Choi, Rui Lin
Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels
published 2019 · SERIEs · 3 citations
FARVaR: Functional Autoregressive Value-at-Risk*
published 2018 · Journal of Financial Econometrics · 8 citations
with Charlie X. Cai, Minjoo Kim, Qi Zhang, Qi Chang
The Effects of Oil Price on the Korean Economy: A Global VAR Approach
published 2018 · Emerging Markets Finance and Trade · 6 citations
with Hail Park
Exploring international linkages using generalised connectedness measures: The case of Korea
published 2017 · International Review of Economics & Finance · 5 citations · first circulated 2014
with Hail Park
Noise Momentum Around the World
published 2017 · Abacus · 3 citations · first circulated 2014
with Charlie X. Cai, Robert W. Faff
Testing for Unit Roots in Dynamic Panels with Smooth Breaks and Cross-Sectionally Dependent Errors
published 2017 · Computational Economics · 27 citations
with Tolga Omay, Mübariz Hasanov
Dynamic panels with threshold effect and endogeneity
published 2016 · Journal of Econometrics · 651 citations · first circulated 2014
Quantile cointegration in the autoregressive distributed-lag modeling framework
published 2015 · Journal of Econometrics · 502 citations · first circulated 2014
with Jin Seo Cho, Tae-Hwan Kim
Forecasting Distributions of Inflation Rates: the Functional Auto-Regressive Approach
published 2015 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 11 citations
with Kausik Chaudhuri, Minjoo Kim
Modelling Technical Efficiency in Cross Sectionally Dependent Stochastic Frontier Panels
published 2015 · Journal of Applied Econometrics · 41 citations
with Camilla Mastromarco, Laura Serlenga
In search of robust methods for dynamic panel data models in empirical corporate finance
published 2014 · Journal of Banking & Finance · 134 citations
with Viet Anh Dang, Minjoo Kim
Asymmetric adjustment toward optimal capital structure: Evidence from a crisis
published 2014 · International Review of Financial Analysis · 20 citations
with Viet Anh Dang, Minjoo Kim
A nonlinear panel data model of cross-sectional dependence
published 2014 · Journal of Econometrics · 42 citations · first circulated 2010
Optimal Test for Markov Switching GARCH Models
published 2014 · Econometrica · 82 citations · first circulated 2004
Taxation and the asymmetric adjustment of selected retail energy prices in the UK
published 2013 · Economics Letters · 103 citations
with Matthew Greenwood-Nimmo
On the Asymmetric U‐Shaped Relationship between Inflation, Inflation Uncertainty, and Relative Price Skewness in the UK
published 2013 · Journal of money credit and banking · 9 citations · first circulated 2012
with Kausik Chaudhuri, Matthew Greenwood-Nimmo, Minjoo Kim
Globalisation and technological convergence in the EU
published 2012 · Journal of Productivity Analysis · 28 citations
with Camilla Mastromarco, Laura Serlenga
TIs Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modelling Approach
published 2012 · Review of International Economics · 7 citations · first circulated 2011
with Camilla Mastromarco, Laura Serlenga
Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models
published 2012 · Journal of Empirical Finance · 226 citations · first circulated 2011
with Viet Anh Dang, Minjoo Kim
Trade, Technology and the Labour Market: The Case of South Africa *
published 2011 · Oxford Bulletin of Economics and Statistics · 13 citations
with Johannes Fedderke, Prabhat Vaze
Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model
published 2011 · Econometric Reviews · 16 citations · first circulated 2003
Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework
published 2010 · Journal of Applied Econometrics · 61 citations
with Matthew Greenwood-Nimmo, Viet Hoang Nguyen
GLS detrending-based unit root tests in nonlinear STAR and SETAR models
published 2008 · Economics Letters · 69 citations · first circulated 2002
Comments on: Panel data analysis—advantages and challenges
published 2007 · Test · 9 citations
Gravity models of intra‐EU trade: application of the CCEP‐HT estimation in heterogeneous panels with unobserved common time‐specific factors
published 2007 · Journal of Applied Econometrics · 164 citations
with Laura Serlenga
Unit root tests in three‐regime SETAR models
published 2006 · Econometrics Journal · 31 citations · first circulated 2003
Mean group tests for stationarity in heterogeneous panels
published 2006 · Econometrics Journal · 28 citations
with Andy Snell
TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
published 2006 · Econometric Theory · 260 citations
Gravity Models of the Intra-EU Trade: Application of the Hausman-Taylor Estimation in Heterogeneous Panels with Common Time-specific Factors
published 2004 · Econometric Society 2004 Far Eastern Meetings · 46 citations
with Laura Serlenga
no link
Forecast Uncertainties in Macroeconomic Modeling
published 2003 · Journal of the American Statistical Association · 158 citations
Testing for unit roots in heterogeneous panels
published 2003 · Journal of Econometrics · 15075 citations · first circulated 1995
A Long run structural macroeconometric model of the UK
published 2003 · The Economic Journal · 44 citations · first circulated 1999
Testing for a unit root in the nonlinear STAR framework
published 2002 · Journal of Econometrics · 1560 citations
Nonlinear mean reversion in real exchange rates
published 2002 · Economics Letters · 101 citations
LONG-RUN STRUCTURAL MODELLING
published 2002 · Econometric Reviews · 293 citations
Bounds testing approaches to the analysis of level relationships
published 2001 · Journal of Applied Econometrics · 19744 citations
Structural analysis of vector error correction models with exogenous I(1) variables
published 2000 · Journal of Econometrics · 796 citations · first circulated 1997
Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
published 1999 · Journal of the American Statistical Association · 6329 citations
Generalized impulse response analysis in linear multivariate models
published 1998 · Economics Letters · 6085 citations · first circulated 1997
On stationary tests in the presence of structural breaks
published 1997 · Economics Letters · 94 citations
with Junsoo Lee, Cliff J. Huang
A Parametric approach to testing the null of cointegration
published 1997 · Journal of Time Series Analysis · 26 citations
with Brendan McCabe, Stephen J. Leybourne
Cointegration and speed of convergence to equilibrium
published 1996 · Journal of Econometrics · 537 citations · first circulated 1993
A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
published 1994 · Econometric Theory · 542 citations
Testing the null hypothesis of stationarity against the alternative of a unit root
published 1992 · Journal of Econometrics · 12609 citations · first circulated 1991
The KPSS stationarity test as a unit root test
published 1992 · Economics Letters · 118 citations
with Peter Schmidt
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