Prof.Chang-Jin Kim——Dealing with Endogeneity in Regression Models with Dynamic Coefficients(2022年数量经济学国际讲习班)

Prof.Chang-Jin Kim——Dealing with Endogeneity in Regression Models with Dynamic Coefficients(2022年数量经济学国际讲习班)

发布时间：2022-07-01 21:05:52 作者/出处：


Chang-Jin Kim，华盛顿大学Bryan C. Cressey教授，国际应用计量经济学会（IAAE）会士，世界经济学顶级期刊Journal of Econometrics的副主编。1989年从华盛顿大学经济系博士毕业后，先后担任高丽大学经济学教授、经济系系主任，圣路易斯联邦储备银行顾问，约克大学经济学助理教授。2020年，Kim教授获得SNDE研讨会“Best Paper in 2019 for Studies in Nonlinear Dynamics and Econometrics”奖项；2009年获得韩国总统颁发的Medal of Honor, Green Stripe；2008-2013年，获得韩国研究基金会颁发的Distinguished Scholar Award and Fellowship；1999年，与Charles R. Nelson合作的“Extensions and Applications of State-Space Models with Markov-Switching: Hypothesis Tests”研究获得美国国家科学基金(NSF)资助(#SES-9818789)；1995年获得由韩国经济协会颁发的青年经济学家奖，Chung-Ram Award。Kim教授的研究集中在宏观模型中随机项的马尔科夫转换（Markov-switching），这对于识别经济周期、提高宏观时序模型的解释能力、理解现实世界的随机性有着重要意义。

主办单位：吉林大学数量经济研究中心（吉林大学商学与管理学院、吉林大学MBA教育中心）


代表性成果：

  1. Trend-Cycle Decompositions of Real GDP Revisited: Classical and Bayesian Perspectives on an Unsolved Puzzle, Macroeconomic Dynamics, forthcoming, (2021). (with Jaeho Kim).

  2. An N-State Endogenous Markov-Switching Model with Applications in Macroeconomics and Finance, Macroeconomics Dynamics, forthcoming, (2021). (with S-T Hwu and J. Piger).

  3. Structural Breaks in the Mean of Dividend-Price Ratios: Implications of Learning on Stock Return Predictability, Japan & the World Economy, forthcoming, (2020), Vol. 55. (with C. Xuan).

  4. Estimating Trend Inflation Based on Unobserved Components Model: Is It Correlated with the Inflation Gap? Journal of Money, Credit, and Banking, (2019), Vol. 51, No. 8, 2306-2319. (with Shih-Tang Hwu)

  5. A Unified Framework for Jointly Explaining Business Conditions, Volatility, Stock Returns and News Effects, Studies in Nonlinear Dynamics and Econometrics, (2019), Vol. 23, Issue 2, 20160151. (with Y. Kim).

  6. New Dynamics of Consumption and Output, Journal of Macroeconomics, (2019), Vol. 60, 50-59. (with C. Xuan and D. Kim).

  7. Real Exchange Rate Dynamics and the Taylor Rule: Importance of Taylor-rule Fundamentals, Monetary Policy Shocks, and Risk-premium Shocks, Review of International Economics, (2019), Vol. 27, Issue 1, 201-219. (with C. Park).

  8. Regime Shifts in Price-Dividend Ratios and Expected Stock Returns: A Present- Value Approach, Journal of Money, Credit, and Banking, (2017), Vol. 49, Issue 2-3, 417-447. (with K. Choi and C.-B. Park).

  9. Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post- War Booms or Recessions All Alike? Review of Economics and Statistics, (2016), 98(5): 940-949. (with Y. Eo).

  10. Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks, Journal of Business and Economic Statistics, (2015), Vol.33, Issue 4, 566-578. (with J. Kim).

  11. Predicting Stock Returns: The Information Contents at Different Horizons, Annals of Financial Economics, (2015), Vol. 10, Issue 2 (DOI: 10.1142/S201049521550013X). (with Kaihua Deng).

  12. Introduction to Special Issue on the Empirical Analysis of Business Cycles, Financial Markets, and Inflation: Essays in Honor of Charles Nelson, Macroeconomic Dynamics, (2015), Vol. 19, No. 4, (with James Morley and Jeremy Piger).

  13. Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve, Journal of Money, Credit, and Banking, (2014), Vol. 42, No. 2-3, 254-266. (with P. Manopimoke and C.R. Nelson).

  14. Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability, Journal of Money, Credit, and Banking, (2013), Vol. 45, No 5, 933-952. (with C. Park).

  15. The Evolution of the Monetary Policy Regimes in the U.S, Empirical Eco- nomics, (2012), Vol. 43, 617-649. (with J.-H. Bae and D.-H. Kim).

  16. Dealing With Endogeneity in a Time-varying-parameter Model: Joint Estimation and Two-step Estimation Procedures, Econometrics Journal, (2011), Vol. 14, 487-497. (with Y. Kim).

  17. Does Congress Realign or Smoothly Adjust? A Discrete Switching Model of Congressional Partisan Regimes, Statistical Methodology, (2010), Vol. 7, 254-276. (with Bryan D. Jones and Richard Startz).

  18. Changes in U.S. Inflation Persistence, Studies in Nonlinear Dynamics and Econometrics, (2009), Vol. 13, No. 4, Article 1. (with K. Kang and J. Morley).

  19. IV Estimation in the Presence of Serially Correlated Regressors and Disturbance Terms, Journal of Economic Theory and Econometrics, (2009), Vol. 20, Issue 3, 56-70. (with D. Kim and K. Yang).

  20. Markov-Switching Models with Endogenous Explanatory Variables II: A Two- Step MLE Procedure, Journal of Econometrics, (2009), Vol. 148, 46-55.

  21. Dealing with Endogeneity in Regression Models with Dynamic Coefficients, Foundations and Trends in Econometrics, (2008), Vol. 3, No. 3, 165-266.

  22. Markov-Switching and the Beveridge-Nelson Decomposition: Has U.S. Output Persistence Changed since 1984? Journal of Econometrics, (2008), Vol. 146, 227-240.

  23. Is the Backward-Looking Component Important in a New Keynesian Phillips Curve, Studies in Nonlinear Dynamics and Economics, (2008), Vol. 12, 3. (with Y. Kim).

  24. Structural Break in the U.S. Economy: An Approach Based on a Single-Source- of-Error State-Space Model, Economic Analysis (a quarterly journal published by the Bank of Korea), (2008), Vol. 14, No.1, 64-92. (with D.-H. Kim and D.-W. Kim).

  25. Exchange Rate Regime and Monetary Policy Independence in East Asia, Pacific Economic Review, (2008), Vol. 13 (2), 155-170. (with Jong-Wha Lee).

  26. Bayesian Counterfactual Analysis of the Sources of the Great Moderation, Journal of Applied Econometrics, (2008), Vol. 23, 173-191. (with J. Morley and J. Piger).

  27. Estimation of Markov Regime-Switching Regression Models with Endogenous Switching, Journal of Econometrics, (2008), Vol. 143(2), 263-273. (with Jeremy Piger and Richard Startz).

  28. The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycles, Journal of Money, Credit, and Banking, (2007), Vol. 39, No. 1, 187-204. (with Jeremy Piger and Richard Startz).

  29. Why Are Stock Returns and Volatility Negatively Correlated? Journal of Empirical Finance, (2007), Vol. 14, issue 1, 41-58. (with J. Bae and C.R. Nelson).

  30. Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model using Ex-Post Data, Journal of Monetary Economics, (2006), Vol. 53, 1949-1966. (with C.R. Nelson).

  31. Time-Varying-Parameter Models with Endogenous Regressors, Economics Letters, (2006), Vol. 91, 21-26.

  32. The Structural Break in the Equity Premium, Journal of Business and Economic Statistics, (2005), Vol. 23, No. 2, 181-191. (with James C. Morley and Charles R. Nelson).

  33. Nonlinearity and the Permanent Effects of Recessions, Journal of Applied Econometrics, (2005), Vol. 20, 291-309. (with J. Morley and J. Piger).

  34. Markov-Switching Models with Endogenous Explanatory Variables, Journal of Econometrics, (2004), Vol. 122, 127-136.

  35. Is There A Significant Positive Relationship between Stock Market Volatility and the Equity Premium? Journal of Money, Credit, and Banking, (2004), Vol.36, No. 3 (June 2004, Part I). (with James C. Morley and Charles R. Nelson).

  36. The Less Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations, Journal of Business and Economic Statistics, (2004), Vol. 22, No 1, 80-93. (with Jeremy Piger and Charles R. Nelson).

  37. A Markov Switching Model of Congressional Partisan Regimes, UWEC-2002-03, Working Papers (2003-06): n. pag. (with Jones, Bryan, and Richard Startz).

  38. A Study on Structural Break in Inflation Dynamics, Economics Research (a journal published in Korean by Korean Economic Association), (2003), Vol. 51, No. 4, 1-23. (with Kwan-Ho Shin).

  39. Exchange Rate Regime and Monetary Policy in Korea, Economic Analysis (a journal published in Korean by the Bank of Korea), (2003), Vol. 9, No. 2. (with Jong-Wha Lee).

  40. Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations, Journal of Monetary Economics, (2002), 49(6), 1189-1121. (with Jeremy Piger).

  41. Permanent and Transitory Nature of Recessions, Empirical Economics, (2002), 27(2), 149-162. (with Christian Murray).

  42. Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? Journal of Empirical Finance, (2001), Vol. 8, 403-426. (with James C. Morley and Charles R. Nelson).

  43. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models, International Economic Review, (2001), 42(4), 989-1013. (with Charles R. Nelson).

  44. Capital Accumulation and Trade Policy: The Case of Korea, International Economic Journal, (2000), 14(1), 111-131. (with Chong-Hyun Nam).

  45. Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of Business Cycle, Review of Economics and Statistics, (1999), 81(4): 608-616. (with Charles R. Nelson).

  46. Friedman’s Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components, Journal of Money, Credit, and Banking, (1999), 31(3), Part 1, 317-334. (with Charles R. Nelson).

  47. Permanent and Transitory Nature of Recessions, Discussion Papers in Economics at the University of Washington, (1999-05): n. pag. (with Chris Murray).

  48. State-Space Models with Regime-Switching: Classical and Gibbs-Sampling Approaches with Applications, The MIT Press, (1999). (with Charles R. Nelson).

  49. The Long-Run U.S./U.K. Real Exchange Rate, Journal of Money, Credit and Banking, (1999), 31(3), Part 1, 335-356. (with Charles Engel).

  50. The Nature of Korean Stock Market: Mean Reversion or Mean Aversion? Kukje Kyungje Yongu (Journal published by the Korea International Economic Association), (1999), Vol. 5, No. 3, 97-115. (with In-Bae Kim).

  51. Testing for Mean Reversion in Heteroskedastic Data II: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization, Journal of Empirical Finance, (1998), Vol. 5, 385-396. (with Charles R. Nelson).

  52. Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on A Dynamic Factor Model with Regime-Switching, Review of Economics and Statistics, (1998), Vol. 80, 188-201. (with Charles R. Nelson).

  53. Testing for Mean Reversion in Heteroskedastic Data Based on Gibbs-Sampling- Augmented Randomization, Journal of Empirical Finance, (1998), Vol. 5, 131-154. (with Charles R. Nelson and Richard Startz).

  54. Bayes Inference via Gibbs Sampling of Dynamic Linear Models with Markov- Switching, Journal of Economic Theory and Econometrics, (1997), Vol. 3, No. 2, 123-149.

  55. Transient Fads and the Crash of ’87, Journal of Applied Econometrics, (1996), Vol.11, 41-58. (with Myung-Jig Kim).

  56. Predicting Business Cycle Phases with Indexes of Leading and Coincident Economic Indicators: A Multivariate Regime-Shift Approach, Journal of Economic Theory and Econometrics, (1996), Vol. 2, No. 2, 1-27.

  57. Dynamic Linear Models with Markov-Switching, Journal of Econometrics, (1994), Vol. 60, 1-22.

  58. Unobserved-Component Time-Series Models with Markov-Switching Heteroskedasticity: Changes in Regime and the Link Between Inflation Rates and Inflation Uncertainty, Journal of Business and Economic Statistics, (1993), Vol. 11, 341-349.

  59. Sources of Monetary Growth Uncertainty and Economic Activity: The Time- Varying-Parameter Model with Heteroskedastic Disturbances, Review of Economics and Statistics, (1993), Vol. 75, 483–492.

  60. The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis, Journal of Business and Economic Statistics, (1989), Vol. 7, 433–440. (with Charles R. Nelson).

 

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