Professor Yongcheol Shin
Professor

Profile

Biography

• BA(HUFS)
• MA(HUFS)
• PhD(Michigan State)

Departmental roles

• Member of Graduate Admissions Panel

Research

Overview

My current research covers a number of distinct areas of both applied and theoretical econometrics: a partially-heterogeneous panel data approach to asset (factor) pricing models; the forecast evaluation of inflation, output growth, exchange rates and stock prices using the multivariate cointegrating VAR models and the semi-parametric functional autoregression; the nonlinear ARDL-based error correction modeling in time series and dynamic panels; the dynamic quantile regression modeling of cointegration; the nonlinear panel data modeling with local averaging and cross-section dependences; the regime-switching two-period generalized ECM with an application to the limits to arbitrage. Most of these works being carried out and to be completed in near future would hopefully provide useful techniques, and thus will be of widespread applicability in Economics and Finance. I hope that these researches would help to uncover various important and complicated issues surrounding the equilibrium theories of empirical finance, macroeconomics and international trade.

Publications

Selected publications

Full details of publications can be found at RePEc

"Trade, Technology and Wage Inequality in the South African Manufacturing" with J. Fedderke and P. Vaze, forthcoming in Oxford Bulletin of Economics and Statistics

"Probabilistic Forecasting of Output Growth, Inflation and the Balance of Trade in a GVAR Framework" With M. Greenwood-Nimmo and V. H. Nguyen, forthcoming in Journal of Applied Econometrics

"Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model" with G. Kapetanios, forthcoming in Econometrics Review 30, 620-645 (2011)

"The Cointgerating VAR Modelling Approach to the Korean Macroeconomy in the presence of Structural Breaks." The Korean Journal of Economics, 16:175-241 (2009)

"Optimal Test for Markov Switching GARCH Models" with L. Hu. Studies in Nonlinear Dynamics and Econometrics Vol. 12: No. 3, Article 3. (2008)

"GLS Detrending-based Unit Root Tests in Nonlinear STAR and SETAR Models" with G. Kapetanios. Economics Letters 100, 377-380 (2008)

"Comments on Panel Data Analysis - Advantages and Challenges by C. Hsiao,” Test 16, 52-55 (2007)

"Gravity Models of EU Trade: Application of the Hausman-Taylor Estimation in Heterogeneous Panels with Time-specific Common Factors," with L. Serlenga. Journal of Applied Econometrics 22, 361-381 (2007)

"Global and National Macroeconometric Modelling: A Long Runs Structural Approach", with A. Garratt, K. Lee and M.H. Pesaran. Econometric Monograph, OUP (2006)

"Unit Root Tests in Three-regime SETAR Models," with G. Kapetanios. The Econometrics Journal 9, 252-278 (2006)

"Mean Group Tests for Stationarity in Heterogeneous Panels," with A. Snell. The Econometrics Journal  9, 123-158 (2006)

"Testing for Cointegration in Nonlinear Smooth Transition Error Correction Models," with G. Kapetanios and A. Snell. Econometric Theory 22, 279-303 (2006)

Teaching

Postgraduate

• Applied Econometrics for Research (PhD module)
• Project
• Time Series
• Topics in Financial Econometrics