Hyungsik Roger Moon

University of Southern California - Department of Economics

Professor of Economics

KAP 300

Los Angeles, CA 90089-0253

United States

USC Dornsife Institute for New Economic Thinking

3620 S. Vermont Avenue, KAP 364F

Los Angeles, CA 90089-0253

United States

SCHOLARLY PAPERS

39

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171

CROSSREF CITATIONS

125

Scholarly Papers (39)

Minimum Distance Estimation of Nonstationary Time Series Models

Number of pages: 32 Posted: 11 Feb 2002
Hyungsik Roger Moon and Frank Schorfheide
University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 167 (199,589)

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Minimum Distance Estimator, Nonlinear Parameter Restriction, Random Limit Weight Matrix

Minimum Distance Estimation of Nonstationary Time Series Models

Number of pages: 37 Posted: 02 May 2001
Hyungsik Roger Moon and Frank Schorfheide
University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 124 (254,590)

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Minimum Distance Estimator, Nonlinear Parameter Restriction, Random Limit Weight Matrix

2.
Downloads 287 (118,965)
Citation 44

Testing for a Unit Root in Panels with Dynamic Factors

Number of pages: 113 Posted: 26 May 2003
Hyungsik Roger Moon and Benoit Perron
University of Southern California - Department of Economics and University of Montreal - Department of Economics
Downloads 180 (186,827)
Citation 7

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Testing for a Unit Root in Panels with Dynamic Factors

Number of pages: 42 Posted: 30 Apr 2003
Hyungsik Roger Moon and Benoit Perron
University of Southern California - Department of Economics and University of Montreal - Department of Economics
Downloads 107 (283,487)
Citation 40

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3.

Large-N and Large-T Properties of Panel Data Estimators and The Hausman Test

Number of pages: 66 Posted: 20 Sep 2001
Seung C. Ahn and Hyungsik Roger Moon
Arizona State University (ASU) - Economics Department and University of Southern California - Department of Economics
Downloads 270 (126,876)
Citation 5

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4.

Forecasting with Dynamic Panel Data Models

PIER Working Paper No. 16022
Number of pages: 95 Posted: 23 Dec 2016
Laura Liu, Hyungsik Roger Moon and Frank Schorfheide
Indiana University Bloomington - Department of Economics, University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 263 (130,392)
Citation 1

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Bank Stress Tests, Empirical Bayes, Forecasting, Panel Data, Ratio Optimality, Tweedies Formula

5.

Estimation of Random Coefficients Logit Demand Models with Interactive Fixed Effects

USC-INET Research Paper No. 17-10
Number of pages: 57 Posted: 31 Mar 2017
Hyungsik Roger Moon, Matthew Shum and Martin Weidner
University of Southern California - Department of Economics, California Institute of Technology and University College London - Department of Economics
Downloads 222 (154,068)
Citation 4

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Discrete-Choice Demand Model, Interactive Fixed Effects, Factor Analysis, Panel Data, Random Utility Model.

BLP-Lasso for Aggregate Discrete Choice Models of Elections with Rich Demographic Covariates

USC-INET Research Paper No. 15-27
Number of pages: 61 Posted: 16 Dec 2015
Ben Gillen, Sergio Montero, Hyungsik Roger Moon and Matthew Shum
Claremont Colleges, Claremont McKenna College, Robert Day School of Economics and Finance, Students, California Institute of Technology, University of Southern California - Department of Economics and California Institute of Technology
Downloads 114 (270,915)
Citation 2

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Demand estimation, Elections, Post-model selection inference, Lasso, Big data

BLP-LASSO for Aggregate Discrete Choice Models with Rich Covariates

Number of pages: 32 Posted: 10 Dec 2015 Last Revised: 15 Oct 2018
Ben Gillen, Sergio Montero, Hyungsik Roger Moon and Matthew Shum
Claremont Colleges, Claremont McKenna College, Robert Day School of Economics and Finance, Students, California Institute of Technology, University of Southern California - Department of Economics and California Institute of Technology
Downloads 93 (311,766)
Citation 3

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Random-coefficients logit model, High-dimensional regressors, LASSO, Elections, Machine Learning, Big data

7.

Dynamic Linear Panel Regression Models with Interactive Fixed Effects

USC-INET Research Paper No. 15-02
Number of pages: 101 Posted: 11 Jan 2015
Hyungsik Roger Moon and Martin Weidner
University of Southern California - Department of Economics and University College London - Department of Economics
Downloads 200 (169,907)
Citation 11

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8.

Incidental Trends and the Power of Panel Unit Root Tests

Cowles Foundation Discussion Paper No. 1435, USC CLEO Research Paper No. C03-17, IEPR Working Paper No. 05-38
Number of pages: 64 Posted: 05 Sep 2003
Hyungsik Roger Moon, Benoit Perron and Peter C. B. Phillips
University of Southern California - Department of Economics, University of Montreal - Department of Economics and Yale University - Cowles Foundation
Downloads 191 (177,198)
Citation 16

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Asymptotic power envelope, common point, optimal test, heterogeneous alternatives, incidental trends, local to unity, power function, panel unit root test

9.

Long-Horizon Regressions When the Predictor is Slowly Varying

Number of pages: 52 Posted: 18 Jul 2004
Hyungsik Roger Moon, Antonio Rubia Serrano and Rossen I. Valkanov
University of Southern California - Department of Economics, University of Alicante, Department of Financial Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 177 (189,619)
Citation 6

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Return predictability, long-horizon regressions, near unit root, local-to-zero variance

10.

Estimation of Peer Effects in Endogenous Social Networks: Control Function Approach

USC-INET Research Paper No. 17-25
Number of pages: 76 Posted: 27 Sep 2017
Ida Johnsson and Hyungsik Roger Moon
University of Southern California, Department of Economics, Students and University of Southern California - Department of Economics
Downloads 152 (215,936)
Citation 12

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Peer Effects, Endogenous Network, Sieve Estimation, Control Function

11.

GMM Estimation of Autoregressive Roots Near Unity with Panel Data

Number of pages: 63 Posted: 21 Nov 2002
Hyungsik Roger Moon and Peter C. B. Phillips
University of Southern California - Department of Economics and Yale University - Cowles Foundation
Downloads 152 (215,936)
Citation 5

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Bias, Boundary Point Asymptotics, GMM Estimation, Local to Unity, Moment Conditions, Nuisance Parameters, Panel Data, Pooled Regression, Projected Score

12.

A Note on the Nonstationary Binary Choice Logit Model

Number of pages: 6 Posted: 11 Feb 2002
Emmanuel Guerre and Hyungsik Roger Moon
University of Paris VI Pierre et Marie Curie and University of Southern California - Department of Economics
Downloads 145 (224,375)

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Binary choice model, nonstationary covariates

13.

Many IVs Estimation of Dynamic Panel Regression Models with Measurement Error

USC-INET Research Paper No. 15-20
Number of pages: 61 Posted: 08 Aug 2015
Nayoung Lee, Hyungsik Roger Moon and Qiankun Zhou
Seoul National University, University of Southern California - Department of Economics and Binghamton University
Downloads 131 (243,176)
Citation 4

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Dynamic Panel Regression, Measurement Error, Many IVs, JIVE

14.

Forecasting with Dynamic Pane Data Models

USC-INET Research Paper No. 17-02
Number of pages: 95 Posted: 31 Jan 2017
Laura Liu, Hyungsik Roger Moon and Frank Schorfheide
Indiana University Bloomington - Department of Economics, University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 104 (287,566)

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Bank Stress Tests, Empirical Bayes, Forecasting, Panel Data, Ratio Optimality, Tweedies Formula

15.

Maximum Score Estimation of a Nonstationary Binary Choice Model

Number of pages: 18 Posted: 21 Jul 2003
Hyungsik Roger Moon
University of Southern California - Department of Economics
Downloads 101 (293,313)
Citation 1

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Maximum Score Estimation, Binary Choice, Nonstationary Explanatory Variables

16.

Within-District School Lotteries, District Selection, and the Average Partial Effects of School Inputs

USC-INET Research Paper No. 17-11
Number of pages: 56 Posted: 31 Mar 2017 Last Revised: 29 Aug 2019
Eleanor Jawon Choi, Hyungsik Roger Moon and Geert Ridder
Hanyang University, University of Southern California - Department of Economics and University of Southern California
Downloads 100 (295,272)

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Average Partial Effect, Within-District School Lotteries, Selection, Treatment Effect Heterogeneity, Education Production.

Estimating the Gains from New Rail Transit Investment: A Machine Learning Tree Approach

USC-INET Research Paper No. 17-14
Number of pages: 50 Posted: 27 Apr 2017
Seungwoo Chin, Matthew E. Kahn and Hyungsik Roger Moon
Ministry of Economy and Finance, Sejong Government Complex, University of Southern California and University of Southern California - Department of Economics
Downloads 95 (307,393)

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Real Estate Pricing, Transit Investment, Seoul, Supervised Machine Learning

Estimating the Gains from New Rail Transit Investment: A Machine Learning Tree Approach

Real Estate Economics, Vol. 48, Issue 3, pp. 886-914, 2020
Number of pages: 29 Posted: 18 Sep 2020
Seungwoo Chin, Matthew E. Kahn and Hyungsik Roger Moon
Ministry of Economy and Finance, Sejong Government Complex, University of Southern California and University of Southern California - Department of Economics
Downloads 1 (757,053)
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Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions

IEPR Working Paper No. 06.56
Number of pages: 54 Posted: 03 Jan 2007
Hyungsik Roger Moon and Frank Schorfheide
University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 73 (361,622)
Citation 6

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Empirical Likelihood Estimation, Generalized Method of Moments, Inequality Moment Conditions, Instrumental Variable Estimation, Monetary Policy Rules

Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions

CEPR Discussion Paper No. 5605
Number of pages: 54 Posted: 05 Jul 2006
Hyungsik Roger Moon and Frank Schorfheide
University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 20 (598,648)
Citation 2
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Empirical likelihood estimation, generalized method of movements, inequality moment conditions, instrumental variable estimation, monetary policy rules

19.

Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects

USC-INET Research Paper No. 15-03
Number of pages: 104 Posted: 11 Jan 2015
Hyungsik Roger Moon and Martin Weidner
University of Southern California - Department of Economics and University College London - Department of Economics
Downloads 90 (315,686)
Citation 16

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Panel data, interactive fixed effects, factor models, perturbation theory of linear operators, random matrix theory

20.

An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors

IEPR Working Paper No. 05.35
Number of pages: 50 Posted: 16 Nov 2005
Hyungsik Roger Moon and Benoit Perron
University of Southern California - Department of Economics and University of Montreal - Department of Economics
Downloads 90 (315,686)
Citation 9

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21.

Appendix: Omitted Proofs of 'Testing for a Unit Root in Panels with Dynamic Factors'

Number of pages: 71 Posted: 29 Apr 2003
Hyungsik Roger Moon and Benoit Perron
University of Southern California - Department of Economics and University of Montreal - Department of Economics
Downloads 85 (327,229)
Citation 7

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22.

Estimation of Graphical Models with Shape Restriction

USC-INET Research Paper No. 17-15
Number of pages: 19 Posted: 27 Apr 2017 Last Revised: 23 May 2017
Khai Chiong and Hyungsik Roger Moon
University of Texas at Dallas - Naveen Jindal School of Management and University of Southern California - Department of Economics
Downloads 72 (360,405)

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Gaussian Graphical Models; Glasso; Inverse Covariance Matrices; Lasso; Precision matrices; Sparsity.

23.

Reducing Bias of Mle in a Dynamic Panel Model

IEPR Working Paper No. 05.36
Number of pages: 16 Posted: 25 Jan 2005
Jinyong Hahn and Hyungsik Roger Moon
affiliation not provided to SSRN and University of Southern California - Department of Economics
Downloads 72 (360,405)

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24.

Demand Estimation with High-Dimensional Product Characteristics

Advances in Econometrics, Volume 34, 301-323, 2014
Number of pages: 23 Posted: 09 Dec 2015
Ben Gillen, Matthew Shum and Hyungsik Roger Moon
Claremont Colleges, Claremont McKenna College, Robert Day School of Economics and Finance, Students, California Institute of Technology and University of Southern California - Department of Economics
Downloads 59 (399,458)

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25.

Normal Approximation in Large Network Models

Number of pages: 65 Posted: 03 Jun 2019 Last Revised: 15 Apr 2020
Michael P. Leung and Hyungsik Roger Moon
University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 57 (406,385)
Citation 3

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social networks, strategic interactions, weak dependence, network formation

26.

Specification Tests of Overidentifying Restrictions for Minimum Distance Estimation

Ewha Journal of Social Sciences, Vol. 29, No. 1, 2013
Number of pages: 12 Posted: 23 Mar 2015
Nayoung Lee and Hyungsik Roger Moon
The Chinese University of Hong Kong (CUHK) - Department of Economics and University of Southern California - Department of Economics
Downloads 52 (423,669)

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Minimum Distance, Overidentifying Restrictions, Specification Tests, J-Test, Newey’s Test, Simulation Test, Bootstrap Test

27.

A Study of a Semiparametric Binary Choice Model with Integrated Covariates

IEPR Working Paper No. 05.37
Number of pages: 18 Posted: 16 Nov 2005
Emmanuel Guerre and Hyungsik Roger Moon
University of Paris VI Pierre et Marie Curie and University of Southern California - Department of Economics
Downloads 49 (434,703)
Citation 1

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28.
Downloads 45 (450,277)
Citation 5

Inference for VARs Identified with Sign Restrictions

FRB of Philadelphia Working Paper No. 11-20
Number of pages: 68 Posted: 08 Jun 2011
Hyungsik Roger Moon, Frank Schorfheide, Eleonora Granziera and Mihye Lee
University of Southern California - Department of Economics, University of Pennsylvania - Department of Economics, Bank of Finland and University of Southern California - Department of Economics
Downloads 22 (584,454)

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Bayesian Inference, Frequentist Inference, Partially Identified Models, Sign Restrictions, Structural VARs

Inference for Vars Identified with Sign Restrictions

NBER Working Paper No. w17140
Number of pages: 50 Posted: 20 Jun 2011 Last Revised: 28 Jun 2011
Hyungsik Roger Moon, Frank Schorfheide, Eleonora Granziera and Mihye Lee
University of Southern California - Department of Economics, University of Pennsylvania - Department of Economics, Bank of Finland and University of Southern California - Department of Economics
Downloads 20 (598,648)

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Inference for Vars Identified with Sign Restrictions

CEPR Discussion Paper No. DP8432
Number of pages: 69 Posted: 16 Jun 2011
Eleonora Granziera, Mihye Lee, Hyungsik Roger Moon and Frank Schorfheide
Bank of Finland, University of Southern California - Department of Economics, University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 3 (731,312)
Citation 5
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Bayesian Inference, Frequentist Inference, Partially Identified Models, Sign Restrictions, Structural VARs

29.

LM Test of Neglected Correlated Random Effects and Its Application

USC-INET Research Paper No. 15-11
Number of pages: 33 Posted: 05 Mar 2015
Jinyong Hahn, Hyungsik Roger Moon and Connan Andrew Snider
affiliation not provided to SSRN, University of Southern California - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 42 (462,623)
Citation 2

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LM Test, Test of Overdispersion, Conditional Moment Restriction, Correlated Random Effects, Multiple Equilibria, Max-Min Optimality

30.

Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel

CIRANO - Scientific Publications No. 2011s-17
Posted: 15 Feb 2011
Hyungsik Roger Moon and Benoit Perron
University of Southern California - Department of Economics and University of Montreal - Department of Economics
Downloads 40 (471,219)
Citation 2

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False discovery rate, multiple testing, unit root tests, panel data

31.

Heterogeneous Income Profiles Model with Fixed Effects: Incorporating Health Shocks as an Application

USC-INET Research Paper No. 15-22
Number of pages: 37 Posted: 08 Aug 2015
Nayoung Lee and Hyungsik Roger Moon
The Chinese University of Hong Kong (CUHK) - Department of Economics and University of Southern California - Department of Economics
Downloads 30 (518,699)

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C33, D31, I10, J31

A Predictability Test for a Small Number of Nested Models

Number of pages: 32 Posted: 28 Mar 2012 Last Revised: 27 Oct 2016
Eleonora Granziera, Kirstin Hubrich and Hyungsik Roger Moon
Bank of Finland, Board of Governors of the Federal Reserve System and University of Southern California - Department of Economics
Downloads 18 (613,160)
Citation 2

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Out-of sample, point-forecast evaluation, multi-model comparison, predictive ability, direct multi-step forecasts, fixed regressors bootstrap

A Predictability Test for a Small Number of Nested Models

ECB Working Paper No. 1580
Number of pages: 36 Posted: 12 Sep 2013
Eleonora Granziera, Kirstin Hubrich and Hyungsik Roger Moon
Bank of Finland, Board of Governors of the Federal Reserve System and University of Southern California - Department of Economics
Downloads 12 (658,460)

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out-of sample, point-forecast evaluation, multi-model comparison, predictive ability, direct multi-step forecasts, fixed regressors bootstrap

33.

Bayesian and Frequentist Inference in Partially Identified Models

NBER Working Paper No. w14882
Number of pages: 36 Posted: 20 Apr 2009 Last Revised: 02 Apr 2015
Hyungsik Roger Moon and Frank Schorfheide
University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 23 (559,779)
Citation 2

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34.

Estimating the Gains from New Rail Transit Investment: A Machine Learning Tree Approach

NBER Working Paper No. w23326
Number of pages: 49 Posted: 17 Apr 2017
Seungwoo Chin, Matthew E. Kahn and Hyungsik Roger Moon
Ministry of Economy and Finance, Sejong Government Complex, University of Southern California and University of Southern California - Department of Economics
Downloads 14 (619,236)

Abstract:

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35.

Forecasting with a Panel Tobit Model

Number of pages: 58 Posted: 03 Jan 2020
Laura Liu, Hyungsik Roger Moon and Frank Schorfheide
Indiana University Bloomington - Department of Economics, University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 8 (662,088)

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Bayesian Inference, Density Forecasts, Interval Forecasts, Loan Charge-Offs, Panel Data, Point Forecasts, Set Forecasts, Tobit Model

36.

Estimation of Graphical Models Using the Norm

The Econometrics Journal, Vol. 21, Issue 3, pp. 247-263, 2018
Number of pages: 17 Posted: 03 Oct 2018
Khai Xiang Chiong and Hyungsik Roger Moon
University of Texas at Dallas and University of Southern California - Department of Economics
Downloads 1 (722,275)
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Gaussian graphical models, Graphs, Inverse covariance matrices, LASSO, Networks, Sparsity

37.

Panel Forecasts of Country-Level Covid-19 Infectionsliu

CEPR Discussion Paper No. DP14790
Number of pages: 29 Posted: 28 May 2020
Laura Liu, Hyungsik Roger Moon and Frank Schorfheide
Indiana University Bloomington - Department of Economics, University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 0 (740,335)
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Bayesian inference, COVID-19, Density forecasts, interval forecasts, panel data models, random effects, SIR model

38.

Point‐Optimal Panel Unit Root Tests with Serially Correlated Errors

The Econometrics Journal, Vol. 17, Issue 3, pp. 338-372, 2014
Number of pages: 35 Posted: 20 Oct 2014
Hyungsik Roger Moon, Benoit Perron and Peter C. B. Phillips
University of Southern California - Department of Economics, University of Montreal - Department of Economics and Yale University - Cowles Foundation
Downloads 0 (740,335)
Citation 1
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Bias correction, Incidental trends, Long‐run variance, Point‐optimal test, Serial dependence

39.

Maximum Likelihood Estimation in Panels with Incidental Trends

Working Paper No. 1246
Posted: 01 May 2000
Peter C. B. Phillips and Hyungsik Roger Moon
Yale University - Cowles Foundation and University of Southern California - Department of Economics

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