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

37

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CITATIONS
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205

Scholarly Papers (37)

Minimum Distance Estimation of Nonstationary Time Series Models

USC CLEO Research Paper No. C02-2
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 166 (177,306)

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

Minimum Distance Estimation of Nonstationary Time Series Models

PIER Working Paper No. 01-016
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 123 (226,751)
Citation 5

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

2.
Downloads 278 (107,943)
Citation 123

Testing for a Unit Root in Panels with Dynamic Factors

USC CLEO Research Paper No. C01-26
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 175 (169,249)
Citation 8

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Testing for a Unit Root in Panels with Dynamic Factors

USC CLEO Research Paper No. C03-9
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 103 (258,149)
Citation 126

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3.

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

USC CLEO Research Paper No. C01-20
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 262 (114,871)
Citation 6

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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
Board of Governors of the Federal Reserve System, University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 247 (122,040)

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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 197 (151,916)
Citation 1

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

6.

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 188 (158,571)
Citation 20

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

7.

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 170 (173,529)
Citation 4

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

8.

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 169 (174,435)
Citation 13

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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
Benjamin J. Gillen, Sergio Montero, Hyungsik Roger Moon and Matthew Shum
Claremont McKenna College - Robert Day School of Economics and Finance, California Institute of Technology, University of Southern California - Department of Economics and California Institute of Technology
Downloads 94 (274,458)
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
Benjamin J. Gillen, Sergio Montero, Hyungsik Roger Moon and Matthew Shum
Claremont McKenna College - Robert Day School of Economics and Finance, California Institute of Technology, University of Southern California - Department of Economics and California Institute of Technology
Downloads 62 (350,890)
Citation 2

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

10.

GMM Estimation of Autoregressive Roots Near Unity with Panel Data

Cowles Foundation Discussion Paper No. 1390; USC CLEO Research Paper No. C02-27
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 149 (194,019)
Citation 35

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

11.

A Note on the Nonstationary Binary Choice Logit Model

USC CLEO Research Paper No. C02-3
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 143 (200,581)
Citation 2

Abstract:

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Binary choice model, nonstationary covariates

12.

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 134 (211,303)
Citation 5

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Peer Effects, Endogenous Network, Sieve Estimation, Control Function

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 128 (219,092)
Citation 3

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Dynamic Panel Regression, Measurement Error, Many IVs, JIVE

14.

Maximum Score Estimation of a Nonstationary Binary Choice Model

USC CLEO Research Paper No. C03-15
Number of pages: 18 Posted: 21 Jul 2003
Hyungsik Roger Moon
University of Southern California - Department of Economics
Downloads 97 (266,912)
Citation 3

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Maximum Score Estimation, Binary Choice, Nonstationary Explanatory Variables

15.

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
Board of Governors of the Federal Reserve System, University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Downloads 93 (274,345)

Abstract:

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

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
Eleanor Choi, Hyungsik Roger Moon and Geert Ridder
Hanyang University, University of Southern California - Department of Economics and University of Southern California
Downloads 89 (282,027)

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

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 69 (331,361)
Citation 3

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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 (532,287)
Citation 13
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Empirical likelihood estimation, generalized method of movements, inequality moment conditions, instrumental variable estimation, monetary policy rules

18.

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 85 (290,288)
Citation 19

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

19.

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 84 (292,375)

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

20.

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

USC CLEO Research Paper No. C03-10
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 82 (296,685)
Citation 6

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21.

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 80 (301,043)
Citation 8

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22.

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 70 (324,939)
Citation 11

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23.

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 62 (346,207)

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

24.

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 46 (396,784)
Citation 2

Abstract:

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25.

Demand Estimation with High-Dimensional Product Characteristics

Advances in Econometrics, Volume 34, 301-323, 2014
Number of pages: 23 Posted: 09 Dec 2015
Benjamin J. Gillen, Matthew Shum and Hyungsik Roger Moon
Claremont McKenna College - Robert Day School of Economics and Finance, California Institute of Technology and University of Southern California - Department of Economics
Downloads 44 (403,867)

Abstract:

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26.
Downloads 42 (411,238)
Citation 1

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 21 (526,040)

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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 18 (545,182)

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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 (649,088)
Citation 1
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Bayesian Inference, Frequentist Inference, Partially Identified Models, Sign Restrictions, Structural VARs

27.

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 38 (426,707)

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

28.

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 37 (430,751)
Citation 1

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

29.

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 35 (438,916)
Citation 10

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

30.

Normal Approximation in Large Network Models

Number of pages: 196 Posted: 03 Jun 2019
Michael P. Leung and Hyungsik Roger Moon
University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 29 (465,771)

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social networks, network formation, network regression, network interference, objective method

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 26 (481,064)

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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 16 (557,942)
Citation 1

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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 10 (597,980)
Citation 3

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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 22 (503,160)
Citation 24

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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 12 (561,473)
Citation 2

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35.

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 (642,649)
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Gaussian graphical models, Graphs, Inverse covariance matrices, LASSO, Networks, Sparsity

36.

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 (660,893)
Citation 2
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Bias correction, Incidental trends, Long‐run variance, Point‐optimal test, Serial dependence

37.

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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