Yoon-Jin Lee

Kansas State University

Manhattan, KS 66506-4001

United States

SCHOLARLY PAPERS

2

DOWNLOADS

291

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Detecting Misspecifications in Autoregressive Conditional Duration Models

CAEPR Working Paper No. 2007-019
Number of pages: 33 Posted: 28 Sep 2007
Yongmiao Hong and Yoon-Jin Lee
Cornell University - Department of Economics and Kansas State University
Downloads 148 (239,356)

Abstract:

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Autoregressive Conditional Duration, Dispersion Clustering, Finite Sample Correction, Generalized Spectral Derivative, Nonlinear Time Series, Parameter Estimation Uncertainty, Wooldridge's Device

2.

Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes

Number of pages: 64 Posted: 09 Oct 2013 Last Revised: 28 Nov 2016
Yoon-Jin Lee, Ryo Okui and Mototsugu Shintani
Kansas State University, Seoul National University and Vanderbilt University - College of Arts and Science - Department of Economics
Downloads 143 (246,216)
Citation 3

Abstract:

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autoregressive sieve estimation, bias correction, double asymptotics, fixed effects estimator.