Jonathan B. Hill

University of North Carolina (UNC) at Chapel Hill – Department of Economics

Professor of Economics

102 Ridge Road

Chapel Hill, NC NC 27514

United States

  • University of North Carolina (UNC) at Chapel Hill – Department of Economics

SCHOLARLY PAPERS

20

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2,036

TOTAL CITATIONS
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Top 19,678

in Total Papers Citations

54

Scholarly Papers (20)

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1.

Testing a Large Set of Zero Restrictions in Regression Models, with an Application to Mixed Frequency Granger Causality

Number of pages: 38 Posted: 12 Jun 2015 Last Revised: 11 Nov 2019
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill – Department of Economics and Kobe University - Graduate School of Economics
Downloads 346 (174,960)
Citation 7

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dimension reduction, Granger causality test, max test, Mixed Data Sampling (MIDAS), parsimonious regression models

2.

Testing for Granger Causality with Mixed Frequency Data

Downloads 315 (193,480)
Citation 9

Testing for Granger Causality with Mixed Frequency Data

Number of pages: 58 Posted: 14 Jul 2014 Last Revised: 14 Jul 2015
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill – Department of Economics and Kobe University - Graduate School of Economics
Downloads 313 (193,323)
Citation 3

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Granger causality test, Local asymptotic power, Mixed Data Sampling (MIDAS), Temporal aggregation, Vector autoregression (VAR)

Testing for Granger Causality with Mixed Frequency Data

CEPR Discussion Paper No. DP9655
Number of pages: 44 Posted: 24 Sep 2013
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill – Department of Economics and Kobe University - Graduate School of Economics
Downloads 2 (1,285,857)
Citation 6
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Granger causality, mixed data sampling (MIDAS), temporal aggression, vector autoregression (VAR)

3.

Testing the White Noise Hypothesis of Stock Returns

Number of pages: 25 Posted: 18 Jul 2017 Last Revised: 07 Aug 2018
Jonathan B. Hill and Kaiji Motegi
University of North Carolina (UNC) at Chapel Hill – Department of Economics and Kobe University - Graduate School of Economics
Downloads 244 (251,523)
Citation 1

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Blockwise wild bootstrap, Randomized block size, Serial correlation, Weak form efficiency, White noise test.

4.

Robust M-Estimation for Heavy Tailed Nonlinear AR-GARCH

Number of pages: 54 Posted: 10 Jun 2011 Last Revised: 11 Jan 2012
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 134 (427,482)
Citation 2

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M-estimation, heavy tails, nonlinear AR-GARCH, tail trimming, robust inference

5.

Heavy-Tail and Plug-In Robust Consistent Conditional Moment Tests of Functional Form

Number of pages: 36 Posted: 22 Aug 2011 Last Revised: 18 May 2012
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 92 (561,450)
Citation 7

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conditional moment test, tail trimming, heavy tails

6.

A Max-Correlation White Noise Test for Weakly Dependent Time Series

Number of pages: 49 Posted: 14 Feb 2016 Last Revised: 12 Aug 2019
Jonathan B. Hill and Kaiji Motegi
University of North Carolina (UNC) at Chapel Hill – Department of Economics and Kobe University - Graduate School of Economics
Downloads 87 (581,147)
Citation 3

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dependent wild bootstrap, maximum correlation, near epoch dependence, white noise test

7.

Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series

Number of pages: 47 Posted: 23 Jun 2012 Last Revised: 14 May 2013
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 86 (585,188)
Citation 4

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Expected Shortfall, heavy tails, robust estimation, bias correction

8.

Robust Score and Portmanteau Tests of Volatility Spillover

Number of pages: 49 Posted: 12 Feb 2012 Last Revised: 14 May 2013
Mike Aguilar and Jonathan B. Hill
Duke University and University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 84 (593,552)

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volatility spillover, heavy tails, tail trimming, robust inference

9.

Tail Index Estimation for a Filtered Dependent Time Series

Number of pages: 21 Posted: 15 Jul 2012 Last Revised: 18 Jan 2015
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 83 (597,849)
Citation 3

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tail index estimation, regression residuals, GARCH filter, weak dependence

10.

Robust Estimation and Inference for Heavy Tailed Nonlinear GARCH

Number of pages: 37 Posted: 12 Jan 2012
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 79 (615,275)
Citation 3

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11.

Moment Condition Tests for Heavy-Tailed Time Series

Number of pages: 37 Posted: 30 Jun 2011 Last Revised: 17 Oct 2011
Jonathan B. Hill and Mike Aguilar
University of North Carolina (UNC) at Chapel Hill – Department of Economics and Duke University
Downloads 72 (646,996)
Citation 2

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moment condition test, heavy tails, tail trimming, robust inference

12.

Robust Estimation for Average Treatment Effects

Number of pages: 42 Posted: 05 May 2013 Last Revised: 06 May 2013
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 60 (708,599)
Citation 4

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13.

Least Tail-Trimmed Squares for Infinite Variance Autoregressions

Number of pages: 26 Posted: 15 May 2012
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 50 (769,145)

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14.

GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference

Number of pages: 30 Posted: 08 Oct 2011 Last Revised: 15 Jul 2013
Jonathan B. Hill and Artem Prokhorov
University of North Carolina (UNC) at Chapel Hill – Department of Economics and Concordia University, Quebec - Department of Economics
Downloads 48 (782,538)

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GEL, GARCH, tail trimming, heavy tails, robust inference, efficient moment estimation

15.

Consistent GMM Residuals-Based Tests of Functional Form

Number of pages: 17 Posted: 13 Jul 2011
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 48 (782,538)
Citation 1

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consistent test; conditional moment test; nonlinear model; GMM

16.

Robust Estimation and Inference for Heavy Tailed GARCH

Number of pages: 43 Posted: 22 Oct 2013 Last Revised: 18 Feb 2014
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 47 (789,299)
Citation 3

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17.

A Smoothed P-Value Test When There is a Nuisance Parameter under the Alternative

Number of pages: 38 Posted: 06 Oct 2013 Last Revised: 03 Nov 2015
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 47 (789,299)

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p-value test, empirical process test, nuisance parameter, weighted average power, GARCH test, omitted nonlinearity test

18.

Robust Generalized Empirical Likelihood for Heavy Tailed Autoregressions with Conditionally Heteroscedastic Errors

Number of pages: 35 Posted: 08 Feb 2013 Last Revised: 18 Jan 2015
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 43 (818,086)
Citation 4

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Empirical Likelihood, autoregression, tail trimming, tail estimation

19.

Inference When There is a Nuisance Parameter under the Alternative and Some Parameters are Possibly Weakly Identified

Number of pages: 48 Posted: 06 Nov 2018
Jonathan B. Hill
University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 36 (873,202)
Citation 1

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weak identification, nuisance parameters, bootstrap test, nonlinear model

20.

Parameter Estimation Robust to Low-Frequency Contamination

Number of pages: 28 Posted: 08 Jul 2016
Adam McCloskey and Jonathan B. Hill
University of Colorado at Boulder - Department of Economics and University of North Carolina (UNC) at Chapel Hill – Department of Economics
Downloads 35 (881,892)

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frequency domain estimation, robust estimation, spurious persistence, level shifts, structural change, deterministic trends, ARMA, stochastic volatility, GARCH