Home | Jungbin Hwang | Department of Economics

Research Interests : Econometrics Theory and Applied Econometrics

Robust inference for GMM and quantile regression involving dependent data, including time series, cross-sectional, and panel
Robust inference for persistent (non-stationary) data, investigating linear and non-linear cointegration relationships, and (quantile) predictability of stock and bond returns
Robust inference for time series (quantile) regressions where regressors are extracted from large datasets
(Quasi-) Bayesian approaches for non-parametric and non-smooth time series regressions
Applied econometrics and causal analysis of energy markets, sports markets, bond markets, financial risk, environmental data, and country panels

Working Papers

HAR Inference for Quantile Regression in Time Series (with Gonzalo Valdés) [Paper] Submitted
Across the Grid: How Generation Entry Shapes Congestion and Locational Price Dispersion (with Harim Kim) [Paper] Submitted
Higher-order Accuracy of HAR Inference and Testing-Oriented Smoothing Parameter for Over-identified GMM (with Gonzalo Valdés) Submitted
Asymptotic F and t Tests in Cointegrating Regressions with Asymptotically Homogeneous Functions (with Yixiao Sun) [Paper] R&R, Journal of Business & Economic Statistics
Central Limit Theorem for Fixed Number of Large-sized Clusters (with Gonzalo Valdés) [Paper] R&R, Economic Letters
Sieve Bootstrap Approach to Robust Term Premia Analysis (with Feifan Wang) [Paper] R&R, Journal of Empirical Finance
Effect of Anthem Protests on NFL Attendance (with Oskar Harmon) [Paper] R&R, Southern Economic Journal

Publications

Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence (with Gonzalo Valdés)

Journal of Business & Economic Statistics (2024), 42(1), 160-173 [Paper Link]
Finite-sample Corrected Inference for Two-step GMM in Time Series (with Gonzalo Valdés)

Journal of Econometrics (2023), 234(1), 327-352 [Paper Link]
A Doubly Corrected Robust Variance Estimator for Linear GMM (with Byunghoon Kang and Seojeong Jay Lee)
Journal of Econometrics (2022), 229(2), 276-298 [Paper Link]
Simple and Trustworthy Cluster-Robust GMM Inference

Journal of Econometrics (2021), 222(2), 993-1023 [Paper link, Long version]
Religiosity: Identifying the Effect of Pluralism (with Metin Cosgel, Thomas J. Miceli and Sadullah Yıldırım)
Journal of Economic Behavior & Organization (2019), 158, 219-235. [Paper link]
Should We Go One Step Further? An Accurate Comparison of One-step and Two-step Procedures in a Generalized Method of Moments Framework (with Yixiao Sun)
Journal of Econometrics (2018), 207(2), 381-405. [Paper link]
Simple, Robust, and Accurate F and t Tests in Cointegrated Systems (with Yixiao Sun)
Lead article at Econometric Theory (2018), Vol 34, Issue 5, 949-984 [Paper link]
Asymptotic F and t Tests in an Efficient GMM Setting (with Yixiao Sun)
Journal of Econometrics 198, no. 2 (2017): 277-295 [Paper link] [Erratum]
Extreme risk spillover in financial markets: Evidence from the recent financial crisis (with Jae-Young Kim)
Seoul Journal of Economics, 28, (2015): 171-198.

Teaching Experience at UConn – Total 12 preps (subjects) since Fall 2016

ECON 2311: Undergraduate Econometrics I [Syllabus]
ECON 2312Q: Undergraduate Econometrics II
ECON 3313: Undergraduate Elementary Economic Forecasting
ECON 6310: Ph.D. Econometrics I [Syllabus]
ECON 6311: Ph.D. Econometrics II
ECON 6498: Ph.D. Topics in Econometrics
- Asymptotic theory on series and sieve estimations [Syllabus Fall 2018 (Half semester)]
- Edgeworth expansion and asymptotic refinements on bootstrap method [Fall 2019 (Half semester)]
- Double machine learning for causal inference [Fall 2020 (Half semester)]
- Asymptotic theory on LASSO methods [Fall 2021 (Half semester)]

ECON 5318: (MSQE) Panel Data Econometrics [Syllabus]
ECON 5311: (MSQE) Econometrics I [Syllabus]
ECON 5312: (MSQE) Econometrics II [Syllabus]

Jungbin Hwang, Ph.D. (Economics)