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Author: Myung Hwan Seo
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Yoici Arai, Taisuke Otsu and Myung Hwan Seo
7 January 2019
Javier Hidalgo, Jungyoon Lee and Myung Hwan Seo
This paper is concerned with inference in regression models with either a kink or a jump at an unknown threshold, particularly when we do not know whether the kink or jump is the true specification. One of our main resu...Read more...
13 February 2017
Myung Hwan Seo and Yongcheol Shin
This paper addresses an important and challenging issue as how best to model nonlinear asymmetric dynamics and cross-sectional heterogeneity, simultaneously, in the dynamic threshold panel data framework, in which both t...Read more...
1 September 2014
Myung Hwan Seo and Taisuke Otsu
Abstract. Since Manski's (1975) seminal work, the maximum score method for discrete choice models has been applied to various econometric problems. Kim and Pollard (1990) established the cube root asymptotics for the max...Read more...
Revised August 2014
Javier Hidalgo and Myung Hwan Seo
We consider an omnibus test for the correct speci…cation of the dynamics of a sequence fx (t)gt2Zd in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the e...Read more...
15 May 2013
The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any arti…cial choice of the possible location of the break. In order to prove t...Read more...
1 September 2012
Myung Hwan Seo
Asymptotic inference in nonlinear vector error correction models (VECM) that exhibit regime-specific short-run dynamics is nonstandard and complicated. This paper contributes the literature in several important ways. Fir...Read more...