Yoosoon Chang

Indiana University Bloomington - Department of Economics

Wylie Hall

Bloomington, IN 47405-6620

United States

SCHOLARLY PAPERS

8

DOWNLOADS

782

SSRN CITATIONS

34

CROSSREF CITATIONS

29

Scholarly Papers (8)

1.

Evaluating Factor Pricing Models Using High Frequency Panels

Quantitative Economics: Journal of the Econometric Society, Forthcoming, Mays Business School Research Paper No. 2012-37
Number of pages: 53 Posted: 09 Feb 2011 Last Revised: 11 Nov 2015
Yoosoon Chang, Yongok Choi, Hwagyun Kim and Joon Y. Park
Indiana University Bloomington - Department of Economics, Korea Development Institute (KDI) (Retired), Texas A&M University - Mays Business School and Texas A&M University
Downloads 326 (127,261)
Citation 6

Abstract:

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Panel, High-Frequency, Time Change, Realized Variance, Fame-French

Origins of Monetary Policy Shifts: A New Approach to Regime Switching in DSGE Models

CAEPR Working Paper Series 2018-011
Number of pages: 41 Posted: 16 Dec 2018 Last Revised: 04 Mar 2021
Yoosoon Chang, Junior Maih and Tan Fei
Indiana University Bloomington - Department of Economics, Norges Bank and Zhejiang University - College of Economics
Downloads 108 (338,279)

Abstract:

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Monetary policy, DSGE model, regime switching, latent autoregressive regime factor, endogenous feedback, expectation formation effects

Origins of Monetary Policy Shifts: A New Approach to Regime Switching in DSGE Models

Norges Bank Working Paper 12/2018; ISBN 978-82-8379-059-7
Number of pages: 40 Posted: 15 Feb 2019 Last Revised: 22 Feb 2021
Yoosoon Chang, Junior Maih and Fei Tan
Indiana University Bloomington - Department of Economics, Norges Bank and Saint Louis University
Downloads 81 (406,716)
Citation 10

Abstract:

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state space model; regime switching; endogenous feedback; filtering; DSGE model

3.

Nonlinear Instrumental Variable Estimation of an Autoregression

Number of pages: 31 Posted: 14 Oct 2001
Peter C. B. Phillips, Joon Park and Yoosoon Chang
Yale University - Cowles Foundation, Seoul National University and Indiana University Bloomington - Department of Economics
Downloads 148 (266,273)
Citation 1

Abstract:

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Cauchy Estimator, Instrumental Variable Autoregression, Nonlinear Instruments, Sojourn Time, Unit Root

4.

U.S. Monetary-Fiscal Regime Changes in the Presence of Endogenous Feedback in Policy Rules

CAEPR Working Paper 2017-016
Number of pages: 54 Posted: 05 Dec 2017
Yoosoon Chang and Boreum Kwak
Indiana University Bloomington - Department of Economics and Martin Luther University of Halle-Wittenberg
Downloads 52 (503,842)
Citation 3

Abstract:

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Monetary and Fiscal Policy Interactions, Endogenous Regime Switching, Adaptive LASSO, Time-Varying Coefficient VAR, Factor Augmented VAR

5.

State Space Models With Endogenous Regime Switching

CAEPR Working Paper 2018-012
Number of pages: 26 Posted: 16 Feb 2021 Last Revised: 10 Mar 2021
Yoosoon Chang, Fei Tan and Xin Wei
Indiana University Bloomington - Department of Economics, Saint Louis University and Indiana University Bloomington - Department of Economics
Downloads 37 (574,540)

Abstract:

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State Space Models With Endogenous Regime Switching

6.

Understanding Regressions with Observations Collected at High Frequency over Long Span

CAEPR WORKING PAPER SERIES 2019-001
Number of pages: 37 Posted: 19 Feb 2019
Yoosoon Chang, Ye Lu and Joon Park
Indiana University Bloomington - Department of Economics, The University of Sydney - School of Economics and Indiana University Bloomington - Department of Economics
Downloads 18 (698,479)

Abstract:

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high frequency regression, spurious regression, continuous time model, asymptotics, longrun variance estimation

7.

A Sieve Bootstrap for the Test of a Unit Root

Number of pages: 22 Posted: 25 Sep 2003
Yoosoon Chang and Joon Park
Indiana University Bloomington - Department of Economics and Seoul National University
Downloads 12 (747,596)
Citation 3

Abstract:

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Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Working Paper No. 1245
Posted: 03 May 2000
Yoosoon Chang, Joon Park and Peter C. B. Phillips
Indiana University Bloomington - Department of Economics, Seoul National University and Yale University - Cowles Foundation

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Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Posted: 04 Sep 2001
Yoosoon Chang, Joon Park and Peter C. B. Phillips
Indiana University Bloomington - Department of Economics, Seoul National University and Yale University - Cowles Foundation

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Nonlinear regressions, Integrated time series, Nonlinear least squares, Brownian motion, Brownian local time