Chirok Han
Korea University · 経済学
研究室紹介
Professor Chirok Han's research lab specializes in econometric theory and applied microeconometrics, with a focus on panel data models, dynamic econometric methods, and estimation under weak identification. The lab develops robust statistical procedures for models with incidental parameters, many instruments, or near-unit root dynamics, emphasizing consistency, finite-sample performance, and practical implementation. Current work also extends to macroeconomic issues such as current account imbalances, particularly in the context of demographic transitions and long-term economic sustainability. The lab bridges theoretical econometrics with real-world policy-relevant applications, especially in emerging and advanced economies.
Research Overview
Research Output Trend
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Selected Papers
15This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number of moment conditions is allowed to increase with the sample size and the moment conditions may be weak. Examples in which these asymptotics are relevant include instrumental variable (IV) estimation with many (possibly weak or uninformed) instruments and some panel data models that cover moderate time spans and have correspondingly large numbers of instruments. Under certain reg
This paper introduces a new estimation method for dynamic panel models with fixed effects and AR( p ) idiosyncratic errors. The proposed estimator uses a novel form of systematic differencing, called X-differencing, that eliminates fixed effects and retains information and signal strength in cases where there is a root at or near unity. The resulting “panel fully aggregated” estimator (PFAE) is obtained by pooled least squares on the system of X-differenced equations. The method is simple to imp
This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and incidental trends. A simple consistent GMM estimation method is proposed that avoids the weak moment condition problem that is known to affect conventional GMM estimation when the autoregressive coefficient ( ρ ) is near unity. In both panel and time series cases, the estimator has standard Gaussian asymptotics for all values of ρ ∈ (−1, 1] irrespective of how the composite cross-sect
Model selection by BIC is well known to be inconsistent in the presence of incidental parameters. This paper shows that, somewhat surprisingly, even without fixed effects in dynamic panels BIC is inconsistent and overestimates the true lag length with considerable probability. The reason for the inconsistency is explained and the probability of overestimation is found to be 50% asymptotically. Three alternative consistent lag selection methods are considered. Two of these modify BIC and the thir
Since the currency crisis in 1998, Korea has experienced continuous current account surpluses. Recently, the current account surplus increased more rapidly—amounting to 7.7 percent of GDP in 2015. In this paper, we investigate the underlying reasons for the widening of Korea's current account surpluses. We find that the upward trend in Korea's current account surpluses is largely explained by its demographical changes. Other economic variables are only helpful when explaining short run fluctuati
This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number of moment conditions is allowed to increase with the sample size and the moment conditions may be weak. Examples in which these asymptotics are relevant include instrumental variable (IV) estimation with many (possibly weak or uninformed) instruments and some panel data models covering moderate time spans and with correspondingly large numbers of instruments. Under certain regul