Byeongsoo So
Ewha Womans University
About the Lab
Professor Byeongsoo So's research lab specializes in econometric theory and time series analysis, with a focus on developing advanced statistical methods for detecting seasonal unit roots in autoregressive models. The lab emphasizes the creation of robust, efficient testing procedures that are free from nuisance parameters, particularly in short time series with multiple seasonal patterns. Current research directions include improving the power and accuracy of Lagrange Multiplier tests through innovative use of marginal likelihoods and asymptotic distribution theory. The lab also explores applications in economic and financial data where seasonal dynamics play a critical role.
Research Overview
Research Output Trend
Figures are computed from collected data and may differ slightly.
Selected Papers
1On the basis of marginal likelihood of the residual vector which is freeof nuisance mean parameters, we propose new Lagrange Multiplier seasonalunit root tests in seasonal autoregressive process. The limiting null dis-tribution of the tests is the standardized2-distribution. A Monte-Carlosimulation shows the new tests are more powerful than the tests based onthe ordinary least squares (OLS) estimator, especially for large number ofseasons and short time spans.
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