Prof. Tae-Hwy Lee
Department of Economics
University of California, Riverside, USA
Email: taelee@ucr.edu
Qualifications
1990 Ph.D., University of California, USA
1985 B.S., Seoul National University, Korea
Publications (Selected)
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Huang H. and Lee T.H. (2010), To Combine Forecasts or to Combine Information?, Econometric Reviews, 29, 534-570.
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Lee T.H. and X. Long (2009), Copula-based Multivariate GARCH Models with Uncorrelated Dependent Errors, Journal of Econometrics, 150, 207-218.
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Lee T.H. and Y. Yang (2006), Bagging Binary and Quantile Predictors for Time Series, Journal of Econometrics, 135, 465-497.
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Hong Y. and Lee T.H. (2003), Diagnostic Checking for Adequacy of Nonlinear Time Series Models, Econometric Theory, 19, 1065-1121.
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Hong Y. and Lee T.H. (2003), Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models, Review of Economics and Statistics, 85, 1048-1062.
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Lee T.H. and A. Ullah (2001), Nonparametric Bootstrap Tests for Neglected Nonlinearity in Time Series Regression Models, Journal of Nonparametric Statistics, 13, 425-451.
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Granger C.W.J. and Lee T.H. (1999), The Effect of Aggregation on Nonlinearity, Econometric Reviews, 18, 259-269.
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Gonzalo J. and Lee T.H. (1998), Pitfalls in Testing for Long Run Relationships, Journal of Econometrics, 86, 129-154.
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Lee T.H. and Tse, Y. (1996), Cointegration Tests with Conditional Heteroskedasticity, Journal of Econometrics, 73(2): 401-410.
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Gonzalo J. and Lee T.H. (1996), Relative Power of the t Type Tests for Stationary and Unit Root Processes, Journal of Time Series Analysis, 17, 37-47.
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Lee T.H., White H. and Granger C.W.J. (1993), Testing for Neglected Nonlinearity in Time Series Models: A Comparison of Neural Network Methods and Alternative Tests, Journal of Econometrics, 56, 269-290.
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Granger C.W.J. and Lee T.H. (1989), Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Nonsymmetric Error Correction Models, Journal of Applied Econometrics, 4, S145-159.
Profile Details
http://faculty.ucr.edu/~taelee