Seung Ahn

Professor

  • 910 Citations
  • 12 h-Index
1992 …2018
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Research Output 1992 2018

  • 910 Citations
  • 12 h-Index
  • 27 Article
  • 1 Review article
2018
2 Citations (Scopus)

Beta Matrix and Common Factors in Stock Returns

Ahn, S., Horenstein, A. R. & Wang, N., Jun 1 2018, In : Journal of Financial and Quantitative Analysis. 53, 3, p. 1417-1440 24 p.

Research output: Contribution to journalReview article

Estimator
Stock returns
Common factors
Simulation
Bayesian information criterion

Is there a missing factor? A canonical correlation approach to factor models

Ahn, S., Dieckmann, S. & Perez, M. F., Jan 1 2018, (Accepted/In press) In : Review of Financial Economics.

Research output: Contribution to journalArticle

Factors
Canonical correlation
Common factors
Macroeconomic variables
Usefulness
2017

Life-cycle consumption, precautionary saving, and risk sharing: An integrated analysis using household panel data

Ahn, S., Kim, H. Y. & Kang, T. H., Jun 1 2017, In : B.E. Journal of Macroeconomics. 17, 2, 20160082.

Research output: Contribution to journalArticle

Integrated model
Household
Life-cycle consumption
Integrated
Panel data
2016
3 Citations (Scopus)
Education
Income
Penalty
Quantile regression
Youth labour market
2015
2 Citations (Scopus)

Comment on 'IV estimation of panels with factor residuals' by D. Robertson and V. Sarafidis

Ahn, S., Apr 1 2015, In : Journal of Econometrics. 185, 2, p. 542-544 3 p.

Research output: Contribution to journalArticle

Instrumental Variables
Identification Problem
Identification (control systems)
Model
Factors
2014
3 Citations (Scopus)

Beauty and productivity: The case of the ladies professional golf association

Ahn, S. & Lee, Y. H., Jan 2014, In : Contemporary Economic Policy. 32, 1, p. 155-168 14 p.

Research output: Contribution to journalArticle

professional association
beauty
productivity
worker
premium
6 Citations (Scopus)

Major league baseball attendance: Long-term analysis using factor models

Ahn, S. & Lee, Y. H., Jan 1 2014, In : Journal of Sports Economics. 15, 5, p. 451-477 27 p.

Research output: Contribution to journalArticle

Attendance
Major League Baseball
Common factors
Stadium
Outcome uncertainty
2013
130 Citations (Scopus)

Eigenvalue ratio test for the number of factors

Ahn, S. & Horenstein, A. R., May 2013, In : Econometrica. 81, 3, p. 1203-1227 25 p.

Research output: Contribution to journalArticle

Factors
Estimator
Eigenvalues
Simulation
54 Citations (Scopus)

Panel data models with multiple time-varying individual effects

Ahn, S., Lee, Y. H. & Schmidt, P., May 2013, In : Journal of Econometrics. 174, 1, p. 1-14 14 p.

Research output: Contribution to journalArticle

Panel Data
Data Model
Data structures
Time-varying
Method of moments
3 Citations (Scopus)

Two-pass estimation of risk premiums with multicollinear and near-invariant betas

Ahn, S., Perez, M. F. & Gadarowski, C., Jan 2013, In : Journal of Empirical Finance. 20, 1, p. 1-17 17 p.

Research output: Contribution to journalArticle

Multicollinearity
Risk premium
Invariance
Estimator
Price risk
2012
6 Citations (Scopus)

Effort, Technology and the Efficiency of Agricultural Cooperatives

Ahn, S., Brada, J. C. & Mendez, J., Nov 2012, In : Journal of Development Studies. 48, 11, p. 1601-1616 16 p.

Research output: Contribution to journalArticle

agricultural cooperative
farm
efficiency
agriculture
El Salvador
2 Citations (Scopus)

Robust two-pass cross-sectional regressions: A minimum distance approach

Ahn, S., Gadarowski, C. & Fabricio Perez, M., Sep 2012, In : Journal of Financial Econometrics. 10, 4, p. 669-701 33 p., nbs006.

Research output: Contribution to journalArticle

Autocorrelation
Cross-sectional regression
Minimum distance
Heteroskedasticity
Estimator
2010
GMM estimation
Latent factors
International stock markets
4 Citations (Scopus)

GMM estimation of the number of latent factors: With application to international stock markets

Ahn, S. & Perez, M. F., Sep 2010, In : Journal of Empirical Finance. 17, 4, p. 783-802 20 p.

Research output: Contribution to journalArticle

Latent factors
Factors
International stock markets
Generalized method of moments
Estimator
2007
6 Citations (Scopus)

Exchange rates and FOMC days

Ahn, S. & Melvin, M., Aug 2007, In : Journal of Money, Credit and Banking. 39, 5, p. 1245-1266 22 p.

Research output: Contribution to journalArticle

Informed trading
Exchange rates
Public information
Policy learning
Exchange rate determination
25 Citations (Scopus)

Stochastic frontier models with multiple time-varying individual effects

Ahn, S., Lee, Y. H. & Schmidt, P., Feb 2007, In : Journal of Productivity Analysis. 27, 1, p. 1-12 12 p.

Research output: Contribution to journalArticle

firm
farm
efficiency
ranking
flexibility
2004
25 Citations (Scopus)

Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance

Ahn, S. & Gadarowski, C., Jan 2004, In : Journal of Empirical Finance. 11, 1, p. 109-132 24 p.

Research output: Contribution to journalArticle

Generalized method of moments
Specification test
Small sample properties
P value
Finance
2001
88 Citations (Scopus)

GMM estimation of linear panel data models with time-varying individual effects

Ahn, S., Lee, Y. H. & Schmidt, P., Apr 2001, In : Journal of Econometrics. 101, 2, p. 219-255 37 p.

Research output: Contribution to journalArticle

Panel Data
Data Model
Time-varying
Estimator
Generalized Method of Moments
2000
40 Citations (Scopus)

Estimation of long-run inefficiency levels: A dynamic frontier approach

Ahn, S., Good, D. H. & Sickles, R. C., Jan 1 2000, In : Econometric Reviews. 19, 4, p. 461-492 32 p.

Research output: Contribution to journalArticle

Inefficiency
Airlines
Methodology
Justification
Technical inefficiency
1999
26 Citations (Scopus)

Efficient estimation of panel data models with strictly exogenous explanatory variables

Im, K. S., Ahn, S., Schmidt, P. & Wooldridge, J. M., Nov 1999, In : Journal of Econometrics. 93, 1, p. 177-201 25 p.

Research output: Contribution to journalArticle

Efficient Estimation
Panel Data
Data Model
Strictly
Moment Conditions
1997
43 Citations (Scopus)

Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation

Ahn, S. & Schmidt, P., Jan 1997, In : Journal of Econometrics. 76, 1-2, p. 309-321 13 p.

Research output: Contribution to journalArticle

Efficient Estimation
Panel Data
Data Model
Moment Conditions
Alternatives
2 Citations (Scopus)

Orthogonality tests in linear models

Ahn, S., Feb 1997, In : Oxford Bulletin of Economics and Statistics. 59, 1, p. 184-186 3 p.

Research output: Contribution to journalArticle

linear model
Orthogonality
Linear Model
Wald Statistic
Regression
1996
12 Citations (Scopus)

A reformulation of the Hausman test for regression models with pooled cross-section-time-series data

Ahn, S. & Low, S., Mar 1996, In : Journal of Econometrics. 71, 1-2, p. 309-319 11 p.

Research output: Contribution to journalArticle

Time Series Data
Reformulation
Regression Model
Cross section
Alternatives
1 Citation (Scopus)

Optimal labour contracts and involuntary unemployment under costly and imperfect monitoring

Ahn, S. & Faith, R. L., Nov 1996, In : Economica. 63, 252, p. 569-588 20 p.

Research output: Contribution to journalArticle

Labor contracts
Wages
Monitoring
Involuntary unemployment
Imperfect monitoring
1995
17 Citations (Scopus)

A separability result for gmim estimation, with applications to gls prediction and conditional moment tests

Ahn, S. & Schmidt, P., Jan 1 1995, In : Econometric Reviews. 14, 1, p. 19-34 16 p.

Research output: Contribution to journalArticle

Moment conditions
Separability
Prediction
Conditional moments
Generalized method of moments
380 Citations (Scopus)

Efficient estimation of models for dynamic panel data

Ahn, S. & Schmidt, P., 1995, In : Journal of Econometrics. 68, 1, p. 5-27 23 p.

Research output: Contribution to journalArticle

Moment Conditions
Efficient Estimation
Panel Data
Dynamic models
Dynamic Model
1992
26 Citations (Scopus)

Comment

Schmidt, P., Ahn, S. & Wyhowski, D., 1992, In : Journal of Business and Economic Statistics. 10, 1, p. 10-14 5 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

The Lagrangean multiplier test for a model with two selectivity criteria

Ahn, S., 1992, In : Economics Letters. 38, 1, p. 9-15 7 p.

Research output: Contribution to journalArticle

Statistics
Multiplier
Selectivity
Selection bias