CV

cv (pdf)

Jonathan B. Hill
Professor of Economics
Dept. of Economics
University of North Carolina
Chapel Hill, NC 27599

jbhill@email.unc.edu

Oct. 2024

RESEARCH FIELDS
High dimensional econometrics/statistics, Semi-nonparametrics, Econometric theory

RESEARCH INTERESTS

  • Semi-nonparametric and related inference
  • Weak Identification Robust Bootstrap Inference
  • High dimensional limit theory and inference
  • Nuisance parameter smoothing
  • Heavy tail robustness (estimation, inference, asymptotic theory)
  • Extreme value theory (tail exponent estimation, inference, asymptotic theory)
  • Mixed Frequency causality modeling and testing (dimension reduction and identification)
  • Non-parametric statistics (tests of functional form, tail dependence and tail-trimming)
  • Asymptotic theory (weak limit theory for tail and non-tail arrays)
  • Regression model specification (power-one tests, robust tests)

EDUCATION

Ph.D.: Economics, 2001, University of Colorado-Boulder
B.A.’s: Economics, Sociology and Anthropology, 1990, University of Colorado-Boulder

CURRENT ACADEMIC APPOINTMENTS

Professor of Economics, University of North Carolina-Chapel Hill, July 2018-

PREVIOUS ACADEMIC APPOINTMENTS

Associate Professor of Economics, University of North Carolina-Chapel Hill, 2012-June 2018
Assistant Professor of Economics, University of North Carolina-Chapel Hill, 2008-June 2012
Visiting Assistant Professor of Economics, University of North Carolina-Chapel Hill (2007-08)
Assistant Professor of Economics, Florida International University (2004-2007)
Visiting Lecturer of Econometrics, University of California-San Diego (2001-2003)

RESEARCH VISITS

  1. Research visit : Department of Economics, McGill University (February 2015)
    Research visit : Department of Economics, Brown University (February 2013)
  2. Visiting Fellow, CIREQ : University of Montreal and Concordia University (February 2013)
  3. Visiting Fellow, CIREQ : University of Montreal and Concordia University (October 2010)
  4. Visiting Fellow, CIREQ : University of Montreal and Concordia University (March 2010)
  5. Visiting Fellow, CenTER : Dept. of Econometrics, University of Tilburg (Fall 2009)

PROFESSIONAL AWARDS AND HONORS

  1. 2021 – Econometric Theory Multa Scripsit Award
  2. 2018 – Southern Economic Association Presidential Session organizer: D.C.
  3. 2016 – Program Committee: Intern. Work-Conf. on Time Series – 2016: U. Granada,  Spain
  4. 2015 – Session organizer: Computational and Financial Econometrics – London, Dec. 2015
  5. 2015 – Invited Speaker: Computational and Financial Econometrics – London, Dec. 2015
  6. 2015 – Program Committee: Intern. Work-Conf. on Time Series – 2015: U.. Granada,  Spain
  7. 2015 – Invited Speaker, 9th Intern. Conf. on Extreme Value Analysis: Univ. Mich., June 2015
  8. 2014 – Invited Speaker, European Research Consortium on Informatics and Mathematics: Robust Estimation in Extreme Value Theory: Pisa, Italy, Dec. 2014
  9. 2014 – Invited Speaker, Cowles Foundation Confer. in Econometrics : Yale, June 2-3, 2014
  10. 2014 – Organizing Committee: Cambridge/SoFiE Conf. on Skewness, Heavy Tails, Market Crashes and Dynamics -2014: Cambridge University
  11. 2013 – Invited Speaker, European Research Consortium on Informatics and Mathematics: Times Series Extremes: London, Dec. 2013
  12. 2013 – Invited Speaker, Southern Economic Association – Tampa, FL, Nov. 2013
  13. 2012 – Invited Speaker, Statistics of Lévy Driven Models (workshop) – Ulm, Germany
  14. 2011 – Invited Speaker, Workshop on New Developments in Econometrics – Brussels, Belgium
  15. 2010 – Chair, Joint Statistical Meeting – Vancouver, Canada
  16. 2008 – Invited Speaker, Computational and Financial Econometrics – Neuchâtel, Switzerland
  17. 2008 – Chair, Computational and Financial Econometrics – Neuchâtel, Switzerland
  18. 2007 – Invited Speaker (Young Researcher), SAMSI Workshop on Extreme Events – Raleigh
  19. 2004 – Chair, Econometric Society North American Winter Meeting – Providence, RI

PROFESSIONAL SERVICE

Econometrics and Statistics

  1. Associate Editor – Journal of Time Series Analysis, 2013-
  2. Associate Editor – Econometrics Journal, 2013-2022
  3. Associate Editor – Econometrics and Statistics, 2015-2017
  4. 2016 – Program Committee: Intern. Work-Conf. on Time Series – 2016: U. Granada,  Spain
  5. 2015 – Session organizer: Computational and Financial Econometrics – London, Dec. 2015
  6. 2015 – Program Committee: Intern. Work-Conf. on Time Series – 2015: U.. Granada,  Spain
  7. 2014 – Organizing Committee: Cambridge/SoFiE Conf. on Skewness, Heavy Tails, Market Crashes and Dynamics -2014: Cambridge University
  8. 2010 – Chair, Joint Statistical Meeting – Vancouver, Canada
  9. 2008 – Chair, Computational and Financial Econometrics – Neuchâtel, Switzerland
  10. 2004 – Chair, Econometric Society North American Winter Meeting – Providence, RI

UNC

  1. Director of Graduate Studies, Jan. 2017 – 2020
  2. Graduate Placement Director, 2015-2017
  3. Faculty Council representing Tenured Faculty, 2015-2019

BOOK CHAPTERS

  1. Hill, J. B. (2012). Heavy-Tail and Plug-In Robust Consistent Conditional Moment Tests of Functional Form: in X. Chen and N. Swanson (ed.’s), Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert White Jr., pp. 241-274. Springer: New York.
  2. Hill, J. B. (2010). Heavy Tails and Mixed Distribution Hypothesis. Encyclopedia of Quantitative Finance, Wiley.

INVITED CONTRIBUTIONS

  1. Hill, J. B. (2012). Dependence and Stochastic Limit Theory, in S. Anatolyev (ed.) Quantile.
  2. Hill, J. B. (2010). Heavy Tails and Mixed Distribution Hypothesis. Encyclopedia of Quantitative Finance, Wiley (pdf).

PUBLISHED AND FORTHCOMING PEER REVIEWED PAPERS/CHAPTERS

  1. Chaudhuri, S. and J. B. Hill (2024). Robust Estimation and Inference for Average Treatment Effects, Econometric Reviews, in press (paper, ArXiv, appendix I, appendix II).
  2. Hill, J.B. and Li, T. (2024). A Bootstrapped Test of Covariance Stationarity Based on Orthonormal Transformations, Bernoulli: in press (paper, ArXiv, appendix)
  3. Hill, J. B. (2024). Testing Many Zero Restrictions in a High Dimensional Linear Regression Setting, Journal of Business and Economics Statistics: in press (paper, ArXiv, appendix)
  4. Hill, J. B. (2024). A Smoothed P-Value Test When There is a Nuisance Parameter under the Alternative (pdf, pdf (arXiv),appendix). Journal of Statistical Planning and Inference, 129.
  5. Hill, J. B. (2021). Weak-Identification Robust Wild Bootstrap applied to a Consistent Model Specification Test, Econometric Theory 37, 409-463 (pdf, pdf (arXiv),appendix).
  6. Hill, J. B. and Motegi, K. (2020). A Max-Correlation White Noise Test for Weakly Dependent Time Series, Econometric Theory 36, 907-960 (pdf, pdf (arXiv), appendix).
  7. Hill, J. B. and Motegi, K. (2019). Testing the White Noise Hypothesis of Stock Markets, Economic Modeling 76, 231-242 (pdf).
  8. Hill, J. B.,Ghysels, E. and Motegi, K. (2017). Testing a Large Set of Zero Restrictions in Regression Models, with an Application to Mixed Frequency Granger Causality: Journal of Econometrics: forthcoming (pdf).
  9. McCloskey, A. and J. B. Hill (2017). Parameter Estimation Robust to Low-Frequency Contamination. Journal of Business and Economic Statistics 35, 598-610 (pdf).
  10. Hill, J. B. and A. Prokhorov (2016). GEL Estimation for GARCH Models with Robust Empirical Likelihood Inference. Journal of Econometrics 190, 18-45 (pdf).
  11. Ghysels, E., J. B. Hill, and K. Motegi (2016). Testing for Granger Causality with Mixed Frequency Data. Journal of Econometrics 192, 207-230 (pdf).
  12. Hill, J .B., D. Li,, and L. Peng (2016). Unified Interval Estimation for an AR(1) Process with Dependent Errors. Statistica Sinica 26, 119-136 (pdf).
  13. Aguilar, M. and J. B. Hill (2015). Robust Score and Portmanteau Tests of Volatility Spillover. Journal of Econometrics 184, 37-61 (pdf).
  14. Hill, J. B. (2015). Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series. Journal of Financial Econometrics 13, 1-44 (pdf).
  15. Hill, J. B. (2015). Robust Generalized Empirical Likelihood for Heavy Tailed Autoregressions with Conditionally Heteroscedastic Errors. Journal of Multivariate Analysis 135, 131-152 (pdf).
  16. Hill, J. B. (2015). Tail Index Estimation for a Filtered Dependent Time Series. Statistica Sinica 25, 609-630 (pdf).
  17. Hill, J. B. (2015). Robust Estimation and Inference for Heavy Tailed GARCH. Bernoulli 21,1629-1669 (pdf).
  18. Hill, J. B. and L. Peng (2014). Unified Interval Estimation for Random Coefficient Autoregressive Models. Journal of Time Series Analysis 35, 282-297 (pdf).
  19. Hill, J. B. and A. Shneyerov (2013). Are There Common Values in First-Price Auctions? A Tail-Index Nonparametric Test. Journal of Econometrics 174, 144-164 (pdf).
  20. Hill, J. B. (2013). Least Tail-Trimmed Squares for Infinite Variance Autoregressions. Journal of Time Series Analysis 34, 168-186 (pdf).
  21. Hill, J. B. (2013). Stochastically Weighted Average Conditional Moment Tests of Functional Form. Studies in Nonlinear Dynamics and Econometrics 17, 121-141 (pdf).
  22. Hill, J. B. and M. Aguilar (2013). Moment Condition Tests for Heavy Tailed Time Series Journal of Econometrics 172, 255-274 (pdf).
  23. Hill, J. B. (2013). Consistent GMM Residuals-Based Tests of Functional Form. Econometric Reviews 32, 361-383 (pdf).
  24. Hill, J. B. (2012). Heavy-Tail and Plug-In Robust Consistent Conditional Moment Tests of Functional Form: in X. Chen and N. Swanson (ed.’s), Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr., 241-274. Springer: New York (pdf).
  25. Hill, J. B. (2011). Extremal Memory of Stochastic Volatility with an Application to Tail Shape Inference. Journal of Statistical Planning and Inference 141, 663-676 (pdf).
  26. Hill, J. B. (2011). Tail and Non-Tail Memory with Applications to Extreme Value and Robust Statistics. Econometric Theory 27, 844-884 (pdf).
  27. Anbarci, N., J. B. Hill, and H. Kirmanoglu (2011). Institutions and Growth Volatility. Economic Papers 30, 233–252.
  28. Hill, J. B. (2010). On Tail Index Estimation for Dependent, Heterogeneous Data. Econometric Theory 26, 1398-1436 (pdf).
  29. Hill, J. B. (2010). Heavy Tails and Mixed Distribution Hypothesis. Encyclopedia of Quantitative Finance, Wiley (pdf).
  30. Hill, J. B. (2009). On Functional Central Limit Theorems for Dependent, Heterogeneous Arrays with Applications to Tail Index and Tail Dependence Estimation. Journal of Statistical Planning and Inference 139, 2091-2110 (pdf).
  31. Hill, J. B. (2008). Consistent and Non-Degenerate Model Specification Tests Against Smooth Transition and Neural Network Alternatives. Annales D’Economie et de Statistique 90, 145-179 (pdf).
  32. Hill, J. B. (2007). Efficient Tests of Long-Run Causation in Trivariate VAR Processes with Rolling Window Study of the Money-Income Relationship. Journal of Applied Econometrics 22, 747-765 (pdf).
  33. Hill, J. B. (2006). Strong Orthogonal Decompositions and Nonlinear Impulse Response Functions for Infinite Variance Processes, Canadian Journal of Statistics 34, 453-473 (pdf).
  34. Carlos, A., J. B. Hill and N. Moyen (2002). Royal African Company Share Prices during the South Sea Bubble. Explorations in Economic History 39, 61-87 (pdf).

PAPERS INVITED FOR REVISION AND RESUBMISSION

  1. Hill, J. B. (2024). Max-Laws of Large Numbers for High Dimensional Arrays with Applications: under review for resubmission to Econometric Theory
  2. Hill, J. B. (2024). Mixingale and Physical Dependence Equality with Applications: under revision for resubmission to Statistics and Probability Letters

PAPERS SUBMITTED FOR PUBLICATION

OLD WORKING PAPERS

  1. Hill, J. B. and A. McCloskey (2013). Heavy Tail Robust Frequency Domain Estimation
  2. Hill, J. B. and E. Renault (2011). Generalized Method of Moment with Tail Trimming

PROFESSIONAL ACTIVITIES

JOURNAL, ACADEMIC PRESS and GRANT PROPOSAL REFEREE

Econometrics: Econometrica, Journal of Econometrics, Econometric Theory, Journal of Business and Economic Statistics, Quantitative Economics, Oxford Bulletin of Economics and Statistics, Journal of Applied Econometrics, Journal of Financial Econometrics, Econometric Reviews, Econometrics Journal, Studies in Nonlinear Dynamics and Econometrics, Econometrics, Econometrics and Statistics

Statistics, Mathematics and Physics: Biometrika, Annals of Statistics, Journal of the American Statistical Association, Journal of the Royal Statistic Society Series B, Scandinavian Journal of Statistics, Extremes, Bernoulli, Stochastic Processes and their Applications, Statistics and Probability Letters, Annals of the Institute of Statistical Mathematics, Annals of Applied Statistics, Journal of Nonparametric Statistics, Statistica Sinica, Journal of Multivariate Analysis, Journal of Time Series Analysis, Communications in Statistics: Simulation and Computation, Statistical Methods and Applications, Stat-ISI, IMA Journal of Management Mathematics, Journal of the Korean Statistical Society, Computational Statistics, Computational Statistics and Data Analysis, Statistical Papers, Physica A: Statistical Mechanics, Physica D: Nonlinear Phenomena, Hacettepe Journal of Mathematics and Statistics, Journal of Systems Science and Complexity

Economics and Finance: International Economics and Finance Journal, Economic Modeling, EnergyEconomics, Journal of Empirical Finance

Other: National Science Foundation: Statistics grant proposal, Yale University Press: History and Economics book proposal, John Wiley & Sons: Mathematics and Statistics book proposal, National Security Agency: Grant proposal in probability and statistics, Elsevier: book proposal.

EDITORIAL

Associate Editor: Econometrics Journal, 2013-2016, 2016-2019
Associate Editor: Journal of Time Series Analysis, 2013-
Associate Editor: Econometrics and Statistics, 2015 –

AFFILIATIONS

Institute of Mathematical Statistics, Econometric Society, American Economic Association, Southern Economic Association

TEACHING

UNDERGRADUATE: Econometrics; Time Series Forecasting; Public Finance; Mathematical Economics; Microeconomics: principles, intermediate; Macroeconomics: principles, intermediate; mathematical economics.

GRADUATE: Econometric Theory, Nonlinear Time Series, Time Series, Mathematical Statistics and Probability Theory, Microeconometrics, Applied Time Series Forecasting, Public Finance, Ph.D. Math Camp