Zobrazeno 1 - 10
of 74
pro vyhledávání: '"Lee, Seojeong"'
We generalize the synthetic control (SC) method to a multiple-outcome framework, where the conventional pre-treatment time dimension is supplemented with the extra dimension of related outcomes in computing the SC weights. This generalization improve
Externí odkaz:
http://arxiv.org/abs/2304.02272
Macro shocks are often composites, yet overlooked in the impulse response analysis. When an instrumental variable (IV) is used to identify a composite shock, it violates the common IV exclusion restriction. We show that the Local Projection-IV estima
Externí odkaz:
http://arxiv.org/abs/2208.11828
We develop a Stata command $\texttt{csa2sls}$ that implements the complete subset averaging two-stage least squares (CSA2SLS) estimator in Lee and Shin (2021). The CSA2SLS estimator is an alternative to the two-stage least squares estimator that reme
Externí odkaz:
http://arxiv.org/abs/2207.01533
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
We propose a new finite sample corrected variance estimator for the linear generalized method of moments (GMM) including the one-step, two-step, and iterated estimators. Our formula additionally corrects for the over-identification bias in variance e
Externí odkaz:
http://arxiv.org/abs/1908.07821
Autor:
Hansen, Bruce E., Lee, Seojeong
We provide a complete asymptotic distribution theory for clustered data with a large number of independent groups, generalizing the classic laws of large numbers, uniform laws, central limit theory, and clustered covariance matrix estimation. Our the
Externí odkaz:
http://arxiv.org/abs/1902.01497
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Autor:
Lee, Seojeong, Shin, Youngki
Publikováno v:
Econometrics Journal, 24(2), 2021, pp. 290-314
We propose a two-stage least squares (2SLS) estimator whose first stage is the equal-weighted average over a complete subset with $k$ instruments among $K$ available, which we call the complete subset averaging (CSA) 2SLS. The approximate mean square
Externí odkaz:
http://arxiv.org/abs/1811.08083
Autor:
Lee, Seojeong
Publikováno v:
Lee, Seojeong. "Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators." Journal of Econometrics 178 (2014): 398-413
I propose a nonparametric iid bootstrap that achieves asymptotic refinements for t tests and confidence intervals based on GMM estimators even when the model is misspecified. In addition, my bootstrap does not require recentering the moment function,
Externí odkaz:
http://arxiv.org/abs/1806.01450
Autor:
Lee, Seojeong
Publikováno v:
Lee, S. (2017). A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs. Journal of Business & Economic Statistics, 1-11
Under treatment effect heterogeneity, an instrument identifies the instrument-specific local average treatment effect (LATE). With multiple instruments, two-stage least squares (2SLS) estimand is a weighted average of different LATEs. What is often o
Externí odkaz:
http://arxiv.org/abs/1806.01457