352 citations · 680 across the 21 of their papers we have counts for
4 papers · 1 filter
Bootstraps for Dynamic Panel Threshold Models
Woosik Gong, Myung Hwan Seo
This paper develops valid bootstrap inference methods for the dynamic short panel threshold regression. We show that the standard nonparametric bootstrap is inconsistent for the fi…
Fast Inference for Quantile Regression with Tens of Millions of Observations
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
Big data analytics has opened new avenues in economic research, but the challenge of analyzing datasets with tens of millions of observations is substantial. Conventional econometr…
What Impulse Response Do Instrumental Variables Identify?
Bonsoo Koo, Seojeong Lee, Myung Hwan Seo +1
We study what local projection instrumental variable (LP-IV) regressions identify when an instrument is correlated with several structural shocks, such as defense and non-defense s…
Minimax Risk in Estimating Kink Threshold and Testing Continuity
Javier Hidalgo, Heejun Lee, Jungyoon Lee +1
We derive a risk lower bound in estimating the threshold parameter without knowing whether the threshold regression model is continuous or not. The bound goes to zero as the sample…