4 papers
Sensitivity, Informativeness, and Misspecification in GMM Estimation
Fangzhou Yu, Seojeong Lee
This paper develops misspecification-robust sensitivity and informativeness diagnostics for GMM estimators, evaluated at pseudo-true values. The sensitivity matrix nests that of An…
What Impulse Response Do Instrumental Variables Identify?
Bonsoo Koo, Seojeong Lee, Myung Hwan Seo +1
The local projection-instrumental variable (LP-IV) literature has been largely silent on cases in which impulse responses are set-identified, arising when the shock of interest is…
Are the Bank of Korea's Inflation Forecasts Biased Toward the Target?
Eunkyu Seong, Seojeong Lee
The Bank of Korea (BoK) regularly publishes the Economic Outlook, offering forecasts for key macroeconomic variables such as GDP growth, inflation, and unemployment rates. This stu…
Convergence Rates of GMM Estimators with Nonsmooth Moments under Misspecification
Byunghoon Kang, Seojeong Lee, Juha Song
The asymptotic behavior of GMM estimators depends critically on whether the underlying moment condition model is correctly specified. Hong and Li (2023, Econometric Theory) showed…