82 citations · 158 across the 10 of their papers we have counts for
10 papers · 1 filter
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…
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…
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…
csa2sls: A complete subset approach for many instruments using Stata
Seojeong Lee, Siha Lee, Julius Owusu +1
We develop a Stata command that implements the complete subset averaging two-stage least squares (CSA2SLS) estimator in Lee and Shin (2021). The CSA2SLS estimato…
A Doubly Corrected Robust Variance Estimator for Linear GMM
Jungbin Hwang, Byunghoon Kang, Seojeong Lee
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 formul…
Asymptotic Theory for Clustered Samples
Bruce E. Hansen, Seojeong Lee
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, cen…
Complete Subset Averaging with Many Instruments
Seojeong Lee, Youngki Shin
We propose a two-stage least squares (2SLS) estimator whose first stage is the equal-weighted average over a complete subset with instruments among available, which we call…
A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs
Seojeong Lee
Under treatment effect heterogeneity, an instrument identifies the instrument-specific local average treatment effect (LATE). With multiple instruments, two-stage least squares (2S…
Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators
Seojeong Lee
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 ad…
Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators
Seojeong Lee
I propose a nonparametric iid bootstrap procedure for the empirical likelihood, the exponential tilting, and the exponentially tilted empirical likelihood estimators that achieves…