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econ.EM2025
SLIM: Stochastic Learning and Inference in Nonlinear GMM Models
Xiaohong Chen, Min Seong Kim, Sokbae Lee +3
We propose SLIM (Stochastic Learning and Inference in overidentified Models), a new scalable stochastic approximation algorithm for nonlinear GMMs with many nonseparable moments an…
econ.EM2025
Binary Classification with the Maximum Score Model and Linear Programming
Joel L. Horowitz, Sokbae Lee
This paper presents a computationally efficient method for binary classification using Manski's (1975, 1985) maximum score model when covariates are discretely distributed and para…
econ.EM2025
Policy Learning with Confidence
Victor Chernozhukov, Sokbae Lee, Adam M. Rosen +1
This paper introduces a rule for policy selection in the presence of estimation uncertainty, explicitly accounting for estimation risk. The rule belongs to the class of risk-aware…