4 papers
Empirical Bayes Estimation in Heterogeneous Coefficient Panel Models
Myunghyun Song, Sokbae Lee, Serena Ng
We develop an empirical Bayes (EB) G-modeling framework for short-panel linear models with nonparametric prior for the random intercepts, slopes, dynamics, and non-spherical error…
SLIM: Stochastic Learning and Inference in Overidentified Models
Xiaohong Chen, Min Seong Kim, Sokbae Lee +2
We propose SLIM (Stochastic Learning and Inference in overidentified Models), a scalable stochastic approximation framework for nonlinear GMM. SLIM forms iterative updates from ind…
Identification and Inference in General Bunching Designs
Myunghyun Song
This paper develops an econometric framework and tools for the identification and inference of a structural parameter in general bunching designs. We present point and partial iden…
SGMM: Stochastic Approximation to Generalized Method of Moments
Xiaohong Chen, Sokbae Lee, Yuan Liao +3
We introduce a new class of algorithms, Stochastic Generalized Method of Moments (SGMM), for estimation and inference on (overidentified) moment restriction models. Our SGMM is a n…