6 papers · 1 filter
Individual Shrinkage for Random Effects
Raffaella Giacomini, Sokbae Lee, Silvia Sarpietro
This paper develops an approach to random effects estimation and individual-level forecasting in micropanels that targets individual accuracy rather than aggregate performance. The…
Bounding Treatment Effects by Pooling Limited Information across Observations
Sokbae Lee, Martin Weidner
We provide novel bounds on average treatment effects (on the treated) that are valid under an unconfoundedness assumption. Our bounds are designed to be robust in challenging situa…
Treatment Effects with Targeting Instruments
Sokbae Lee, Bernard Salanié
Multivalued treatments are commonplace in applications. We explore the use of discrete-valued instruments to control for selection bias in this setting. Our discussion revolves aro…
Individual Welfare Analysis: Random Quasilinear Utility, Independence, and Confidence Bounds
Junlong Feng, Sokbae Lee
We introduce a novel framework for individual-level welfare analysis. It builds on a parametric model for continuous demand with a quasilinear utility function, allowing for hetero…
Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic
Xiaohong Chen, Sokbae Lee, Myung Hwan Seo +1
Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We i…
Treatment Choice with Nonlinear Regret
Toru Kitagawa, Sokbae Lee, Chen Qiu
The literature focuses on the mean of welfare regret, which can lead to undesirable treatment choice due to sensitivity to sampling uncertainty. We propose to minimize the mean of…