111 citations · 262 across the 16 of their papers we have counts for
11 papers · 1 filter
A Stochastic Nested Fixed Point Algorithm for Large-Scale BLP Estimation
Zhentong Lu, Myung Hwan Seo, Youngki Shin +1
We develop a stochastic nested fixed point (SNFP) estimator for random coefficients logit demand models that updates model parameters using stochastic gradients and performs demand…
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…
Fast Inference for Quantile Regression with Tens of Millions of Observations
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
Big data analytics has opened new avenues in economic research, but the challenge of analyzing datasets with tens of millions of observations is substantial. Conventional econometr…
Statistical Treatment Rules under Social Interaction
Seungjin Han, Julius Owusu, Youngki Shin
In this paper we study treatment assignment rules in the presence of social interaction. We construct an analytical framework under the anonymous interaction assumption, where the…
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…
Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach
Rui Fan, Ji Hyung Lee, Youngki Shin
In this paper we propose the adaptive lasso for predictive quantile regression (ALQR). Reflecting empirical findings, we allow predictors to have various degrees of persistence and…
Exact Computation of Maximum Rank Correlation Estimator
Youngki Shin, Zvezdomir Todorov
In this paper we provide a computation algorithm to get a global solution for the maximum rank correlation estimator using the mixed integer programming (MIP) approach. We construc…
Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
In this paper, we estimate the time-varying COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model. Our measurement of the contact rate is constructed using data on…
Complete Subset Averaging for Quantile Regressions
Ji Hyung Lee, Youngki Shin
We propose a novel conditional quantile prediction method based on complete subset averaging (CSA) for quantile regressions. All models under consideration are potentially misspeci…
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…
Factor-Driven Two-Regime Regression
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
We propose a novel two-regime regression model where regime switching is driven by a vector of possibly unobservable factors. When the factors are latent, we estimate them by the p…