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20122026
most citedThe Lasso for High-Dimensional Regression with a Possible Change-Point

111 citations · 262 across the 16 of their papers we have counts for

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Showing 2018Show all

2 papers · 1 filter

econ.EM2018★ 7 cited

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…

econ.EM2018★ 36 cited

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…