1 citations · 1 across the 3 of their papers we have counts for
3 papers
econ.EM2023
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…
stat.ME2016
A Note on Choosing the Threshold for Large Covariance Estimations in Factor Models
Yuan Liao
This note shows that for i.i.d. data, estimating large covariance matrices in factor models can be casted using a simple plug-in method to choose the threshold: $$ μ_{jl}=\frac{c_0…
stat.ME2014★ 1 cited
Structural Change in Sparsity
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
In the high-dimensional sparse modeling literature, it has been crucially assumed that the sparsity structure of the model is homogeneous over the entire population. That is, the i…