378 citations · 954 across the 33 of their papers we have counts for
10 papers · 1 filter
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…
Inference for Low-rank Completion without Sample Splitting with Application to Treatment Effect Estimation
Jungjun Choi, Hyukjun Kwon, Yuan Liao
This paper studies the inferential theory for estimating low-rank matrices. It also provides an inference method for the average treatment effect as an application. We show that th…
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…
Dynamic Heterogeneous Distribution Regression Panel Models, with an Application to Labor Income Processes
Ivan Fernandez-Val, Wayne Yuan Gao, Yuan Liao +1
We introduce a dynamic distribution regression panel data model with heterogeneous coefficients across units. The objects of primary interest are functionals of these coefficients,…
Recent Developments on Factor Models and its Applications in Econometric Learning
Jianqing Fan, Kunpeng Li, Yuan Liao
This paper makes a selective survey on the recent development of the factor model and its application on statistical learnings. We focus on the perspective of the low-rank structur…
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…
Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations
Jushan Bai, Sung Hoon Choi, Yuan Liao
This paper considers generalized least squares (GLS) estimation for linear panel data models. By estimating the large error covariance matrix consistently, the proposed feasible GL…
Standard Errors for Panel Data Models with Unknown Clusters
Jushan Bai, Sung Hoon Choi, Yuan Liao
This paper develops a new standard-error estimator for linear panel data models. The proposed estimator is robust to heteroskedasticity, serial correlation, and cross-sectional cor…
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…
Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models
Yuan Liao, Xiye Yang
We consider continuous-time models with a large panel of moment conditions, where the structural parameter depends on a set of characteristics, whose effects are of interest. The l…