6 papers
Empirical Bayes Estimation in Heterogeneous Coefficient Panel Models
Myunghyun Song, Sokbae Lee, Serena Ng
We develop an empirical Bayes (EB) G-modeling framework for short-panel linear models with nonparametric prior for the random intercepts, slopes, dynamics, and non-spherical error…
Policy Learning with Confidence
Victor Chernozhukov, Sokbae Lee, Adam M. Rosen +1
This paper introduces a rule for policy selection in the presence of estimation uncertainty, explicitly accounting for estimation risk. The rule belongs to the class of risk-aware…
SLIM: Stochastic Learning and Inference in Overidentified Models
Xiaohong Chen, Min Seong Kim, Sokbae Lee +2
We propose SLIM (Stochastic Learning and Inference in overidentified Models), a scalable stochastic approximation framework for nonlinear GMM. SLIM forms iterative updates from ind…
Binary Classification with the Maximum Score Model and Linear Programming
Joel L. Horowitz, Sokbae Lee
This paper presents a computationally efficient method for binary classification using Manski's (1975,1985) maximum score model when covariates are discretely distributed and param…
The ET Interview: Professor Joel L. Horowitz
Sokbae Lee
Joel L. Horowitz has made profound contributions to many areas in econometrics and statistics. These include bootstrap methods, semiparametric and nonparametric estimation, specifi…
Group Shapley Value and Counterfactual Simulations in a Structural Model
Yongchan Kwon, Sokbae Lee, Guillaume A. Pouliot
We propose a variant of the Shapley value, the group Shapley value, to interpret counterfactual simulations in structural economic models by quantifying the importance of different…