324 citations · 699 across the 35 of their papers we have counts for
40 papers
SAUSS: Stochastic Approximation with Unbiased Simulated Scores for Limited Dependent Variable Models
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
Multinomial choice models allow flexible substitution patterns but become computationally demanding with many alternatives or observations. With a fixed per-observation simulation…
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…
Individual Shrinkage for Random Effects
Raffaella Giacomini, Sokbae Lee, Silvia Sarpietro
This paper develops an approach to random effects estimation and individual-level forecasting in micropanels that targets individual accuracy rather than aggregate performance. The…
Statistical inference in two-stage observation models including algorithmic randomness
Zhixiang Zhang, Sokbae Lee, Edgar Dobriban
Randomized algorithms, such as random sampling, random projections, and stochastic optimization, are increasingly used to reduce the computational cost of modern statistical analys…
Prediction Risk and Estimation Risk of the Ridgeless Least Squares Estimator under General Assumptions on Regression Errors
Sungyoon Lee, Sokbae Lee
In recent years, there has been a significant growth in research focusing on minimum norm (ridgeless) interpolation least squares estimators. However, the majority of thes…
Implicit Bias against a Capitalistic Society Predicts Market Earnings
Syngjoo Choi, Kyu Sup Hahn, Byung-Yeon Kim +3
This paper investigates whether ideological indoctrination by living in a communist regime relates to low economic performance in a market economy. We recruit North Korean refugees…