5 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…
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…
Individual Welfare Analysis: Random Quasilinear Utility, Independence, and Confidence Bounds
Junlong Feng, Sokbae Lee
We introduce a novel framework for individual-level welfare analysis. It builds on a parametric model for continuous demand with a quasilinear utility function, allowing for hetero…
An Econometric Perspective on Algorithmic Subsampling
Sokbae Lee, Serena Ng
Datasets that are terabytes in size are increasingly common, but computer bottlenecks often frustrate a complete analysis of the data. While more data are better than less, diminis…
Identifying Effects of Multivalued Treatments
Sokbae Lee, Bernard Salanié
Multivalued treatment models have typically been studied under restrictive assumptions: ordered choice, and more recently unordered monotonicity. We show how treatment effects can…