193 citations · 242 across the 9 of their papers we have counts for
10 papers
Analysis of interactive fixed effects dynamic linear panel regression with measurement error
Nayoung Lee, Hyungsik Roger Moon, Martin Weidner
This paper studies a simple dynamic linear panel regression model with interactive fixed effects in which the variable of interest is measured with error. To estimate the dynamic c…
Dynamic Linear Panel Regression Models with Interactive Fixed Effects
Hyungsik Roger Moon, Martin Weidner
We analyze linear panel regression models with interactive fixed effects and predetermined regressors, for example lagged-dependent variables. The first-order asymptotic theory of…
Bayesian Estimation of Panel Models under Potentially Sparse Heterogeneity
Hyungsik Roger Moon, Frank Schorfheide, Boyuan Zhang
We incorporate a version of a spike and slab prior, comprising a pointmass at zero ("spike") and a Normal distribution around zero ("slab") into a dynamic panel data framework to m…
Optimal Decision Rules when Payoffs are Partially Identified
Timothy Christensen, Hyungsik Roger Moon, Frank Schorfheide
We derive asymptotically optimal statistical decision rules for discrete choice problems when payoffs depend on a partially-identified parameter and the decision maker can use…
Forecasting with a Panel Tobit Model
Laura Liu, Hyungsik Roger Moon, Frank Schorfheide
We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross-section of short time series of censored observations. Our fully Bayesian approac…
A Uniform Bound on the Operator Norm of Sub-Gaussian Random Matrices and Its Applications
Grigory Franguridi, Hyungsik Roger Moon
For an random matrix with weakly dependent uniformly sub-Gaussian entries that may depend on a possibly infinite-dimensional parameter $β\in \mathbf…
Estimation of High-Dimensional Seemingly Unrelated Regression Models
Lidan Tan, Khai X. Chiong, Hyungsik Roger Moon
In this paper, we investigate seemingly unrelated regression (SUR) models that allow the number of equations (N) to be large, and to be comparable to the number of the observations…
Nuclear Norm Regularized Estimation of Panel Regression Models
Hyungsik Roger Moon, Martin Weidner
In this paper we investigate panel regression models with interactive fixed effects. We propose two new estimation methods that are based on minimizing convex objective functions.…
Estimation of Graphical Models using the Norm
Khai X. Chiong, Hyungsik Roger Moon
Gaussian graphical models are recently used in economics to obtain networks of dependence among agents. A widely-used estimator is the Graphical Lasso (GLASSO), which amounts to a…
Estimation of Peer Effects in Endogenous Social Networks: Control Function Approach
Ida Johnsson, Hyungsik Roger Moon
We propose a method of estimating the linear-in-means model of peer effects in which the peer group, defined by a social network, is endogenous in the outcome equation for peer eff…