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Found 10 papers, 1 papers with code
SGMM: Stochastic Approximation to Generalized Method of Moments
We introduce a new class of algorithms, Stochastic Generalized Method of Moments (SGMM), for estimation and inference on (overidentified) moment restriction models.
Optimal Delegation in Markets for Matching with Signaling
This paper studies a delegation problem faced by the planner who wants to regulate receivers' reaction choices in markets for matching between receivers and senders with signaling.
Fast Inference for Quantile Regression with Tens of Millions of Observations
Big data analytics has opened new avenues in economic research, but the challenge of analyzing datasets with tens of millions of observations is substantial.
Statistical Treatment Rules under Social Interaction
In this paper we study treatment assignment rules in the presence of social interaction.
csa2sls: A complete subset approach for many instruments using Stata
We develop a Stata command $\texttt{csa2sls}$ that implements the complete subset averaging two-stage least squares (CSA2SLS) estimator in Lee and Shin (2021).
Monotone Equilibrium in Matching Markets with Signaling
We introduce a notion of competitive signaling equilibrium (CSE) in one-to-one matching markets with a continuum of heterogeneous senders and receivers.
Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling
We develop a new method of online inference for a vector of parameters estimated by the Polyak-Ruppert averaging procedure of stochastic gradient descent (SGD) algorithms.
Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach
In this paper we propose the adaptive lasso for predictive quantile regression (ALQR).
Exact Computation of Maximum Rank Correlation Estimator
In this paper we provide a computation algorithm to get a global solution for the maximum rank correlation estimator using the mixed integer programming (MIP) approach.
Complete Subset Averaging for Quantile Regressions
We propose a novel conditional quantile prediction method based on complete subset averaging (CSA) for quantile regressions.
