Research

Publications

  Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms 

            2021 | [pdf], [arXiv], [Journal], [DOI] | Supplementary [pdf] | Econometric Theory, 37(2), 311-345.

  A Doubly Corrected Robust Variance Estimator for Linear GMM 

       2022 | [pdf], [arXiv],  [Journal]| with Jungbin Hwang and Seojeong Lee | Journal of Econometrics, 229(2), 276-298.

[Stata command] The following commands calculate the doubly-corrected SE (misspecification-robust and finite-sample corrected).

Linear IV:   dcivreg (by authors) 

Linear dynamic panel GMM: xtdpdgmm,vce(robust,dc) (by Sebastian Kripfganz) 

  Higher Order Approximation of IV Estimators with Invalid Instruments

           2024 | [pdf], [Journal] | Supplementary Appendix [pdf] |  Econometric Theory, 40(4), 752-789.

  Convergence Rates of GMM Estimators with Nonsmooth Moments under Misspecification

           2025 | [pdf], | with Seojeong Lee and and Juha Song | Seoul Journal of Economics, 38(1), 29-49.

Working Papers & Work In Progress

 Efficient GMM and Weighting Matrix under Misspecification

 Misspecification-Robust Asymptotic and Bootstrap Inference for Nonsmooth GMM

     with Seojeong Lee, March 2025 | [pdf]

  Note on the Asymptotic Size of Leamer's Extreme Bounds Analysis

  dcxtab: Doubly Corrected and Misspecication-Robust (DCMR) Variance Estimator for Linear GMM in Stata

   with Jungbin Hwang and Seojeong Lee, Aug 2019 | [Stata Code]

  GMM with Many Weak Moment Conditions under Misspecification 

     with Seojeong Lee

  Criterion-Based Model Averaging, 

    with Seojeong Lee

  Smoothing Parameter Robust Inference for Semiparametric Estimators

Ph.D. Dissertation

  Essays on Nonparametric Inference and Instrument Selection, University of Wisconsin-Madison, May 2016