Seojeong Lee (Jay, 이서정)


Senior Lecturer in Economics at the University of New South Wales, Sydney Australia
jay.lee@unsw.edu.au
CV (updated July 3, 2017)


Research Interests

I am an econometrician and economist working in the area of statistical inference (decision making). My main research interests are the generalized method of moments (GMM), instrumental variables (IV), two-stage least squares (2SLS), and generalized empirical likelihood (GEL) estimators and their large sample properties under general model misspecification. It turns out that misspecification analysis is very useful to construct robust statistics in the bootstrap method and also in the context of heterogeneous treatment effect in policy evaluation. Based on this insight, I am currently developing robust estimators and tests for a variety of situations, such as clustered sample, many weak instruments, or invalid instruments, which have wide applicability in practice. 


Publications

A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs
Journal of Business & Economic Statistics (forthcoming) [paper and code]

Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators
 Journal of Econometrics (2016) 192(1), 86-104. [paper and code]

Asymptotic Refinements of a Misspecification-Robust Bootstrap for GMM Estimators
 Journal of Econometrics (2014) 178(3), 398-413. [paper and code]


Working Papers

Inference for Iterated GMM under Misspecification and Clustering 
with Bruce E. Hansen, 2017 [abstract]

Asymptotic Theory for Clustered Samples 
with Bruce E. Hansen, 2017 [abstract]

Optimal Inference with Complete Subsets of Instruments
with Youngki Shin, 2017

A Test for Instrument Validity with Variable Treatment Intensity
with Michele De Nadai, 2017

On Robustness of GEL Estimators to Model Misspecification 

Bootstrapping GMM Estimators under Local Misspecification 


Awards and Grants

Australian Research Council (ARC) Discovery Early Career Researcher Award (DECRA), 2017-2019
UNSW Business School Non-Professorial Research Achievement Award, 2017 
UNSW Business School Research Grant, 2015-2017
The Zellner Thesis Award (Honorable Mention) in Business and Economic Statistics, American Statistical Association, 2014
UNSW Business School Special Research Grant, 2013-2014
Asian Meeting of the Econometric Society Travel Support for Young Economists, 2011
University of Wisconsin-Madison Department of Economics Travel Grant, 2011 


Ph.D Dissertation

Misspecification-Robust Bootstrap for Moment Condition Models, University of Wisconsin-Madison, May 2012 [pdf]
  • Committee: Bruce E. Hansen (Advisor), Jack R. Porter, Kenneth D. West, Xiaoxia Shi, Zhengjun Zhang
  • Awarded The Zellner Thesis Award Honorable Mention in Business and Economic Statistics 2014 [link]


Conference and Seminar Presentations

2017
Monash University (scheduled)

2016
Sydney Econometrics Research Group (SERG) [program], University of New South Wales
Australasia Meeting of the Econometric Society [link], University of Technology Sydney
University of Adelaide
University of Melbourne
SETA/NZESG Joint Meeting [link]University of Waikato
Korea University

2015
University of New South Wales
University of Technology Sydney
Sydney Econometrics Research Group (SERG) [link], University of Sydney
Econometric Society World Congress [link], Montreal, Canada
Australian Conference of Economists (ACE) [link], Queensland University of Technology

2014
Hitotsubashi-Sogang Conference on Econometrics [program], Sogang University
Korea University
University of New South Wales
Korea Institute of Finance
The Korea-America Economic Association (KAEA)-The Korean Economic Association (KEA) Joint International Conference [program], Yonsei University
Korean Econometrics Summer Camp [program], Sungkyunkwan University
Sogang University
The 10th International Symposium on Econometric Theory and Applications (SETA) [link], Academia Sinica
The 24th New Zealand Econometric Study Group Meeting (NZESG) [link], University of Waikato

2013
University of Sydney
University of New South Wales
The 9th International Symposium on Econometric Theory and Applications (SETA) [link], Sungkyunkwan University
University of Adelaide
North American Summer Meeting of the Econometric Society (NASM) [program], University of Southern California
Australian National University
Monash University

2012
The 23rd European Conferences of the Econom[etr]ics Community (EC)^2 [link], Maastricht University
National University of Singapore
University of Sydney Business School
University of Auckland
Sydney Econometric Theory Workshop, University of New South Wales
Yale University
University of Iowa
University of New South Wales
Sungkyunkwan University
Sogang University

2011 
Midwest Econometrics Group [link], Chicago Booth
University of Wisconsin-Madison
Asian Meeting of the Econometric Society (AMES), Korea University
North American Summer Meeting of the Econometric Society (NASM), Washington University in St. Louis