Research

"All models are wrong, but some are useful." George E. P. Box

Publication

  1. S. Lee (forthcoming). A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs. Journal of Business & Economic Statistics. [pdf]
    • doi:10.1080/07350015.2016.1186555
    • Replication of Tables IV, V, and VI of Angrist and Krueger (1991, QJE) using the correct standard error formula for 2SLS [data / MATLAB code (updated on Nov 17, 2015)] 
    • Replication of Table 7 Columns 4-6 of Angrist and Evans (1998, AER) using the correct standard error formula for 2SLS [data / MATLAB code (updated on Nov 17, 2015)]
    • Replication of Table 7 of Thornton (2008, AER) using the correct standard error formula (also cluster-robust) for 2SLS [data / MATLAB code (updated on Apr 15, 2016)]
    • Simulation code based on random subsample of Angrist and Evans (1998) dataset [MATLAB code (updated on Apr 15, 2016)] 
  2. S. Lee (2016). Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators. Journal of Econometrics 192(1), 86-104. [pdf
  3. S. Lee (2014). Asymptotic refinements of a misspecification-robust bootstrap for GMM estimatorsJournal of Econometrics 178(3), 398-413. [pdf]

Working Papers

  • Iterated GMM Estimator (with Bruce Hansen).
  • On Robustness of GEL Estimators to Model Misspecification. [pdf]
  • Bootstrapping GMM Estimators under Local Misspecification. [pdf]

Ph.D. Dissertation

Conference and Invited Seminar Presentations