"All models are wrong, but some are useful." George E. P. BoxPublication S. Lee (forthcoming). A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs. Journal of Business & Economic Statistics. [pdf]
 summary: I provide a correct standard error formula for twostage least squares estimators under treatment effect heterogeneity.
 doi:10.1080/07350015.2016.1186555
 STATA code and instructions
 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 46 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 clusterrobust) 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)]
 S. Lee (2016). Asymptotic refinements of a misspecificationrobust bootstrap for GEL estimators. Journal of Econometrics 192(1), 86104. [pdf]
 summary: I propose a bootstrap procedure for the generalized empirical likelihood estimators for overidentified moment conditions models. The estimators include the empirical likelihood, the exponential tilting, and the exponentially tilted empirical likelihood. I establish asymptotic refinements of the bootstrap t tests and confidence intervals robust to misspecification of the moment condition model. Under correct specification, the refinement is for the true value. Under misspecification, the refinement is for the pseudotrue value.
 doi:10.1016/j.jeconom.2015.11.003
 A longer version of Appendix (Lemmas and Proofs) [pdf]
 Calculation of EL, ET, ETEL estimators, S.E's, and asymptotic/bootstrap CI's for simulation and application of Hellerstein and Imbens (1999, ReStat) [instruction (pdf))/MATLAB code]
 S. Lee (2014). Asymptotic refinements of a misspecificationrobust bootstrap for GMM estimators. Journal of Econometrics 178(3), 398413. [pdf]
 summary: I propose a bootstrap procedure for the generalized method of moments estimators for overidentified moment conditions models. I establish asymptotic refinements of the bootstrap t tests and confidence intervals robust to misspecification of the moment condition model. Under correct specification, the refinement is for the true value. Under misspecification, the refinement is for the pseudotrue value.
 doi:10.1016/j.jeconom.2013.05.008
 Supplementary Appendix [pdf]
 MATLAB code: Coverage probability (Table 3 & Figure 1, Table 4 & Figure 2), Sizecorrected Power (Figure 3, Figure 4)
Working Papers and Workinprogress Iterated GMM estimator (with Bruce Hansen).
 A test for instrument validity with variable treatment intensity (with Michele De Nadai).
 2SLS with complete subset regressions in the first stage (with Youngki Shin).
 On Robustness of GEL Estimators to Model Misspecification. [pdf]
 Bootstrapping GMM Estimators under Local Misspecification. [pdf]
Ph.D. Dissertation MisspecificationRobust Bootstrap for Moment Condition Models, University of WisconsinMadison, May 2012 [pdf]
Conference and Invited Seminar Presentations
 2016
 2015
 2014
 HitotsubashiSogang Conference on Econometrics, Sogang University, Korea
 Korea University, Korea
 UNSW, Australia
 Korea Institute of Finance, Korea
 KAEAKEA conference, Yonsei University, Korea
 Korean Econometrics Summer Camp, Sungkyunkwan University, Korea
 Sogang University, Korea
 The 10th International Symposium on Econometric Theory and Applications (SETA), Academia Sinica, Taiwan
 The 24th New Zealand Econometric Study Group Meeting, The University of Waikato, New Zealand
 2013
 University of Sydney, Australia
 UNSW, Australia
 The 9th International Symposium on Econometric Theory and Applications (SETA), Sungkyunkwan University, Korea
 University of Adelaide, Australia
 North American Summer Meeting of the Econometric Society (NASM), The University of Southern California, USA
 Australian National University, Canberra, Australia
 Monash University, Melbourne, Australia
 2012
 The 23rd European Conferences of the Econom[etr]ics Community, (EC)2, Maastricht University, the Netherlands
 National University of Singapore, Singapore
 University of Sydney Business School, Australia
 University of Auckland, New Zealand
 Sydney Econometric Theory Workshop, UNSW Australia
 Yale University, New Haven, USA
 University of Iowa, Iowa City, USA
 UNSW, Australia
 Sungkyunkwan University, Korea
 Sogang University, Korea
 2011
 2010

