Seojeong Lee (Jay, 이서정)
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On sabbatical (2025), visiting UNSW & University of Sydney
Associate Professor of Economics at Seoul National University, Korea
Senior Visiting Fellow, UNSW Business School, Australia
s.jay.lee@snu.ac.kr, economistsj@gmail.com
Associate Editor, Journal of Econometrics, 2024-
Editorial Board, Korean Economic Review, 2025.3-
Editorial Board, Journal of Economic Theory and Econometrics (JETEM; 계량경제학보), 2024.3-
Research Interests
I am an econometrician and economist working in the area of statistical inference with observational data. My main research interest is causal inference with instrumental variables (IV) and with the generalized method of moments (GMM) under general model misspecification.
Publications
9. Convergence Rates of GMM Estimators with Nonsmooth Moments under Misspecification [paper] with Byunghoon Kang and Juha Song
Seoul Journal of Economics (2025) 38(1), 29-49, https://doi.org/10.22904/sje.2025.38.1.002
8. csa2sls: A Complete Subset Approach for Many Instruments using Stata [paper, code] with Siha Lee, Julius Owusu, and Youngki Shin
The Stata Journal (2023) 23(4), 932-941, https://doi.org/10.1177/1536867X231212432
7. A Doubly Corrected Robust Variance Estimator for Linear GMM [paper, code] with Jungbin Hwang and Byunghoon Kang
Journal of Econometrics (2022) 229(2), 276-298, https://doi.org/10.1016/j.jeconom.2020.09.010
6. Inference for Iterated GMM under Misspecification [paper, code] with Bruce E. Hansen
Econometrica (2021) 89(3), 1419-1447, https://doi.org/10.3982/ECTA16274
5. Complete Subset Averaging with Many Instruments [paper] with Youngki Shin
The Econometrics Journal (2021) 24, 290-314, https://doi.org/10.1093/ectj/utaa033
4. Asymptotic Theory for Clustered Samples [paper] with Bruce E. Hansen
Journal of Econometrics (2019) 210(2), 268-290, https://doi.org/10.1016/j.jeconom.2019.02.001
Winner of the 2020 Zellner Award for the best paper in theoretical econometrics published by the JoE in 2018 and 2019
3. A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs [paper, code]
Journal of Business & Economic Statistics (2018) 36:3, 400-410, https://doi.org/10.1080/07350015.2016.1186555
2. Asymptotic Refinements of a Misspecification-Robust Bootstrap for generalized empirical likelihood (GEL) Estimators [paper, code]
Journal of Econometrics (2016) 192(1), 86-104, https://doi.org/10.1016/j.jeconom.2015.11.003
1. Asymptotic Refinements of a Misspecification-Robust Bootstrap for generalized method of moments (GMM) Estimators [paper, corrigendum, code]
Journal of Econometrics (2014) 178(3), 398-413, https://doi.org/10.1016/j.jeconom.2013.05.008
Working Papers/Work in Progress
Child Benefits and Fertility with Taehoon Kim and Chulhee Lee, April 2025 [paper]
Misspecification-Robust Asymptotic and Bootstrap Inference for Nonsmooth GMM with Byunghoon Kang, March 2025 [paper]
Are the Bank of Korea's Inflation Forecasts Biased Toward the Target? with Eunkyu Seong, December 2024 [paper]
Synthetic Controls with Multiple Outcomes with Wei Tian and Valentyn Panchenko, July 2024 [paper, code]
What Impulse Response Do Instrumental Variables Identify? with Bonsoo Koo and Myung Hwan Seo, April 2024 [paper]
Online Updating for Linear Panel Regressions with Joonho Hwang, Feb 2025
Local Asymptotic Minimax Inference for Set-identified Impulse Responses with Bonsoo Koo, Myung Hwan Seo, and Masaya Takano, December 2024
Measuring the Sensitivity of Parameter Estimates to Potentially Misspecified Estimation Moments with Fangzhou Yu, 2024
A General Test for Instrument Validity with Michele De Nadai, 2024
State Dependency of Dynamic Causal Effects in Macroeconomics using External Instruments with Bonsoo Koo and Myung Hwan Seo, 2022
GMM with Many Weak Moment Conditions under Misspecification with Byunghoon Kang, 2021
Inference for GMM under Misspecification and Clustering with Bruce Hansen, 2020
The Use and Misuse of Leave-One-Out Means as Instruments, with Tess Stafford, 2019
dcxtab: Doubly Corrected and Misspecification-Robust (DCMR) Variance Estimator for Linear GMM in Stata with Jungbin Hwang and Byunghoon Kang, 2019
Criterion-Based Model Averaging with Byunghoon Kang, 2018
Awards
Dasan Young Economist Award, The Korea Economic Daily, 2024
Chung-ram Award, Korean Economic Association, 2023
UNSW Business School Research Excellence Award, 2021
The Zellner Award for the best paper in theoretical econometrics published by the JoE in 2018 or 2019, Journal of Econometrics, 2020
UNSW Business School Non-Professorial Research Achievement Award, 2017
The Zellner Thesis Award (Honorable Mention) in Business and Economic Statistics, American Statistical Association, 2014
Grants
SNU New Faculty Startup Fund (KRW 50,000,000), 2022-2023
Australian Research Council (ARC) Discovery Project DP210101440 (AUD 336,939), 2021-2023
UNSW Business School Dean's Research Fellowship (AUD 60,000), 2020-2022
Health@Business UNSW Grant (AUD 3,500), 2020
Australian Research Council (ARC) Discovery Early Career Researcher Award (DECRA) DE170100787 (AUD 331,000), 2017-2019
UNSW Business School Research Grant (AUD 42,960), 2015-2017
UNSW Business School Special Research Grant (AUD 17,699), 2013-2014
Asian Meeting of the Econometric Society Travel Support for Young Economists (USD 800), 2011
University of Wisconsin-Madison Department of Economics Travel Grant (USD 150), 2011
Special Lectures
Causal Inference in Economics, November 2024, AI Institute, Seoul National University [YouTube]
Uncovering hidden causal relationship in data (public lecture for high school students), August 2024, Daegu Woonam High School [slides]
Data-based Causal Inference, October 2023, EBS 2 TV [video]
Synthetic Controls with Multiple Outcomes, March 2023, Institute of Social Sciences, Seoul National University [YouTube, slides]
Panel data analysis (1-day course for graduate students and applied researchers), May 2019, Pusan National University
Topics on IV and GMM (3-day course for graduate students and applied researchers), July 2018, Pusan National University
Conference and Invited Seminar Presentations
2025
Econometric Society World Congress [website], Seoul (scheduled in August)
The World Congress Pre-Conference Workshop in Econometrics, Seoul National University (scheduled in August)
University of Sydney
2024
Asia Meeting of the Econometric Society, East & Southeast Asia [website], Ho Chi Minh City
KBER Summer Institute: Recent Issues in Econometrics [program], Seoul National University
The 31st SJE International Symposium: Partial Identification in Econometrics [program], Seoul National University
Korean Economic Review International Conference [website], PyeongChang
The 18th SETA, Academia Sinica [website]
University of Queensland (webinar)
The Allied Economic Associations Annual Meeting, Seoul National University [website]
2023
Advances in Econometrics Conference in honor of Joon Y. Park [website], Indiana University Bloomington
Simon Fraser University
University of Victoria
Hangzhou International Conference On Frontiers of Data Science [website], Zhejiang University
Australasia Meeting of the Econometric Society [website], UNSW
EcoSta2023, Waseda University [website]
The 17th SETA, Singapore Management University [program]
CUHK Workshop on Econometrics, The Chinese University of Hong Kong [program]
The Korean Econometric Society Monthly Seminars [website], Ewha Womans University
University of California, Irvine (webinar)
2022
The Korean Econometric Society Summer Conference [program], Seoul National University
Sungkyunkwan University
Cemmap/SNU Workshop [program], Seoul National University
Macquarie University (webinar)
IAAE (International Association for Applied Econometrics) [website], King's College London
2021
University of Melbourne (webinar)
University at Albany - State University of New York (webinar)
CEBA (Center for Econometrics and Business Analytics) at St Petersburg State University (webinar)
University of Sydney Business School
2020
University of Wisconsin-Madison (webinar)
University of Adelaide (webinar)
The Korea-America Economic Association (KAEA) virtual seminar [website]
Virtual Econometric Society World Congress
Melbourne-Monash Online Econometrics Seminar
University of Queensland (cancelled due to COVID-19)
Monash MacroFinance workshop [program], Monash University
2019
Sydney Empirical Micro Workshop, UNSW
University of Melbourne
Australasia Meeting of the Econometric Society [website], Perth
The 15th SETA [program], Osaka University
Kyung Hee University
The 29th Australia and New Zealand Econometric Study Group Meeting (ANZESG) [program], Reserve Bank of New Zealand
2018
Academia Sinica
BK21plus International Conference on Econometrics, Korea University
IAAE (International Association for Applied Econometrics) [program], Université du Québec à Montréal and Université de Montréal
Asian Meeting of the Econometric Society, Sogang University
University of Seoul
New Frontiers in Econometrics Conference [program], University of Connecticut
The 14th SETA [program], University of Sydney Business School
2017
Seoul National University
Lancaster University
University College London
London School of Economics
University of Bristol
Midwest Econometrics Group Meeting [program], Texas A&M University
Sungkyunkwan University
University of Sydney
Monash University
2016
Sydney Econometrics Research Group (SERG) [program], University of New South Wales
Australasia Meeting of the Econometric Society [website], University of Technology Sydney
University of Adelaide
University of Melbourne
The 12th SETA/NZESG Joint Meeting, University of Waikato
Korea University
2015
University of Technology Sydney
Sydney Econometrics Research Group (SERG) [program], University of Sydney
Econometric Society World Congress [website], Montreal
Australian Conference of Economists (ACE) [website], Queensland University of Technology
2014
Hitotsubashi-Sogang Conference on Econometrics [program], Sogang University
Korea University
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 SETA [website], Academia Sinica
The 24th New Zealand Econometric Study Group Meeting (NZESG), University of Waikato
2013
University of Sydney
The 9th SETA, 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 [website], 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, Chicago Booth
Asian Meeting of the Econometric Society (AMES), Korea University
North American Summer Meeting of the Econometric Society (NASM), Washington University in St. Louis
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