Sokbae "Simon" Lee
Contact Details
Professor, Department of Economics, Columbia University
Mailing Address:
Department of Economics
Columbia University
1022 International Affairs Building
420 West 118th Street
New York, NY 10027, USA
Email: sl3841 at columbia.edu
Research Staff, Cemmap, Institute for Fiscal Studies
Mailing Address:
Institute for Fiscal Studies
7 Ridgmount Street
London WC1E 7AE
UK
Curriculum Vitae
Research Interests
Econometrics, Applied Microeconomics, Statistics, Machine Learning
Recently Updated Working Papers
"Inference for Parameters Identified by Conditional Moment Restrictions Using a Genalized Bierens Maximum Statistic" (with Xiaohong Chen, Myung Hwan Seo and Myunghyun Song), June 2024.
"Individual Welfare Analysis: Random Quasilinear Utility, Independence, and Confidence Bounds" (with Junlong Feng), June 2024.
"Prediction Risk and Estimation Risk of the Ridgeless Least Squares Estimator under General Assumptions on Regression Errors" (with Sungyoon Lee), June 2024.
"Treatment Choice with Nonlinear Regret" (with Toru Kitagawa and Chen Qiu), February 2024.
"Bounding Treatment Effects by Pooling Limited Information across Observations" (with Martin Weidner), November 2023.
"Treatment Effects with Targeting Instruments" (with Bernard Salanié), November 2023.
"A Framework for Statistical Inference via Randomized Algorithms" (with Zhixiang Zhang and Edgar Dobriban), August 2023.
"Why North Korean Refugees are Reluctant to Compete: The Roles of Cognitive Ability" (with Syngjoo Choi, Byung-Yeon Kim, and Jungmin Lee), August 2023.
"A Robust Method for Microforecasting and Estimation of Random Effects" (with Raffaella Giacomini and Silvia Sarpietro), August 2023.
Forthcoming and Recent Publications
Forthcoming
"Fast Inference for Quantile Regression with Tens of Millions of Observations" (with Yuan Liao, Myung Hwan Seo and Youngki Shin), accepted for publication in the Journal of Econometrics.
"SGMM: Stochastic Approximation to Generalized Method of Moments" (with Xiaohong Chen, Yuan Liao, Myung Hwan Seo, Youngki Shin, and Myunghyun Song), accepted for publication in the Journal of Financial Econometrics, based on JFEC Invited Lecture given by Xiaohong Chen.
2024
"Causal Inference under Outcome-Based Sampling with Monotonicity Assumptions" (with Sung Jae Jun), Journal of Business & Economic Statistics, 42: 998-1009.
"North Korean Refugees' Implicit Bias against a Capitalistic Society Predicts Market Earnings" (with Syngjoo Choi, Kyu Sup Hahn, Byung-Yeon Kim, Eungik Lee, and Jungmin Lee), Journal of Development Economics, 169: 103276.
2023
"Identifying the Effect of Persuasion" (with Sung Jae Jun), Journal of Political Economy. 131: 2032-2058.
"Sparse Quantile Regression" (with Le-Yu Chen), Journal of Econometrics, 235: 2195-2217.
"Inference in a Class of Optimization Problems: Confidence Regions and Finite Sample Bounds on Errors in Coverage Probabilities" (with Joel Horowitz), Journal of Business & Economic Statistics, 41: 927-938.
"Treatment Choice, Mean Square Regret and Partial Identification" (with Toru Kitagawa and Chen Qiu), Japanese Economic Review, Special issue on Statistical Decision Theory and Treatment Choice, 74: 573-602.
"Average Adjusted Association: Efficient Estimation with High Dimensional Confounders" (with Sung Jae Jun), Proceedings of The 26th International Conference on Artificial Intelligence and Statistics (AISTATS), PMLR 206: 5980-5996.
2022
"Least Squares Estimation using Sketched Data with Heteroskedastic Errors" (with Serena Ng), Proceedings of the 39th International Conference on Machine Learning (ICML), 162: 12498–12520.
"Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling" (with Yuan Liao, Myung Hwan Seo and Youngki Shin), Proceedings of the AAAI Conference on Artificial Intelligence (AAAI), 36: 7381–7389.
"Knowledge Spillovers and Patent Citations: Trends in Geographic Localization, 1976-2015" (with Hyuk-Soo Kwon, Jihong Lee and Ryungha Oh), Economics of Innovation and New Technology, 31: 123-147.
Links to Working Papers, Publications, and Code
Research Profiles