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Valid post-selection and post-regularization inference : an elementary, general approach

Chernozhukov, Victor; Hansen, Christian Bailey; … - 2016

Here we present an expository, general analysis of valid post-selection or post-regularization inference about a low-dimensional target parameter in the presence of a very high-dimensional nuisance parameter which is estimated using selection or regularization methods. Our analysis provides a...

Persistent link: https://www.econbiz.de/10011524714

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2015 - This version: September 20, 2015

In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment,...

Persistent link: https://www.econbiz.de/10011337681

Instrumental variables in models with multiple outcomes : the general unordered case

Heckman, James J.; Urzua, Sergio; Vytlacil, Edward - 2008

This paper develops the method of local instrumental variables for models with multiple, unordered treatments when treatment choice is determined by a nonparametric version of the multinomial choice model. Responses to interventions are permitted to be heterogeneous in a general way and agents...

Persistent link: https://www.econbiz.de/10003870351

Sparse models and methods for optimal instruments with an application to eminent domain

Belloni, A.; Chen, D.; Chernozhukov, Victor; Hansen, … - 2010

sample size, n. We rigorously develop asymptotic distribution and inference theory for the resulting IV estimators and … functions which are of independent theoretical and practical interest. Specifically, we develop the asymptotic theory for these … innovatively using moderate deviation theory for self-normalized sums, we provide convergence rates for these estimators that are …

Persistent link: https://www.econbiz.de/10008695561

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2013

We consider estimation of policy relevant treatment effects in a data-rich environ ment where there may be many more control variables available than there are observations. In addition to allowing many control variables, the setting we consider allows heterogeneous treatment effects, endogenous...

Persistent link: https://www.econbiz.de/10010200037

Quantile models with endogeneity

Chernozhukov, Victor; Hansen, Christian Bailey - 2013

In this article, we review quantile models with endogeneity. We focus on models that achieve indentification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We discuss key conditions, which include monotonicity and...

Persistent link: https://www.econbiz.de/10009747939

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2013

In the first part of the paper, we consider estimation and inference on policy relevant treatment effects, such as local average and local quantile treatment effects, in a data-rich environment where there may be many more control variables available than there are observations. In addition to...

Persistent link: https://www.econbiz.de/10010227452

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2014 - This version: August 8, 2014

In this paper, we consider estimation of general modern moment-condition problems in econometrics in a data-rich environment where there may be many more control variables available than there are observations. The framework we consider allows for a continuum of target parameters and for...

Persistent link: https://www.econbiz.de/10010388633

Testing the correlated random coefficient model

Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2010

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baselinepretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10003989944

Tests of hypotheses arising in the correlated random coefficient model

Heckman, James J.; Schmierer, Daniel - 2010

This paper examines the correlated random coefficient model. It extends the analysis of Swamy (1971, 1974), who pioneered the uncorrelated random coefficient model in economics. We develop the properties of the correlated random coefficient model and derive a new representation of the variance...

Persistent link: https://www.econbiz.de/10008821804