Showing 1 - 10 of 13
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
We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...
Persistent link: https://www.econbiz.de/10009747934
. Efficient estimators and uniformly valid confidence intervals for regression coefficients on target variables (e.g., treatment … or policy variable) in a high-dimensional approximately sparse regression model, for average treatment effect (ATE) and … heteroscedastic and non-Gaussian errors are implemented. Moreover, joint/ simultaneous confidence intervals for regression …
Persistent link: https://www.econbiz.de/10011524715
This paper examines a general class of inferential problems in semiparametric and nonparametric models defined by conditional moment restrictions. We construct tests for the hypothesis that at least one element of the identified set satisfies a conjectured (Banach space) "equality" and/or (a...
Persistent link: https://www.econbiz.de/10011337665
statistics and proposed inference methods are based on the minimum of the generalized method of moments (GMM) objective function … have good power relative to unrestricted GMM. …
Persistent link: https://www.econbiz.de/10013332218
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
regression parameter in a partially linear regression model, DML applied to learn the coefficient on an endogenous variable in a …
Persistent link: https://www.econbiz.de/10011655554
. Examples of such parameters include individual regression coefficients, average treatment effects, average lifts, and demand or … leading cases of estimation and inference on the main parameter in a partially linear regression model and estimation and …
Persistent link: https://www.econbiz.de/10011538313
This paper provides a method to construct simultaneous confidence bands for quantile and quantile effect functions for possibly discrete or mixed discrete-continuous random variables. The construction is generic and does not depend on the nature of the underlying problem. It works in conjunction...
Persistent link: https://www.econbiz.de/10011647471
The understanding of co-movements, dependence, and influence between variables of interest is key in many applications. Broadly speaking such understanding can lead to better predictions and decision making in many settings. We propose Quantile Graphical Models (QGMs) to characterize prediction...
Persistent link: https://www.econbiz.de/10011775380