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

. 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

Dynamic heterogeneous distribution regression panel models, with an application to labor income processes

Fernández-Val, Iván; Gao, Wayne Yuan; Liao, Yuan; … - 2022

We consider estimation of a dynamic distribution regression panel data model with heterogeneous coefficients across …

Persistent link: https://www.econbiz.de/10013173197

On policy evaluation with aggregate time-series instruments

Arkhangelsky, Dmitry; Korovkin, Vasily - 2024

Persistent link: https://www.econbiz.de/10014507747

Bias corrections for two-step fixed effects panel data estimators

Fernández-Val, Iván (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003428365

Constrained conditional moment restriction models

Chernozhukov, Victor; Newey, Whitney K.; Santos, Andres - 2015

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

Constrained conditional moment restriction models

Chernozhukov, Victor; Newey, Whitney K.; Santos, Andres - 2022 - This Draft: April 2022

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

Non-random exposure to exogenous shocks : theory and applications

Borusyak, Kirill; Hull, Peter - 2020

Persistent link: https://www.econbiz.de/10012306198

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

Direct and indirect treatment effects : causal chains and mediation analysis with instrumental variables

Frölich, Markus; Huber, Martin - 2014

This paper discusses the nonparametric identi.cation of causal direct and indirect effects of a binary treatment based on instrumental variables. We identify the indirect effect, which operates through a mediator (i.e. intermediate variable) that is situated on the causal path between the...

Persistent link: https://www.econbiz.de/10010382130

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