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

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

based on testing or point estimation methods will be regular despite selection or regularization biases occurring in … estimation of the high-dimensional nuisance parameter. The results may be applied to establish uniform validity of post … "immunized" estimating equations that are locally insensitive to small mistakes in estimation of the high-dimensional nuisance …

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

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

Testing many moment inequalities

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016 - This version: September 10, 2015

This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are variety of economic applications where the problem of testing many moment in- equalities appears; a notable...

Persistent link: https://www.econbiz.de/10011525823

Testing many moment inequalities

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2014 - This version: December 16, 2014

This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are a variety of economic applications where the problem of testing many moment in- equalities appears; a notable...

Persistent link: https://www.econbiz.de/10010459258

Uniform post selection inference for LAD regression and other Z-estimation problems

Belloni, Alexandre; Chernozhukov, Victor; Kato, Kengo - 2014

model with homoscedastic errors. Our methods are based on a moment equation that is immunized against non-regular estimation … general non-smooth Z-estimation framework with the number of target parameters p1 being possibly much larger than the sample …

Persistent link: https://www.econbiz.de/10010462672

Exact and robust conformal inference methods for predictive machine learning with dependent data

Chernozhukov, Victor; Wüthrich, Kaspar; Zhu, Yinchu - 2018

We extend conformal inference to general settings that allow for time series data. Our proposal is developed as a randomization method and accounts for potential serial dependence by including block structures in the permutation scheme. As a result, the proposed method retains the exact,...

Persistent link: https://www.econbiz.de/10011804937

Uniform post selection inference for LAD regression models

Belloni, Alexandre; Chernozhukov, Victor; Kato, Kengo - 2013

-regular estimation of nuisance part of the regression function, in the sense of Neyman. We establish that in a homoscedastic regression …

Persistent link: https://www.econbiz.de/10009747946

Central limit theorems and multiplier bootstrap when p is much larger than n

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2012

high dimensional estimation, multiple hypothesis testing, and adaptive specification testing. All of our results contain …

Persistent link: https://www.econbiz.de/10009692028

Inference for best linear approximations to set identified functions

Chandrasekhar, Arun; Chernozhukov, Victor; Molinari, … - 2012

This paper provides inference methods for best linear approximations to functions which are known to lie within a band. It extends the partial identification literature by allowing the upper and lower functions defining the band to be any functions, including ones carrying an index, which can be...

Persistent link: https://www.econbiz.de/10009692055

Honest confidence regions for a regression parameter in logistic regression with a large number of controls

Belloni, Alexandre; Chernozhukov, Victor; Wei, Ying - 2013

This paper considers inference in logistic regression models with high dimensional data. We propose new methods for estimating and constructing confidence regions for a regression parameter of primary interest α0, a parameter in front of the regressor of interest, such as the treatment variable...

Persistent link: https://www.econbiz.de/10010226493