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Indirect experiments provide a valuable framework for estimating treatment effects in situations where conducting randomized control trials (RCTs) is impractical or unethical. Unlike RCTs, indirect experiments estimate treatment effects by…
First, we analyze the variance of the Cross Validation (CV)-based estimators used for estimating the performance of classification rules. Second, we propose a novel estimator to estimate this variance using the Influence Function (IF)…
One of the most common mistakes made when performing data analysis is attributing causal meaning to regression coefficients. Formally, a causal effect can only be computed if it is identifiable from a combination of observational data and…
The method of instrumental variables provides a fundamental and practical tool for causal inference in many empirical studies where unmeasured confounding between the treatments and the outcome is present. Modern data such as the genetical…
Instrumental variable regression is a foundational tool for causal analysis across the social and biomedical sciences. Recent advances use kernel methods to estimate nonparametric causal relationships, with general data types, while…
For the over-identified linear instrumental variables model, researchers commonly report the 2SLS estimate along with the robust standard error and seek to conduct inference with these quantities. If errors are homoskedastic, one can…
We study causal inference for time-to-event outcomes under right censoring in the presence of unmeasured confounding. Focusing on structural accelerated failure time models, we develop an identification and inference framework that exploits…
Under treatment effect heterogeneity, an instrument identifies the instrument-specific local average treatment effect (LATE). With multiple instruments, two-stage least squares (2SLS) estimand is a weighted average of different LATEs. What…
Recently, many causal estimators for Conditional Average Treatment Effect (CATE) and instrumental variable (IV) problems have been published and open sourced, allowing to estimate granular impact of both randomized treatments (such as A/B…
Causal inference is crucial for understanding the true impact of interventions, policies, or actions, enabling informed decision-making and providing insights into the underlying mechanisms that shape our world. In this paper, we establish…
Consider the problem of estimating the local average treatment effect with an instrument variable, where the instrument unconfoundedness holds after adjusting for a set of measured covariates. Several unknown functions of the covariates…
In Randomised Controlled Trials (RCT) with treatment non-compliance, instrumental variable approaches are used to estimate complier average causal effects. We extend these approaches to cost-effectiveness analyses, where methods need to…
Conventional methods in causal effect inferencetypically rely on specifying a valid set of control variables. When this set is unknown or misspecified, inferences will be erroneous. We propose a method for inferring average causal effects…
We develop results for the use of Lasso and Post-Lasso methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, $p$. Our results apply even when $p$ is much…
Limited-information inference on New Keynesian Phillips Curves (NKPCs) and other single-equation macroeconomic relations is characterised by weak and high-dimensional instrumental variables (IVs). Beyond the efficiency concerns previously…
We propose a robust hypothesis testing procedure for the predictability of multiple predictors that could be highly persistent. Our method improves the popular extended instrumental variable (IVX) testing (Phillips and Lee, 2013; Kostakis…
This paper studies the identification and estimation of the optimal linear approximation of a structural regression function. The parameter in the linear approximation is called the Optimal Linear Instrumental Variables Approximation…
We propose the instrumental variable regime (IVR) method to estimate the causal effects of multiple sequential treatments. This method serves to address the problem of endogenous selections of sequential treatments. An IVR is a sequence of…
Instrumental variables (IVs) are extensively used to estimate treatment effects when the treatment and outcome are confounded by unmeasured confounders; however, weak IVs are often encountered in empirical studies and may cause problems.…
Causal mediation analysis aims to estimate the natural direct and indirect effects under clearly specified assumptions. Traditional mediation analysis based on Ordinary Least Squares (OLS) relies on the absence of unmeasured causes of the…