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We study statistical inference for small-noise-perturbed multiscale dynamical systems under the assumption that we observe a single time series from the slow process only. We construct estimators for both averaging and homogenization…
This paper explores the effects of simulated moments on the performance of inference methods based on moment inequalities. Commonly used confidence sets for parameters are level sets of criterion functions whose boundary points may depend…
Inference for functional linear models in the presence of heteroscedastic errors has received insufficient attention given its practical importance; in fact, even a central limit theorem has not been studied in this case. At issue,…
This paper considers the generation of prediction intervals (PIs) by neural networks for quantifying uncertainty in regression tasks. It is axiomatic that high-quality PIs should be as narrow as possible, whilst capturing a specified…
Causality lays the foundation for the trajectory of our world. Causal inference (CI), which aims to infer intrinsic causal relations among variables of interest, has emerged as a crucial research topic. Nevertheless, the lack of observation…
We present a new distribution-free conformal prediction algorithm for sequential data (e.g., time series), called the \textit{sequential predictive conformal inference} (\texttt{SPCI}). We specifically account for the nature that time…
As predictive algorithms grow in popularity, using the same dataset to both train and test a new model has become routine across research, policy, and industry. Sample-splitting attains valid inference on model properties by using separate…
In many areas of engineering and sciences, decision rules and control strategies are usually designed based on nominal values of relevant system parameters. To ensure that a control strategy or decision rule will work properly when the…
It has become standard for empirical studies to conduct inference robust to cluster dependence and heterogeneity. With a small number of clusters, the normal approximation for the $t$-statistics of regression coefficients may be poor. This…
This paper tackles the challenge of detecting unreliable behavior in regression algorithms, which may arise from intrinsic variability (e.g., aleatoric uncertainty) or modeling errors (e.g., model uncertainty). First, we formally introduce…
Model misspecification is ubiquitous in data analysis because the data-generating process is often complex and mathematically intractable. Therefore, assessing estimation uncertainty and conducting statistical inference under a possibly…
Interval identification of parameters such as average treatment effects, average partial effects and welfare is particularly common when using observational data and experimental data with imperfect compliance due to the endogeneity of…
We study linear regressions in a context where the outcome of interest and some of the covariates are observed in two different datasets that cannot be matched. Traditional approaches obtain point identification by relying, often…
The statistical analysis of clinical trials is often complicated by missing data. Patients sometimes experience intercurrent events (ICEs), which usually (although not always) lead to missing subsequent outcome measurements for such…
There is a fast growing literature that set-identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted…
We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard…
We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We demonstrate that existing estimators and confidence intervals (CIs) can be heavily biased and…
We are sometimes forced to use the Interrupted Time Series (ITS) design as an identification strategy for potential policy change, such as when we only have a single treated unit and no comparable controls. For example, with recent county-…
In medical settings, treatment assignment may be determined by a clinically important covariate that predicts patients' risk of event. There is a class of methods from the social science literature known as regression discontinuity (RD)…
Indirect inference requires simulating realisations of endogenous variables from the model under study. When the endogenous variables are discontinuous functions of the model parameters, the resulting indirect inference criterion function…