Related papers: Inference for Heterogeneous Effects using Low-Rank…

This paper studies inference in linear models with a high-dimensional parameter matrix that can be well-approximated by a ``spiked low-rank matrix.'' A spiked low-rank matrix has rank that grows slowly compared to its dimensions and nonzero…

This paper investigates nonlinear panel regression models with interactive fixed effects and introduces a general framework for parameter estimation under potentially non-convex objective functions. We propose a computationally feasible…

Recently, from the personalized medicine perspective, there has been an increased demand to identify subgroups of subjects for whom treatment is effective. Consequently, the estimation of heterogeneous treatment effects (HTE) has been…

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size.…

We develop a spectral approach for identifying and estimating average counterfactual outcomes under a low-rank factor model with short panel data and general outcome missingness patterns. Applications include event studies and studies of…

This paper proposes a doubly robust two-stage semiparametric difference-in-difference estimator for estimating heterogeneous treatment effects with high-dimensional data. Our new estimator is robust to model miss-specifications and allows…

We propose and analyse a reduced-rank method for solving least-squares regression problems with infinite dimensional output. We derive learning bounds for our method, and study under which setting statistical performance is improved in…

We study discrete panel data methods where unobserved heterogeneity is revealed in a first step, in environments where population heterogeneity is not discrete. We focus on two-step grouped fixed-effects (GFE) estimators, where individuals…

Regularized nonnegative low-rank approximations, such as sparse Nonnegative Matrix Factorization or sparse Nonnegative Tucker Decomposition, form an important branch of dimensionality reduction models known for their enhanced…

We introduce a dynamic distribution regression panel data model with heterogeneous coefficients across units. The objects of primary interest are functionals of these coefficients, including predicted one-step-ahead and stationary…

This paper develops a new model and estimation procedure for panel data that allows us to identify heterogeneous structural breaks. We model individual heterogeneity using a grouped pattern. For each group, we allow common structural breaks…

How to estimate heterogeneity, e.g. the effect of some variable differing across observations, is a key question in political science. Methods for doing so make simplifying assumptions about the underlying nature of the heterogeneity to…

Distributional effects, captured by quantile frameworks, are well-received for characterizing heterogeneous impacts of economic factors across the unobserved relative ranks. Censored outcome, endogenous regressor and heteroskedastic error…

We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects. Our approach can be regarded as a non-trivial extension of the very popular common correlated effects…

A central goal of modern causal inference is estimating heterogeneous treatment effects to answer questions like "how does an intervention affect each unit," rather than only on average. We study this problem with panel-data where we…

We study linear panel regression models in which the unobserved error term is an unknown smooth function of two-way unobserved fixed effects. In standard additive or interactive fixed effect models the individual specific and time specific…

The partial (ceteris paribus) effects of interest in nonlinear and interactive linear models are heterogeneous as they can vary dramatically with the underlying observed or unobserved covariates. Despite the apparent importance of…

This paper introduces a new fixed effects estimator for linear panel data models with clustered time patterns of unobserved heterogeneity. The method avoids non-convex and combinatorial optimization by combining a preliminary consistent…

In genetic studies, not only can the number of predictors obtained from microarray measurements be extremely large, there can also be multiple response variables. Motivated by such a situation, we consider semiparametric dimension reduction…

With the violation of the assumption of homoskedasticity, least squares estimators of the variance become inefficient and statistical inference conducted with invalid standard errors leads to misleading rejection rates. Despite a vast…