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This paper develops a semi-parametric procedure for estimation of unconditional quantile partial effects using quantile regression coefficients. The estimator is based on an identification result showing that, for continuous covariates,…
We study the off-policy evaluation (OPE) problem in an infinite-horizon Markov decision process with continuous states and actions. We recast the $Q$-function estimation into a special form of the nonparametric instrumental variables (NPIV)…
Instrumental variables (IVs) are often continuous, arising in diverse fields such as economics, epidemiology, and the social sciences. Existing approaches for continuous IVs typically impose strong parametric models or assume homogeneous…
Instrumental variable (IV) methods are central to causal inference from observational data, particularly when a randomized experiment is not feasible. However, of the three conventional core IV identification conditions, only one, IV…
In this paper, we develop a new censored quantile instrumental variable (CQIV) estimator and describe its properties and computation. The CQIV estimator combines Powell (1986) censored quantile regression (CQR) to deal with censoring, with…
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the dimensions of the moment restrictions and…
The purpose of this article is to develop a general parametric estimation theory that allows the derivation of the limit distribution of estimators in non-regular models where the true parameter value may lie on the boundary of the…
The problem of endogeneity in statistics and econometrics is often handled by introducing instrumental variables (IV) which fulfill the mean independence assumption, i.e. the unobservable is mean independent of the instruments. When full…
We consider the problem of regression with selectively observed covariates in a nonparametric framework. Our approach relies on instrumental variables that explain variation in the latent covariates but have no direct effect on selection.…
We introduce the Multiplicative Quasi-Instrumental Variable (MQIV) model, a framework for causal inference with unmeasured confounding that leverages an instrument that may be imperfectly exogenous. We allow the candidate quasi-instrument…
There has been growing attention on how to effectively and objectively use covariate information when the primary goal is to estimate the average treatment effect (ATE) in randomized clinical trials (RCTs). In this paper, we propose an…
We study the problem of nonparametric instrumental variable regression with observed covariates, which we refer to as NPIV-O. Compared with standard nonparametric instrumental variable regression (NPIV), the additional observed covariates…
In observational studies, treatments are typically not randomized and therefore estimated treatment effects may be subject to confounding bias. The instrumental variable (IV) design plays the role of a quasi-experimental handle since the IV…
In this paper, we propose an empirical likelihood-based weighted estimator of regression parameter in quantile regression model with nonignorable missing covariates. The proposed estimator is computationally simple and achieves…
Estimating causal effects from high-dimensional, structured exposures is a fundamental challenge in modern applications ranging from neuroscience and finance to environmental science. While the literature has addressed high-dimensional…
Quantile regression and conditional density estimation can reveal structure that is missed by mean regression, such as multimodality and skewness. In this paper, we introduce a deep learning generative model for joint quantile estimation…
Estimating the conditional quantile of the interested variable with respect to changes in the covariates is frequent in many economical applications as it can offer a comprehensive insight. In this paper, we propose a novel semiparametric…
General nonlinear sieve learnings are classes of nonlinear sieves that can approximate nonlinear functions of high dimensional variables much more flexibly than various linear sieves (or series). This paper considers general nonlinear sieve…
Generalized Linear Mixed Models (GLMMs) are widely used for analysing clustered data. One well-established method of overcoming the integral in the marginal likelihood function for GLMMs is penalized quasi-likelihood (PQL) estimation,…
In this paper, we are concerned with how to select significant variables in semiparametric modeling. Variable selection for semiparametric regression models consists of two components: model selection for nonparametric components and…