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After deployment, machine learning models often experience performance degradation due to shifts in data distribution. It is challenging to assess post-deployment performance accurately when labels are missing or delayed. Existing proxy…
This paper studies semiparametric identification of substitution and complementarity patterns between two goods using a panel multinomial choice model with bundles. The model allows the two goods to be either substitutes or complements and…
Additive regression models are actively researched in the statistical field because of their usefulness in the analysis of responses determined by non-linear relationships with multivariate predictors. In this kind of statistical models,…
The average treatment effect can obscure important heterogeneity when individuals respond differently to a treatment. While the conditional average treatment effect (CATE) function captures such heterogeneity, it is difficult to communicate…
We study the problem of detecting a common change point in large panel data based on a mean shift model, wherein the errors exhibit both temporal and cross-sectional dependence. A least squares based procedure is used to estimate the…
We incorporate a version of a spike and slab prior, comprising a pointmass at zero ("spike") and a Normal distribution around zero ("slab") into a dynamic panel data framework to model coefficient heterogeneity. In addition to homogeneity…
This paper considers the practically important case of nonparametrically estimating heterogeneous average treatment effects that vary with a limited number of discrete and continuous covariates in a selection-on-observables framework where…
This paper presents a backfitting-type method for estimating and forecasting a periodically correlated partially linear model with exogeneous variables and heteroskedastic input noise. A rate of convergence of the estimator is given. The…
A broad set of empirical phenomenon in the study of social, economic and machine behaviour can be modelled as complex systems with averaging dynamics. However many of these models naturally result in consensus or consensus-like outcomes. In…
Exogenous heterogeneity, for example, in the form of instrumental variables can help us learn a system's underlying causal structure and predict the outcome of unseen intervention experiments. In this paper, we consider linear models in…
Multidimensional heterogeneity and endogeneity are important features of models with multiple treatments. We consider a heterogeneous coefficients model where the outcome is a linear combination of dummy treatment variables, with each…
The paper proposes an estimator to make inference of heterogeneous treatment effects sorted by impact groups (GATES) for non-randomised experiments. The groups can be understood as a broader aggregation of the conditional average treatment…
We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, and an additive deterministic component consisting of a…
Many panel data have the latent subgroup effect on individuals, and it is important to correctly identify these groups since the efficiency of resulting estimators can be improved significantly by pooling the information of individuals…
Age-period-cohort (APC) analysis is one of the fundamental time-series analyses used in the social sciences. This paper evaluates APC analysis via systematic simulation in term of how well the artificial parameters are recovered. We…
In this article, we review quantile models with endogeneity. We focus on models that achieve identification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We…
We study coarsening phenomena in three different simple exclusion processes with quenched disordered jump rates. In the case of the totally asymmetric process, an earlier phenomenological description is improved, yielding for the time…
The vector autoregressive (VAR) model has been widely used for modeling temporal dependence in a multivariate time series. For large (and even moderate) dimensions, the number of AR coefficients can be prohibitively large, resulting in…
Error-in-variables regression is a common ingredient in treatment effect estimators using panel data. This includes synthetic control estimators, counterfactual time series forecasting estimators, and combinations. We study high-dimensional…
Nonparametric random coefficient (RC)-density estimation has mostly been considered in the marginal density case under strict independence of RCs and covariates. This paper deals with the estimation of RC-densities conditional on a…