Related papers: High-dimensional Model-assisted Inference for Loca…

In this paper, we develop a multiply robust inference procedure of the average treatment effect (ATE) for data with high-dimensional covariates. We consider the case where it is difficult to correctly specify a single parametric model for…

In the conventional regression-discontinuity (RD) design, the probability that units receive a treatment changes discontinuously as a function of one covariate exceeding a threshold or cutoff point. This paper studies an extended RD design…

Applied work often studies the effect of a binary variable ("treatment") using linear models with additive effects. I study the interpretation of the OLS estimands in such models when treatment effects are heterogeneous. I show that the…

Many treatment variables used in empirical applications nest multiple unobserved versions of a treatment. I show that instrumental variable (IV) estimands for the effect of a composite treatment are IV-specific weighted averages of effects…

We propose a doubly robust estimator for the average treatment effect in high dimensional low sample size observational studies, where contamination and model misspecification pose serious inferential challenges. The estimator combines…

When estimating causal effects from observational studies, researchers often need to adjust for many covariates to deconfound the non-causal relationship between exposure and outcome, among which many covariates are discrete. The behavior…

We propose a doubly robust approach to characterizing treatment effect heterogeneity in observational studies. We develop a frequentist inferential procedure that utilizes posterior distributions for both the propensity score and outcome…

Penalized regression methods, most notably the lasso, are a popular approach to analyzing high-dimensional data. An attractive property of the lasso is that it naturally performs variable selection. An important area of concern, however, is…

Instrumental variable methods are among the most commonly used causal inference approaches to deal with unmeasured confounders in observational studies. The presence of invalid instruments is the primary concern for practical applications,…

Instrumental variables (IVs) are widely used for estimating causal effects in the presence of unmeasured confounding. Under the standard IV model, however, the average treatment effect (ATE) is only partially identifiable. To address this,…

We introduce a framework for estimating causal effects of binary and continuous treatments in high dimensions. We show how posterior distributions of treatment and outcome models can be used together with doubly robust estimators. We…

Lasso-type estimators are routinely used to estimate high-dimensional time series models. The theoretical guarantees established for these estimators typically require the penalty level to be chosen in a suitable fashion often depending on…

In this article the package High-dimensional Metrics (\texttt{hdm}) is introduced. It is a collection of statistical methods for estimation and quantification of uncertainty in high-dimensional approximately sparse models. It focuses on…

High dimensional Vector Autoregressions (VAR) have received a lot of interest recently due to novel applications in health, engineering, finance and the social sciences. Three issues arise when analyzing VAR's: (a) The high dimensional…

In this paper, we discuss causal inference on the efficacy of a treatment or medication on a time-to-event outcome with competing risks. Although the treatment group can be randomized, there can be confoundings between the compliance and…

This paper investigates the finite sample performance of a range of parametric, semi-parametric, and non-parametric instrumental variable estimators when controlling for a fixed set of covariates to evaluate the local average treatment…

We consider the problem of estimating and inferring treatment effects in randomized experiments. In practice, stratified randomization, or more generally, covariate-adaptive randomization, is routinely used in the design stage to balance…

In causal inference about two treatments, Conditional Average Treatment Effects (CATEs) play an important role as a quantity representing an individualized causal effect, defined as a difference between the expected outcomes of the two…

Empirical researchers are increasingly faced with rich data sets containing many controls or instrumental variables, making it essential to choose an appropriate approach to variable selection. In this paper, we provide results for valid…

Instrumental variable (IV) methods are widely used to infer treatment effects in the presence of unmeasured confounding. In this paper, we study nonparametric inference with an IV under a separable binary treatment choice model, which…