Related papers: Wild Bootstrap for Instrumental Variables Regressi…
Subsampling and block-based bootstrap methods have been used in a wide range of inference problems for time series. To accommodate the dependence, these resampling methods involve a bandwidth parameter, such as subsampling window width and…
There are two notoriously hard problems in cluster analysis, estimating the number of clusters, and checking whether the population to be clustered is not actually homogeneous. Given a dataset, a clustering method and a cluster validation…
This paper considers the instrumental variable quantile regression model (Chernozhukov and Hansen, 2005, 2013) with a binary endogenous treatment. It offers two identification results when the treatment status is not directly observed. The…
Heavy-tailed errors impair the accuracy of the least squares estimate, which can be spoiled by a single grossly outlying observation. As argued in the seminal work of Peter Huber in 1973 [{\it Ann. Statist.} {\bf 1} (1973) 799--821], robust…
We provide a new flexible framework for inference with the instrumental variable model. Rather than using linear specifications, functions characterizing the effects of instruments and other explanatory variables are estimated using machine…
We consider the performance of the bootstrap in high-dimensions for the setting of linear regression, where $p<n$ but $p/n$ is not close to zero. We consider ordinary least-squares as well as robust regression methods and adopt a minimalist…
This paper provides an entire inference procedure for the autoregressive model under (conditional) heteroscedasticity of unknown form with a finite variance. We first establish the asymptotic normality of the weighted least absolute…
This paper introduces a class of jackknife-based test statistics for linear regression models with endogeneity and heteroskedasticity in the presence of many potentially weak instrumental variables. The tests may be used when considering…
Mendelian randomization (MR) considers using genetic variants as instrumental variables (IVs) to infer causal effects in observational studies. However, the validity of causal inference in MR can be compromised when the IVs are potentially…
Causal inference studies whether the presence of a variable influences an observed outcome. As measured by quantities such as the "average treatment effect," this paradigm is employed across numerous biological fields, from vaccine and drug…
The bootstrap is a popular and convenient method for quantifying the authority of an empirical ordering of attributes, for example of a ranking of the performance of institutions or of the influence of genes on a response variable. In the…
The bootstrap is a popular data-driven method to quantify statistical uncertainty, but for modern high-dimensional problems, it could suffer from huge computational costs due to the need to repeatedly generate resamples and refit models. We…
In many modern statistical problems, the limited available data must be used both to develop the hypotheses to test, and to test these hypotheses-that is, both for exploratory and confirmatory data analysis. Reusing the same dataset for…
We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then, we show that the test is asymptotically of correct level,…
Inference methods for computing confidence intervals in parametric settings usually rely on consistent estimators of the parameter of interest. However, it may be computationally and/or analytically burdensome to obtain such estimators in…
Data-driven risk analysis involves the inference of probability distributions from measured or simulated data. In the case of a highly reliable system, such as the electricity grid, the amount of relevant data is often exceedingly limited,…
Standard statistical methods that do not take proper account of the complexity of survey design can lead to erroneous inferences when applied to survey data due to unequal selection probabilities, clustering, and other design features. In…
Cross-validation is a widely used technique for evaluating the performance of prediction models, ranging from simple binary classification to complex precision medicine strategies. It helps correct for optimism bias in error estimates,…
Drawing statistical inferences from large datasets in a model-robust way is an important problem in statistics and data science. In this paper, we propose methods that are robust to large and unequal noise in different observational units…
The classical tests in the instrumental variable model can behave arbitrarily if the data is contaminated. For instance, one outlying observation can be enough to change the outcome of a test. We develop a framework to construct testing…