Related papers: Nested Nonparametric Instrumental Variable Regress…
We study the multiplicative hazards model with intermittently observed longitudinal covariates and time-varying coefficients. For such models, the existing ad hoc approach, such as the last value carried forward, is biased. We propose a…
We develop a general theory of omitted variable bias for a wide range of common causal parameters, including (but not limited to) averages of potential outcomes, average treatment effects, average causal derivatives, and policy effects from…
When an exposure of interest is confounded by unmeasured factors, an instrumental variable (IV) can be used to identify and estimate certain causal contrasts. Identification of the marginal average treatment effect (ATE) from IVs relies on…
In the instrumental variable quantile regression (IVQR) model of Chernozhukov and Hansen (2005), a one-dimensional unobserved rank variable monotonically determines a single potential outcome. In practice, when researchers are interested in…
Traditionally, spline or kernel approaches in combination with parametric estimation are used to infer the linear coefficient (fixed effects) in a partially linear mixed-effects model for repeated measurements. Using machine learning…
A ubiquitous feature of data of our era is their extra-large sizes and dimensions. Analyzing such high-dimensional data poses significant challenges, since the feature dimension is often much larger than the sample size. This thesis…
Additive regression provides an extension of linear regression by modeling the signal of a response as a sum of functions of covariates of relatively low complexity. We study penalized estimation in high-dimensional nonparametric additive…
Uncertainty in the estimation of the causal effect in observational studies is often due to unmeasured confounding, i.e., the presence of unobserved covariates linking treatments and outcomes. Instrumental Variables (IV) are commonly used…
We consider nonparametric prediction with multiple covariates, in particular categorical or functional predictors, or a mixture of both. The method proposed bases on an extension of the Nadaraya-Watson estimator where a kernel function is…
Nonparametric regression models offer a way to understand and quantify relationships between variables without having to identify an appropriate family of possible regression functions. Although many estimation methods for these models have…
Inferring the parameters of a stochastic model based on experimental observations is central to the scientific method. A particularly challenging setting is when the model is strongly indeterminate, i.e. when distinct sets of parameters…
Many inverse problems include nuisance parameters which, while not of direct interest, are required to recover primary parameters. Structure present in these problems allows efficient optimization strategies - a well known example is…
It is often of interest to estimate regression functions non-parametrically. Penalized regression (PR) is one statistically-effective, well-studied solution to this problem. Unfortunately, in many cases, finding exact solutions to PR…
Robustness under perturbation and contamination is a prominent issue in statistical learning. We address the robust nonlinear regression based on the so-called interval conditional value-at-risk (In-CVaR), which is introduced to enhance…
Limited-information inference on New Keynesian Phillips Curves (NKPCs) and other single-equation macroeconomic relations is characterised by weak and high-dimensional instrumental variables (IVs). Beyond the efficiency concerns previously…
Compositional data arise in many real-life applications and versatile methods for properly analyzing this type of data in the regression context are needed. When parametric assumptions do not hold or are difficult to verify, non-parametric…
The prediction of future insurance claims based on observed risk factors, or covariates, help the actuary set insurance premiums. Typically, actuaries use parametric regression models to predict claims based on the covariate information.…
I propose kernel ridge regression estimators for nonparametric dose response curves and semiparametric treatment effects in the setting where an analyst has access to a selected sample rather than a random sample; only for select…
There are many environments in econometrics which require nonseparable modeling of a structural disturbance. In a nonseparable model with endogenous regressors, key conditions are validity of instrumental variables and monotonicity of the…
One obstacle to ``elevating" correlation to causation is the phenomenon of confounding, i.e., when a correlation between two variables exists because both variables are in fact caused by a third variable. The situation where the confounders…