Related papers: Higher-order Expansions and Inference for Panel Da…

We provide new results for nonparametric identification, estimation, and inference of causal effects using `proxy controls': observables that are noisy but informative proxies for unobserved confounding factors. Our analysis applies to…

Practical Bayesian learning often requires (1) online inference, (2) dynamic models, and (3) ensembling over multiple different models. Recent advances have shown how to use random feature approximations to achieve scalable, online…

In this paper, we study inference for high-dimensional data characterized by small sample sizes relative to the dimension of the data. In particular, we provide an infinite-dimensional framework to study statistical models that involve…

We derive the asymptotic theory of Bai (2009)'s interactive fixed effects estimator for unbalanced panels in which the source of attrition is conditionally random. For inference, we propose a method of alternating projections algorithm…

In this paper, we define an underlying data generating process that allows for different magnitudes of cross-sectional dependence, along with time series autocorrelation. This is achieved via high-dimensional moving average processes of…

This paper studies higher-order inference properties of nonparametric local polynomial regression methods under random sampling. We prove Edgeworth expansions for $t$ statistics and coverage error expansions for interval estimators that (i)…

This paper is concerned with high-dimensional panel data models where the number of regressors can be much larger than the sample size. Under the assumption that the true parameter vector is sparse we propose a panel-Lasso estimator and…

We obtain non-uniform Edgeworth expansions for several classes of weakly dependent (non-stationary) sequences of random variables, including uniformly elliptic inhomogeneous Markov chains, random and time-varying (partially) hyperbolic or…

Many popular estimation methods in panel data rely on the assumption that the covariates of interest are strictly exogenous. However, this assumption is empirically restrictive in a wide range of settings. In this paper I argue that…

This paper provides the relevant literature with a complete toolkit for conducting robust estimation and inference about the parameters of interest involved in a high-dimensional panel data framework. Specifically, (1) we allow for…

Testing network effects in weighted directed networks is a foundational problem in econometrics, sociology, and psychology. Yet, the prevalent edge dependency poses a significant methodological challenge. Most existing methods are…

We propose statistical inferential procedures for panel data models with interactive fixed effects in a kernel ridge regression framework.Compared with traditional sieve methods, our method is automatic in the sense that it does not require…

Inference for fixed effects estimators is often unreliable due to Nickell- and incidental parameter biases. While these issues are well understood for classical two-dimensional panels, little is known about three-dimensional panel…

This paper introduces unit-specific heterogeneity in panel data threshold regression. We develop the asymptotic theory for models with heterogeneous thresholds, heterogeneous slope coefficients, and interactive fixed effects. The estimation…

The paper introduces a generalization for known probabilistic models such as log-linear and graphical models, called here multiplicative models. These models, that express probabilities via product of parameters are shown to capture…

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size.…

Fixed effect estimators of nonlinear panel data models suffer from the incidental parameter problem. This leads to two undesirable consequences in applied research: (1) point estimates are subject to large biases, and (2) confidence…

In the current era of vast data and transparent machine learning, it is essential for techniques to operate at a large scale while providing a clear mathematical comprehension of the internal workings of the method. Although there already…

Networks play a central role in modern data analysis, enabling us to reason about systems by studying the relationships between their parts. Most often in network analysis, the edges are given. However, in many systems it is difficult or…

In this paper, we present a high-order expansion for elliptic equations in high-contrast media. The background conductivity is taken to be one and we assume the medium contains high (or low) conductivity inclusions. We derive an asymptotic…