Related papers: Threshold Regression in Heterogeneous Panel Data w…
Panel data allows for the modeling of unobserved heterogeneity, significantly raising the number of nuisance parameters and making high dimensionality a practical issue. Meanwhile, temporal and cross-sectional dependence in panel data…
We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effects dynamic panel data models. The inequalities are valid for the coefficients of the dynamic and exogenous regressors. Separate oracle inequalities…
Heterogeneity is a hallmark of complex diseases. Regression-based heterogeneity analysis, which is directly concerned with outcome-feature relationships, has led to a deeper understanding of disease biology. Such an analysis identifies the…
Statistical inference of heterogeneous treatment effects (HTEs) across predefined subgroups is challenging when units interact because treatment effects may vary by pre-treatment variables, post-treatment exposure variables (that measure…
The maximum-likelihood estimator of nonlinear panel data models with fixed effects is consistent but asymptotically-biased under rectangular-array asymptotics. The literature has thus far concentrated its effort on devising methods to…
Nonparametric regression problems with qualitative constraints such as monotonicity or convexity are ubiquitous in applications. For example, in predicting the yield of a factory in terms of the number of labor hours, the monotonicity of…
Average partial effects (APEs) are often not point identified in panel models with unrestricted unobserved individual heterogeneity, such as a binary response panel model with fixed effects and logistic errors as a special case. This lack…
We develop a Gaussian-process mixture model for heterogeneous treatment effect estimation that leverages the use of transformed outcomes. The approach we will present attempts to improve point estimation and uncertainty quantification…
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…
In this paper, we estimate and leverage latent constant group structure to generate the point, set, and density forecasts for short dynamic panel data. We implement a nonparametric Bayesian approach to simultaneously identify coefficients…
We provide new identification results for panel data models with peer effects operating through unobserved individual heterogeneity. The results apply for general network structures governing peer interactions and allow for correlated…
Randomized clinical trials typically aim to estimate a marginal treatment effect. While covariate adjustment can improve precision, it may change the estimand in nonlinear models due to noncollapsibility, leading to conditional rather than…
In recent years, with the rapid development of science and technology, heterogeneous treatment effects have emerged as a focal research topic in statistics, econometrics, and sociology. This paper investigates HTE through semiparametric…
New procedures for detecting a change in the cross-sectional mean of panel data are proposed. The procedures rely on estimating nuisance parameters using certain cross-sectional means across panels using a weighted least squares regression.…
A central goal of modern causal inference is estimating heterogeneous treatment effects to answer questions like "how does an intervention affect each unit," rather than only on average. We study this problem with panel-data where we…
In this paper, we construct the simultaneous confidence band (SCB) for the nonparametric component in partially linear panel data models with fixed effects. We remove the fixed effects, and further obtain the estimators of parametric and…
This paper analyzes how interaction effects can be consistently estimated under economically plausible assumptions in linear panel models with a fixed $T$-dimension. We advocate for a \emph{correlated interaction term estimator} (CITE) and…
Approximating time-varying unobserved heterogeneity by discrete types has become increasingly popular in economics. Yet, provably valid post-clustering inference for target parameters in models that do not impose an exact group structure is…
We consider an additive partially linear framework for modelling massive heterogeneous data. The major goal is to extract multiple common features simultaneously across all sub-populations while exploring heterogeneity of each…
Linear regression on network-linked observations has been an essential tool in modeling the relationship between response and covariates with additional network structures. Previous methods either lack inference tools or rely on restrictive…