Related papers: Nonparametric Jackknife Instrumental Variable Esti…
Integrative analysis of disparate data blocks measured on a common set of experimental subjects is one major challenge in modern data analysis. This data structure naturally motivates the simultaneous exploration of the joint and individual…
Instrumental variables (IVs) are a popular and powerful tool for estimating causal effects in the presence of unobserved confounding. However, classical approaches rely on strong assumptions such as the $\textit{exclusion criterion}$, which…
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,…
This paper presents a simple method for carrying out inference in a wide variety of possibly nonlinear IV models under weak assumptions. The method is non-asymptotic in the sense that it provides a finite sample bound on the difference…
We study the implications of including many covariates in a first-step estimate entering a two-step estimation procedure. We find that a first order bias emerges when the number of \textit{included} covariates is "large" relative to the…
Instrumental variables (IV) regression is widely used to estimate causal treatment effects in settings where receipt of treatment is not fully random, but there exists an instrument that generates exogenous variation in treatment exposure.…
This paper develops a general method of inference for fixed effects models which is (i) automatic, (ii) computationally inexpensive, (iii) tuning parameter-free, and (iv) highly model agnostic. Specifically, we show how to combine a…
Several causal parameters in short panel data models are functionals of a nested nonparametric instrumental variable regression (nested NPIV). Recent examples include mediated, time varying, and long term treatment effects identified using…
Estimating the conditional quantile of the interested variable with respect to changes in the covariates is frequent in many economical applications as it can offer a comprehensive insight. In this paper, we propose a novel semiparametric…
Estimating the causal effect of a treatment on the entire response distribution is an important yet challenging task. For instance, one might be interested in how a pension plan affects not only the average savings among all individuals but…
The instrumental variable (IV) approach is a widely used way to estimate the causal effects of a treatment on an outcome of interest from observational data with latent confounders. A standard IV is expected to be related to the treatment…
Research in several fields now requires the analysis of data sets in which multiple high-dimensional types of data are available for a common set of objects. In particular, The Cancer Genome Atlas (TCGA) includes data from several diverse…
Nonparametric Instrumental Variables (NPIV) analysis is based on a conditional moment restriction. We show that if this moment condition is even slightly misspecified, say because instruments are not quite valid, then NPIV estimates can be…
The error or variability of machine learning algorithms is often assessed by repeatedly re-fitting a model with different weighted versions of the observed data. The ubiquitous tools of cross-validation (CV) and the bootstrap are examples…
We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator…
We propose \textbf{JAWS}, a series of wrapper methods for distribution-free uncertainty quantification tasks under covariate shift, centered on the core method \textbf{JAW}, the \textbf{JA}ckknife+ \textbf{W}eighted with data-dependent…
We study cluster-robust inference for logistic regression (logit) models. Inference based on the most commonly-used cluster-robust variance matrix estimator (CRVE) can be very unreliable. We study several alternatives. Conceptually the…
A popular way to estimate the causal effect of a variable x on y from observational data is to use an instrumental variable (IV): a third variable z that affects y only through x. The more strongly z is associated with x, the more reliable…
Traditional instrumental variable (IV) estimators face a fundamental constraint: they can only accommodate as many endogenous treatment variables as available instruments. This limitation becomes particularly challenging in settings where…
Instrumental variable (IV) methods play a central role in causal inference, particularly in settings where treatment assignment is confounded by unobserved variables. IV methods have been extensively developed in recent years and applied…