Related papers: Approximate Operator Inversion for Average Effects…

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…

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…

Inverse optimization (IO) seeks to infer the parameters of a decision-maker's objective from observed context--action data. We study noiseless IO, where demonstrations are generated by a ground-truth objective. We provide a high-probability…

Model-free reinforcement learning algorithms combined with value function approximation have recently achieved impressive performance in a variety of application domains. However, the theoretical understanding of such algorithms is limited,…

We propose a new estimator for average causal effects of a binary treatment with panel data in settings with general treatment patterns. Our approach augments the popular two-way-fixed-effects specification with unit-specific weights that…

This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest -- means, variances, and other moments of the random…

This paper studies the estimation of linear panel data models with interactive fixed effects, where one dimension of the panel, typically time, may be fixed. To this end, a novel transformation is introduced that reduces the model to a…

We study the interactive effects (IE) model as an extension of the conventional additive effects (AE) model. For the AE model, the fixed effects estimator can be obtained by applying least squares to a regression that adds a linear…

This paper introduces a new fixed effects estimator for linear panel data models with clustered time patterns of unobserved heterogeneity. The method avoids non-convex and combinatorial optimization by combining a preliminary consistent…

Adaptive optics (AO) is a powerful tool employed across various research fields, from aerospace to microscopy. Traditionally, AO has focused on correcting optical phase aberrations, with recent advances extending to polarisation…

This article reviews recent advances in fixed effect estimation of panel data models for long panels, where the number of time periods is relatively large. We focus on semiparametric models with unobserved individual and time effects, where…

Many optimization algorithms$\unicode{x2013}$including gradient descent, proximal methods, and operator splitting techniques$\unicode{x2013}$can be formulated as fixed-point iterations (FPI) of continuous operators. When these operators are…

We present the results obtained with an end-to-end simulator of an Extreme Adaptive Optics (XAO) system control loop. It is used to predict its on-sky performances and to optimise the AO loop algorithms. It was first used to validate a…

This paper introduces a straightforward sieve-based approach for estimating and conducting inference on regression parameters in panel data models with interactive fixed effects. The method's key assumption is that factor loadings can be…

We study how to efficiently estimate average treatment effects (ATEs) using adaptive experiments. In adaptive experiments, experimenters sequentially assign treatments to experimental units while updating treatment assignment probabilities…

We study linear panel regression models in which the unobserved error term is an unknown smooth function of two-way unobserved fixed effects. In standard additive or interactive fixed effect models the individual specific and time specific…

We develop a simple model for the timely monitoring of correlated sources over a wireless network. Using this model, we study how to optimize weighted-sum average Age of Information (AoI) in the presence of correlation. First, we discuss…

Large language model (LLM) agents offer a promising data-driven approach to automating Site Reliability Engineering (SRE), yet their enterprise deployment is constrained by three challenges: restricted access to proprietary data, unsafe…

We derive fixed effects estimators of parameters and average partial effects in (possibly dynamic) nonlinear panel data models with individual and time effects. They cover logit, probit, ordered probit, Poisson and Tobit models that are…

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…