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参数不稳定下高维线性回归的变量选择AI 解读

This paper considers the problem of variable selection allowing for parameter instability. It distinguishes between signal and pseudo-signal variables that are correlated with the target variable, and noise variables that are not, and investigate the asymptotic properties of the One Covariate at a Time Multiple Testing (OCMT) method proposed by Chudik et al. (2018) under parameter insatiability. It is established that OCMT continues to asymptotically select an approximating…

机器学习预测通胀的收益：新证据AI 解读

Summary Medeiros et al. (2021) (Journal of Business & Economic Statistics, 39:1, 98–119) find that random forest (RF) outperforms US inflation forecasting benchmarks. We replicate the main results in Medeiros et al. (2021) and (1) considerably expand the set of machine learning methods, (2) analyse the predictive ability of both the initial and extended sets of methods on Canadian and UK data, (3) add results on coverage rates and widths of prediction intervals and (4)…

提升式 Hodrick–Prescott 滤波器的适用范围拓展AI 解读

Summary The global financial crisis and Covid‐19 recession have renewed discussion concerning trend‐cycle discovery in macroeconomic data, and boosting has recently upgraded the popular Hodrick‐Prescott filter to a modern machine learning device suited to data‐rich and rapid computational environments. This paper extends boosting's trend determination capability to higher order integrated processes and time series with roots that are local to unity. The theory is established…

皇家经济学会2021年年会萨根讲座AI 解读

Each year, The Econometrics Journal sponsors a plenary lecture at the Annual Conference of the Royal Economic Society. This Sargan Lecture commemorates the fundamental contributions to and profound influence on econometrics by (John) Denis Sargan. It does so by promoting econometric theory and methods with substantive direct or potential value in applications and their actual empirical application. It is chaired by an editor of The Econometrics Journal and published in the…

Wasserstein生成对抗网络作为极小极大最优分布估计量AI 解读

We provide nonasymptotic rates of convergence of the Wasserstein Generative Adversarial networks (WGAN) estimator. We build neural networks classes representing the generators and discriminators which yield a GAN that achieves the minimax optimal rate for estimating a certain probability measure μ with support in Rp. The probability μ is considered to be the push forward of the Lebesgue measure on the d-dimensional torus Td by a map g⋆:Td→Rp of smoothness β+1. Measuring the…

极值随机森林AI 解读

Classical methods for quantile regression fail in cases where the quantile of interest is extreme and only few or no training data points exceed it. Asymptotic results from extreme value theory can be used to extrapolate beyond the range of the data, and several approaches exist that use linear regression, kernel methods or generalized additive models. Most of these methods break down if the predictor space has more than a few dimensions or if the regression function of…

稳健验证：分布漂移下的预测不确定性保障AI 解读

While the traditional viewpoint in machine learning and statistics assumes training and testing samples come from the same population, practice belies this fiction. One strategy—coming from robust statistics and optimization—is thus to build a model robust to distributional perturbations. In this article, we take a different approach to describe procedures for robust predictive inference, where a model provides uncertainty estimates on its predictions rather than point…

集群随机实验中模型稳健且有效的协变量调整AI 解读

Cluster-randomized experiments are increasingly used to evaluate interventions in routine practice conditions, and researchers often adopt model-based methods with covariate adjustment in the statistical analyses. However, the validity of model-based covariate adjustment is unclear when the working models are misspecified, leading to ambiguity of estimands and risk of bias. In this article, we first adapt two conventional model-based methods, generalized estimating equations…

用于高维回归的因子增强稀疏直通深度 ReLU 神经网络AI 解读

This paper introduces a Factor Augmented Sparse Throughput (FAST) model that utilizes both latent factors and sparse idiosyncratic components for nonparametric regression. The FAST model bridges factor models on one end and sparse nonparametric models on the other end. It encompasses structured nonparametric models such as factor augmented additive models and sparse low-dimensional nonparametric interaction models and covers the cases where the covariates do not admit factor…

人应当向机器谎报吗？Lasso 与广义线性结构稀疏估计的激励相容性AI 解读

We consider situations where a user feeds her attributes to a machine learning method that tries to predict her best option based on a random sample of other users. The predictor is incentive-compatible if the user has no incentive to misreport her covariates. Focusing on the popular Lasso estimation technique, we borrow tools from high-dimensional statistics to characterize sufficient conditions that ensure that Lasso is incentive compatible in the asymptotic case. We…

利用多国非参数分位数因子模型研究增长风险AI 解读

We develop a nonparametric quantile panel regression model.Within each quantile, the quantile function is a combination of linear and nonlinear parts, which we approximate using Bayesian Additive Regression Trees (BART).Cross-sectional information is captured through a conditionally heteroscedastic latent factor.The nonparametric feature enhances flexibility, while the panel feature increases the number of observations in the tails.We develop Bayesian methods for inference…

结果条件平均结构导数的识别与自动去偏机器学习AI 解读

This study proposes a new class of heterogeneous causal quantities, referred to as outcome-conditioned average structural derivatives (OASDs), in a general nonseparable model. An OASD is the average partial effect of a marginal change in a continuous treatment on individuals located on different parts of an outcome distribution, irrespective of individuals’ characteristics. We show that OASDs extend the unconditional quantile partial effects (UQPE) proposed by Firpo, Fortin,…

随机子空间局部投影AI 解读

Abstract We show how random subspace methods can be adapted to estimating local projections with many controls. Random subspace methods have their roots in the machine learning literature and are implemented by averaging over regressions estimated over different combinations of subsets of these controls. We document three key results: (i) Our approach can successfully recover the impulse response functions across Monte Carlo experiments representative of different…

兼职补贴与母亲再就业：双重差分分析的证据AI 解读

Summary Employment interruptions of mothers are still one of the main causes for different labour market outcomes between women and men. Employment subsidies can incentivise mothers to shorten employment interruptions after childbirth. We examine a German parental leave reform incentivising an early return to part‐time work. Exploiting the exogenous variation defined by the child's birthday, we apply unconditional difference‐in‐differences (DiD) estimation using…

This paper investigates the stability of deep ReLU neural networks for nonparametric regression under the assumption that the noise has only a finite p-th moment. We unveil how the optimal rate of convergence depends on p, the degree of smoothness and the intrinsic dimension in a class of nonparametric regression functions with hierarchical composition structure when both the adaptive Huber loss and deep ReLU neural networks are used. This optimal rate of convergence cannot…

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一般数据集偏移下的高效且多重稳健风险估计AI 解读

. Despite extensive literature on dataset shift, limited works address how to efficiently use the auxiliary populations to improve the accuracy of risk evaluation for a given machine learning task in the target population. In this paper, we study the general problem of efficiently estimating target population risk under various dataset shift conditions, leveraging semiparametric efficiency theory. We consider a general class of dataset shift conditions, which includes three…

可微 Hilbert 空间值参数的一步估计AI 解读

rate estimators and corresponding confidence sets. These estimators correspond to generalizations of cross-fitted one-step estimators based on Hilbert-valued efficient influence functions. We give theoretical guarantees even when arbitrary estimators of nuisance functions are used, including those based on machine learning techniques. We show that these results naturally extend to Hilbert spaces that lack a reproducing kernel, as long as the parameter has an efficient…

样本选择下的异质处理效应界：社交媒体与政治极化应用AI 解读

We propose a method for estimation and inference for bounds for heterogeneous causal effect parameters in general sample selection models where the treatment can affect whether an outcome is observed and no exclusion restrictions are available. The method provides conditional effect bounds as functions of policy relevant pre-treatment variables. It allows for conducting valid statistical inference on the unidentified conditional effects. We use a flexible debiased/double…

马丁努森对《因果模型的参数化与模拟》的讨论AI 解读

I congratulate the authors on an interesting and useful contribution to the literature on causal inference. The authors propose a nice way of generating data so that a given causal structure of interest is preserved. This is a handy tool to have when for instance one needs to generate data to investigate small sample performance of a new inference procedure. I find it less attractive to use the suggested procedure for estimation purposes as is also alluded to in the paper…

电子健康记录中的树引导稀有特征选择与逻辑聚合AI 解读

Statistical learning with a large number of rare binary features is commonly encountered in analyzing electronic health records (EHR) data, especially in the modeling of disease onset with prior medical diagnoses and procedures. Dealing with the resulting highly sparse and large-scale binary feature matrix is notoriously challenging as conventional methods may suffer from a lack of power in testing and inconsistency in model fitting, while machine learning methods may suffer…

高维数据的渐近分布无关独立性检验AI 解读

Test of independence is of fundamental importance in modern data analysis, with broad applications in variable selection, graphical models, and causal inference. When the data is high dimensional and the potential dependence signal is sparse, independence testing becomes very challenging without distributional or structural assumptions. In this paper, we propose a general framework for independence testing by first fitting a classifier that distinguishes the joint and…

理想的贝叶斯局部自适应AI 解读

Many real-life applications involve estimation of curves that exhibit complicated shapes including jumps or varying-frequency oscillations. Practical methods have been devised that can adapt to a locally varying complexity of an unknown function (e.g. variable-knot splines, sparse wavelet reconstructions, kernel methods or trees/forests). However, the overwhelming majority of existing asymptotic minimaxity theory is predicated on homogeneous smoothness assumptions. Focusing…

包络中心子空间的半参数有效估计AI 解读

The estimation of the central space is at the core of the sufficient dimension reduction (SDR) literature. However, it is well known that the finite-sample estimation suffers from collinearity among predictors. Cook et al. (2013) proposed the predictor envelope method under linear models that can alleviate the problem by targeting a bigger space - which not only envelopes the central information, but also partitions the predictors by finding an uncorrelated set of material…

广义局部平均处理效应模型的有效稳健估计AI 解读

This article studies the estimation of causal parameters in the generalized local average treatment effect (GLATE) model, which expands upon the traditional LATE model to include multivalued treatments. We derive the efficient influence function (EIF) and the semiparametric efficiency bound (SPEB) for two types of causal parameters: the local average structural function (LASF) and the local average structural function for the treated (LASFT). The moment conditions generated…