每日简报

协方差驱动的回归树：降低CART过拟合AI 解读

Decision trees are powerful machine learning algorithms, widely used in fields such as economics and medicine for their simplicity and interpretability. However, decision trees such as CART are prone to overfitting, especially when grown deep or the sample size is small. Conventional methods to reduce overfitting include pre-pruning and post-pruning, which constrain the growth of uninformative branches. In this paper, we propose a complementary approach by introducing a…

主成分引导的稀疏降秩回归AI 解读

Reduced-rank regression estimates regression coefficients by imposing a low-rank constraint on the matrix of regression coefficients, thereby accounting for correlations among response variables. To further improve predictive accuracy and model interpretability, several regularized reduced-rank regression methods have been proposed. However, these existing methods cannot bias the regression coefficients toward the leading principal component directions while accounting for…

以连接为处理：网络边干预的因果推断AI 解读

Causal inference has traditionally focused on interventions at the unit level. In many applications, however, the central question concerns the causal effects of connections between units, such as transportation links, social relationships, or collaborative ties. We develop a causal framework for edge interventions in networks, where treatments correspond to the presence or absence of edges. Our framework defines causal estimands under stochastic interventions on the network…

协变量漂移下的最小 Wasserstein 距离估计：闭式解、超效率与非正则性AI 解读

Covariate shift arises when covariate distributions differ between source and target populations while the conditional distribution of the response remains invariant, and it underlies problems in missing data and causal inference. We propose a minimum Wasserstein distance estimation framework for inference under covariate shift that avoids explicit modeling of outcome regressions or importance weights. The resulting W-estimator admits a closed-form expression and is…

度量空间值结局的函数型合成控制方法AI 解读

The synthetic control method (SCM) is a widely used tool for evaluating causal effects of policy changes in panel data settings. Recent studies have extended its framework to accommodate complex outcomes that take values in metric spaces, such as distributions, functions, networks, covariance matrices, and compositional data. However, due to the lack of linear structure in general metric spaces, theoretical guarantees for estimation and inference within these extended…

巴西五年期 DI 期货利率变动的基点分解AI 解读

This paper proposes an empirical, replicable, and interpretable framework to decompose, in basis points (bps), daily changes in Brazil's 5-year DI futures rate (DI5Y). The approach combines three building blocks: (i) macroeconomic and fiscal expectations from the Central Bank of Brazil Focus survey, converted into daily changes; (ii) a supervised macro factor built with Partial Least Squares (PLS) that summarizes changes in expectations together with a high-frequency macro…

分段局部平稳时间序列中多个变点的推断AI 解读

Change-point detection and locally stationary time series modeling are two major approaches for the analysis of non-stationary data. The former aims to identify stationary phases by detecting abrupt changes in the dynamics of a time series model, while the latter employs (locally) time-varying models to describe smooth changes in dependence structure of a time series. However, in some applications, abrupt and smooth changes can co-exist, and neither of the two approaches…

伪日期检验：大语言模型宏观预测的样本内准确性可信吗？AI 解读

Large language models (LLMs) are a type of machine learning tool that economists have started to apply in their empirical research. One such application is macroeconomic forecasting with backtesting of LLMs, even though they are trained on the same data that is used to estimate their forecasting performance. Can these in-sample accuracy results be extrapolated to the model's out-of-sample performance? To answer this question, we developed a family of prompt sensitivity tests…

结果缺失下的多环境不变性学习AI 解读

Learning models that can handle distribution shifts is a key challenge in domain generalization. Invariance learning, an approach that focuses on identifying features invariant across environments, improves model generalization by capturing stable relationships, which may represent causal effects when the data distribution is encoded within a structural equation model (SEM) and satisfies modularity conditions. This has led to a growing body of work that builds on invariance…

广义 Riesz 回归：基于 Bregman 散度拟合的去偏机器学习统一框架AI 解读

Estimating the Riesz representer is central to debiased machine learning, yet the generator and representer model determine which regression directions their first-order conditions protect. We introduce generalized Riesz regression, which minimizes a Bregman divergence made observable by the Riesz identity. Squared and Kullback--Leibler-type choices recover Riesz regression, tailored loss minimization, and density-ratio objectives. For any twice-differentiable generator and…

潜在结局实验的因果推断：关键结果及其设计与分析含义AI 解读

How should researchers analyze randomized experiments in which the main outcome is latent and measured in multiple ways but each measure contains some degree of error? We first identify a critical study-specific noncomparability problem in existing methods for handling multiple measurements, which often rely on strong modeling assumptions or arbitrary standardization. Such approaches render the resulting estimands noncomparable across studies. To address the problem, we…

基于反事实预测的处理效应估计AI 解读

We consider estimation and inference of the effects of a policy in the absence of an untreated or control group. We obtain unbiased estimators of individual (heterogeneous) treatment effects and a consistent and asymptotically normal estimator of the average treatment effect. Our estimator averages, across individuals, the difference between observed post-treatment outcomes and unbiased forecasts of their counterfactuals, based on a (short) time series of pre-treatment data.…

tidychangepoint：单变量时间序列变点分析的统一框架AI 解读

We present tidychangepoint, a new R package for changepoint detection analysis. Most R packages for segmenting univariate time series focus on providing one or two algorithms for changepoint detection that work with a small set of models and penalized objective functions, and all of them return a custom, nonstandard object type. This makes comparing results across various algorithms, models, and penalized objective functions unnecessarily difficult. tidychangepoint solves…

性别工资差距中的分位数选择校正AI 解读

We propose a new approach to estimate selection-corrected quantiles of the gender wage gap. Our method employs instrumental variables that explain variation in the latent variable but, conditional on the latent process, do not directly affect selection. We provide semiparametric identification of the quantile parameters without imposing parametric restrictions on the selection probability, derive the asymptotic distribution of the proposed estimator based on constrained…