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did2s：两阶段双重差分方法与 R 软件包AI 解读

Recent work has highlighted the difficulties of estimating difference-in-differences models when treatment timing occurs at different times for different units. This article introduces the R package did2s which implements the estimator introduced in Gardner (2021). The article provides an approachable review of the underlying econometric theory and introduces the syntax for the function did2s. Further, the package introduces a function, event_study, that provides a common…

地理断点差分方法AI 解读

A recent econometric literature has critiqued the use of regression discontinuities where administrative borders serves as the 'cutoff'. Identification in this context is difficult since multiple treatments can change at the cutoff and individuals can easily sort on either side of the border. This note extends the difference-in-discontinuities framework discussed in Grembi et. al. (2016) to a geographic setting. The paper formalizes the identifying assumptions in this…

连续暴露测量有误时的因果暴露—反应函数估计：细颗粒物与全因死亡AI 解读

Numerous studies have examined the associations between long-term exposure to fine particulate matter (PM2.5) and adverse health outcomes. Recently, many of these studies have begun to employ high-resolution predicted PM2.5 concentrations, which are subject to measurement error. Previous approaches for exposure measurement error correction have either been applied in non-causal settings or have only considered a categorical exposure. Moreover, most procedures have failed to…

美国新冠疫苗接种率预测：一项信息流行病学研究AI 解读

A year following the initial COVID-19 outbreak in China, many countries have approved emergency vaccines. Public-health practitioners and policymakers must understand the predicted populational willingness for vaccines and implement relevant stimulation measures. This study developed a framework for predicting vaccination uptake rate based on traditional clinical data-involving an autoregressive model with autoregressive integrated moving average (ARIMA)- and innovative web…

市场均衡中的处理效应AI 解读

Policy-relevant treatment effect estimation in a marketplace setting requires taking into account both the direct benefit of the treatment and any spillovers induced by changes to the market equilibrium. The standard way to address these challenges is to evaluate interventions via cluster-randomized experiments, where each cluster corresponds to an isolated market. This approach, however, cannot be used when we only have access to a single market (or a small number of…

潜在因子模型中的网络依赖检测：偏误修正 CD 检验AI 解读

In a recent paper Juodis and Reese (2022) (JR) show that the application of the CD test proposed by Pesaran (2004) to residuals from panels with latent factors results in over-rejection. They propose a randomized test statistic to correct for over-rejection, and add a screening component to achieve power. This paper considers the same problem but from a different perspective, and shows that the standard CD test remains valid if the latent factors are weak in the sense the…

符号与零限制识别的 SVAR 推断算法AI 解读

I develop algorithms to facilitate Bayesian inference in structural vector autoregressions that are set-identified with sign and zero restrictions by showing that the system of restrictions is equivalent to a system of sign restrictions in a lower-dimensional space. Consequently, algorithms applicable under sign restrictions can be extended to allow for zero restrictions. Specifically, I extend algorithms proposed in Amir-Ahmadi and Drautzburg (2021) to check whether the…

因果矩阵补全AI 解读

Matrix completion is the study of recovering an underlying matrix from a sparse subset of noisy observations. Traditionally, it is assumed that the entries of the matrix are "missing completely at random" (MCAR), i.e., each entry is revealed at random, independent of everything else, with uniform probability. This is likely unrealistic due to the presence of "latent confounders", i.e., unobserved factors that determine both the entries of the underlying matrix and the…

自适应变分贝叶斯：最优性、计算与应用AI 解读

In this paper, we explore adaptive inference based on variational Bayes. Although several studies have been conducted to analyze the contraction properties of variational posteriors, there is still a lack of a general and computationally tractable variational Bayes method that performs adaptive inference. To fill this gap, we propose a novel adaptive variational Bayes framework, which can operate on a collection of models. The proposed framework first computes a variational…

pyStoNED：用于凸回归与前沿估计的 Python 软件包AI 解读

Shape-constrained nonparametric regression is a growing area in econometrics, statistics, operations research, machine learning and related fields. In the field of productivity and efficiency analysis, recent developments in the multivariate convex regression and related techniques such as convex quantile regression and convex expectile regression have bridged the long-standing gap between the conventional deterministic-nonparametric and stochastic-parametric methods.…

迈向严格的时间序列异常检测评价AI 解读

In recent years, proposed studies on time-series anomaly detection (TAD) report high F1 scores on benchmark TAD datasets, giving the impression of clear improvements in TAD. However, most studies apply a peculiar evaluation protocol called point adjustment (PA) before scoring. In this paper, we theoretically and experimentally reveal that the PA protocol has a great possibility of overestimating the detection performance; that is, even a random anomaly score can easily turn…

复杂纵向研究中的近端因果推断AI 解读

A standard assumption for causal inference about the joint effects of time-varying treatment is that one has measured sufficient covariates to ensure that within covariate strata, subjects are exchangeable across observed treatment values, also known as "sequential randomization assumption (SRA)". SRA is often criticized as it requires one to accurately measure all confounders. Realistically, measured covariates can rarely capture all confounders with certainty. Often…

整合实验与观测数据的极小极大收敛率和自适应性AI 解读

Randomized controlled trials (RCTs) are the gold standard for evaluating the causal effect of a treatment; however, they often have limited sample sizes and sometimes poor generalizability. On the other hand, non-randomized, observational data derived from large administrative databases have massive sample sizes and better generalizability, but they are prone to unmeasured confounding bias. It is thus of considerable interest to reconcile effect estimates obtained from…

截断条件期望函数的非参数估计AI 解读

Truncated conditional expectation functions are objects of interest in a wide range of economic applications, including income inequality measurement, financial risk management, and impact evaluation. They typically involve truncating the outcome variable above or below certain quantiles of its conditional distribution. In this paper, based on local linear methods, a novel, two-stage, nonparametric estimator of such functions is proposed. In this estimation problem, the…

高阶最小二乘：评估线性因果模型的局部拟合优度AI 解读

We introduce a simple diagnostic test for assessing the overall or partial goodness of fit of a linear causal model with errors being independent of the covariates. In particular, we consider situations where hidden confounding is potentially present. We develop a method and discuss its capability to distinguish between covariates that are confounded with the response by latent variables and those that are not. Thus, we provide a test and methodology for partial goodness of…

具有潜在大量协变量的断点回归设计AI 解读

This paper studies the case of possibly high-dimensional covariates in the regression discontinuity design (RDD) analysis. In particular, we propose estimation and inference methods for the RDD models with covariate selection which perform stably regardless of the number of covariates. The proposed methods combine the local approach using kernel weights with $\ell_{1}$-penalization to handle high-dimensional covariates. We provide theoretical and numerical results which…

政治学中已发表断点回归研究结果的可靠性AI 解读

The regression discontinuity (RD) design offers identification of causal effects under weak assumptions, earning it a position as a standard method in modern political science research. But identification does not necessarily imply that causal effects can be estimated accurately with limited data. In this paper, we highlight that estimation under the RD design involves serious statistical challenges and investigate how these challenges manifest themselves in the empirical…

用于异质性治疗效应因果推断的倾向得分回归AI 解读

Understanding how treatment effects vary on individual characteristics is critical in the contexts of personalized medicine, personalized advertising and policy design. When the characteristics are of practical interest are only a subset of full covariate, non-parametric estimation is often desirable; but few methods are available due to the computational difficult. Existing non-parametric methods such as the inverse probability weighting methods have limitations that hinder…

随机区组与再随机化实验中 Lasso 调整的设计型理论AI 解读

Blocking, a special case of rerandomization, is routinely implemented in the design stage of randomized experiments to balance the baseline covariates. This study proposes a regression adjustment method based on the least absolute shrinkage and selection operator (Lasso) to efficiently estimate the average treatment effect in randomized block experiments with high-dimensional covariates. We derive the asymptotic properties of the proposed estimator and outline the conditions…

具有较弱载荷的近似因子模型AI 解读

Pervasive cross-section dependence is increasingly recognized as a characteristic of economic data and the approximate factor model provides a useful framework for analysis. Assuming a strong factor structure where $\Lop\Lo/N^α$ is positive definite in the limit when $α=1$, early work established convergence of the principal component estimates of the factors and loadings up to a rotation matrix. This paper shows that the estimates are still consistent and asymptotically…

加权低秩矩阵近似：加速与应用AI 解读

Weighted low-rank matrix approximation (WLRMA) generalizes classical low-rank approximation and matrix completion by allowing arbitrary elementwise weights. Such formulations arise naturally in a broad class of statistical models, including generalized linear low-rank models, where WLRMA serves as the computational primitive for parameter estimation. Despite its broad applicability, efficient optimization methods for general WLRMA remain relatively underdeveloped. In this…

离散情形下因果推断的自动化方法AI 解读

When causal quantities cannot be point identified, researchers often pursue partial identification to quantify the range of possible values. However, the peculiarities of applied research conditions can make this analytically intractable. We present a general and automated approach to causal inference in discrete settings. We show causal questions with discrete data reduce to polynomial programming problems, and we present an algorithm to automatically bound causal effects…

利用双重负对照识别与估计未观测网络混杂下的因果同伴效应AI 解读

Scientists have been interested in estimating causal peer effects to understand how people's behaviors are affected by their network peers. However, it is well known that identification and estimation of causal peer effects are challenging in observational studies for two reasons. The first is the identification challenge due to unmeasured network confounding, for example, homophily bias and contextual confounding. The second issue is network dependence of observations,…

政策选择与最优臂识别：探索抽样的渐近分析AI 解读

We consider the "policy choice" problem -- otherwise known as best arm identification in the bandit literature -- proposed by Kasy and Sautmann (2021) for adaptive experimental design. Theorem 1 of Kasy and Sautmann (2021) provides three asymptotic results that give theoretical guarantees for exploration sampling developed for this setting. We first show that the proof of Theorem 1 (1) has technical issues, and the proof and statement of Theorem 1 (2) are incorrect. We then…