每日简报

使用控制函数的准贝叶斯估计与推断AI 解读

This paper introduces a quasi-Bayesian method that integrates frequentist nonparametric estimation with Bayesian inference in a two-stage process. Applied to an endogenous discrete choice model, the approach first uses kernel or sieve estimators to estimate the control function nonparametrically, followed by Bayesian methods to estimate the structural parameters. This combination leverages the advantages of both frequentist tractability for nonparametric estimation and…

异质性、不确定性与学习：半参数识别和估计AI 解读

We provide identification results for a broad class of learning models in which continuous outcomes depend on three types of unobservables: known heterogeneity, initially unknown heterogeneity that may be revealed over time, and transitory uncertainty. We consider a common environment where the researcher only has access to a short panel on choices and realized outcomes. We establish identification of the outcome equation parameters and the distribution of the unobservables,…

分布式保密数据上的条件平均处理效应估计AI 解读

The estimation of conditional average treatment effects (CATEs) is an important topic in many scientific fields. CATEs can be estimated with high accuracy if data distributed across multiple parties are centralized. However, it is difficult to aggregate such data owing to confidentiality or privacy concerns. To address this issue, we propose data collaboration double machine learning, a method for estimating CATE models using privacy-preserving fusion data constructed from…

非线性孟德尔随机化研究中的因果估计与推断AI 解读

Mendelian randomization (MR) is widely used to uncover causal relationships in the presence of unmeasured confounders. However, most existing MR methods presuppose linear causality, risking bias when the true relationships are nonlinear, which is a common empirical scenario. In this paper, we compared two prevalent instrumental variable techniques (the two-stage prediction method and the control function method) under both linear and nonlinear settings, and addressed key…

连续处理的数据驱动政策学习AI 解读

This paper studies policy learning for continuous treatments from observational data. Continuous treatments present more significant challenges than discrete ones because population welfare may need nonparametric estimation, and policy space may be infinite-dimensional and may satisfy shape restrictions. We propose to approximate the policy space with a sequence of finite-dimensional spaces and, for any given policy, obtain the empirical welfare by applying the kernel…

复杂协变量的高效调整：利用 DOPE 提升效率AI 解读

Covariate adjustment is a ubiquitous method used to estimate the average treatment effect (ATE) from observational data. Assuming a known graphical structure of the data generating model, recent results give graphical criteria for optimal adjustment, which enables efficient estimation of the ATE. However, graphical approaches are challenging for high-dimensional and complex data, and it is not straightforward to specify a meaningful graphical model of non-Euclidean data such…

双向聚类依赖下的极端分位数AI 解读

This paper studies extremal quantiles under two-way clustered dependence. We show that the limiting distribution of unconditional intermediate-order tail quantiles is Gaussian. This result is notable because two-way clustering typically leads to non-Gaussian limiting behavior. Remarkably, extremal quantiles remain asymptotically Gaussian even in degenerate cases. Building on this insight, we extend our analysis to extremal quantile regression at intermediate orders.…

多维断点回归设计的局部多项式估计AI 解读

We study a multivariate regression discontinuity design in which treatment is assigned by crossing a boundary in the space of multiple running variables. We document that the existing bandwidth selector is suboptimal for a multivariate regression discontinuity design when the distance to a boundary point is used for its running variable, and introduce a multivariate local-linear estimator for multivariate regression discontinuity designs. Our estimator is asymptotically…

条件可分离效应的近端因果推断AI 解读

Scientists regularly pose questions about treatment effects on outcomes conditional on a post-treatment event. However, causal inference in such settings requires care, even in perfectly executed randomized experiments. Recently, the conditional separable effect (CSE) was proposed as an interventionist estimand that corresponds to scientifically meaningful questions in these settings. However, existing results for the CSE require no unmeasured confounding between the outcome…

adjustedCurves：在 R 中估计混杂调整后的生存曲线AI 解读

Kaplan-Meier curves stratified by treatment allocation are the most popular way to depict causal effects in studies with right-censored time-to-event endpoints. If the treatment is randomly assigned and the sample size of the study is adequate, this method produces unbiased estimates of the population-averaged counterfactual survival curves. However, in observational studies, this is no longer the case. Instead, specific methods that allow adjustment for confounding must be…

连接两种方法论：Angrist 与 Imbens 对因果识别的贡献AI 解读

In the 1990s, Joshua Angrist and Guido Imbens studied the causal interpretation of Instrumental Variable estimates (a widespread methodology in economics) through the lens of potential outcomes (a classical framework to formalize causality in statistics). Bridging a gap between those two strands of literature, they stress the importance of treatment effect heterogeneity and show that, under defendable assumptions in various applications, this method recovers an average…

DIGIC：通过因果发现实现跨域泛化的模仿学习AI 解读

Causality has been combined with machine learning to produce robust representations for domain generalization. Most existing methods of this type require massive data from multiple domains to identify causal features by cross-domain variations, which can be expensive or even infeasible and may lead to misidentification in some cases. In this work, we make a different attempt by leveraging the demonstration data distribution to discover the causal features for a domain…

策略行为主体的信息排序检验AI 解读

Specifying the information structure in strategic environments is difficult for empirical researchers. We develop a test of information ordering that examines whether the true information structure is at least as informative as a proposed baseline. Using Bayes Correlated Equilibrium (BCE), we translate the ordering of information structures into testable moment inequalities and establish uniform asymptotic validity for our testing procedure. In an application to U.S. airline…

二元结果下的个体风险量化AI 解读

Understanding treatment effect heterogeneity is crucial for reliable decision-making in treatment evaluation and selection. The conditional average treatment effect (CATE) is widely used to capture treatment effect heterogeneity induced by observed covariates and to design individualized treatment policies. However, it is an average metric within subpopulations, which prevents it from revealing individual risk, potentially leading to misleading results. This article fills…

平行趋势不成立时，双重差分分析前匹配的收益与成本AI 解读

The Difference in Difference (DiD) estimator is a popular estimator built on the "parallel trends" assumption, which is an assertion that the treatment group, absent treatment, would change "similarly" to the control group over time. To bolster such a claim, one might generate a comparison group, via matching, that is similar to the treated group with respect to pre-treatment outcomes and/or pre-treatment covariates. Unfortunately, as has been previously pointed out, this…

个体随机化设计下利用邻域干扰的低阶交互结构AI 解读

Network interference, where the outcome of an individual is affected by the treatment assignment of those in their social network, is pervasive in real-world settings. However, it poses a challenge to estimating causal effects. We consider the task of estimating the total treatment effect (TTE), or the difference between the average outcomes of the population when everyone is treated versus when no one is, under network interference. Under a Bernoulli randomized design, we…

GENIUS-MAWII：应对大量弱且无效工具变量的稳健孟德尔随机化AI 解读

Mendelian randomization (MR) has become a popular approach to study causal effects by using genetic variants as instrumental variables. We propose a new MR method, GENIUS-MAWII, which simultaneously addresses the two salient phenomena that adversely affect MR analyses: many weak instruments and widespread horizontal pleiotropy. Similar to MR GENIUS (Tchetgen Tchetgen et al., 2021), we achieve identification of the treatment effect by leveraging heteroscedasticity of the…

利用联合变量重要性图确定观测研究设计的变量优先级AI 解读

Observational studies of treatment effects require adjustment for confounding variables. However, causal inference methods typically cannot deliver perfect adjustment on all measured baseline variables, and there is often ambiguity about which variables should be prioritized. Standard prioritization methods based on treatment imbalance alone neglect variables' relationships with the outcome. We propose the joint variable importance plot to guide variable prioritization for…

复杂多智能体场景中随时间变化的反事实处理结果估计AI 解读

Evaluation of intervention in a multiagent system, e.g., when humans should intervene in autonomous driving systems and when a player should pass to teammates for a good shot, is challenging in various engineering and scientific fields. Estimating the individual treatment effect (ITE) using counterfactual long-term prediction is practical to evaluate such interventions. However, most of the conventional frameworks did not consider the time-varying complex structure 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…

动态二元选择面板数据模型的半参数估计AI 解读

We propose a new approach to the semiparametric analysis of panel data binary choice models with fixed effects and dynamics (lagged dependent variables). The model we consider has the same random utility framework as in Honore and Kyriazidou (2000). We demonstrate that, with additional serial dependence conditions on the process of deterministic utility and tail restrictions on the error distribution, the (point) identification of the model can proceed in two steps, and only…

收入增长中可能不存在的总体矩AI 解读

The literature often employs moment-based earnings risk measures like variance, skewness, and kurtosis. However, under heavy-tailed distributions, these moments may not exist in the population. Our empirical analysis reveals that population kurtosis, skewness, and variance often do not exist for the conditional distribution of earnings growth. This challenges moment-based analyses. We propose robust conditional Pareto exponents as novel earnings risk measures, developing…

算法辅助人类决策的最优策略AI 解读

We consider optimal regimes for algorithm-assisted human decision-making. Such regimes are decision functions of measured pre-treatment variables and, by leveraging natural treatment values, enjoy a "superoptimality" property whereby they are guaranteed to outperform conventional optimal regimes. When there is unmeasured confounding, the benefit of using superoptimal regimes can be considerable. When there is no unmeasured confounding, superoptimal regimes are identical to…

利用方差信息进行面板数据群组结构估计的谱聚类AI 解读

Consider a panel data setting where repeated observations on individuals are available. Often it is reasonable to assume that there exist groups of individuals that share similar effects of observed characteristics, but the grouping is typically unknown in advance. We first conduct a local analysis which reveals that the variances of the individual coefficient estimates contain useful information for the estimation of group structure. We then propose a method to estimate…