每日简报

在因果决策中纳入结构不确定性AI 解读

Practitioners making decisions based on causal effects typically ignore structural uncertainty. We analyze when this uncertainty is consequential enough to warrant methodological solutions (Bayesian model averaging over competing causal structures). Focusing on bivariate relationships ($X \rightarrow Y$ vs. $X \leftarrow Y$), we establish that model averaging is beneficial when: (1) structural uncertainty is moderate to high, (2) causal effects differ substantially between…

去偏且具有半参数效率的变化中变化估计量AI 解读

We present a novel extension of the influential changes-in-changes (CiC) framework of Athey and Imbens (2006) for estimating the average treatment effect on the treated (ATT) and distributional causal effects in panel data with unmeasured confounding. While CiC relaxes the parallel trends assumption in difference-in-differences (DiD), existing methods typically assume a scalar unobserved confounder and monotonic outcome relationships, and lack inference tools that…

条件密度估计的降维及其在高维因果推断中的应用AI 解读

We propose a novel and computationally efficient approach for nonparametric conditional density estimation in high-dimensional settings that achieves dimension reduction without imposing restrictive distributional or functional form assumptions. To uncover the underlying sparsity structure of the data, we develop an innovative conditional dependence measure and a modified cross-validation procedure that enables data-driven variable selection, thereby circumventing the need…

利用高度自适应 Lasso 构造无限维函数参数的置信区间AI 解读

Estimating the conditional mean function is a central task in statistical learning. In this paper, we consider estimation and inference for a nonparametric class of real-valued cadlag functions with bounded sectional variation (Gill et al., 1995), using the Highly Adaptive Lasso (HAL) (van der Laan, 2015; Benkeser and van der Laan, 2016; van der Laan, 2023), a flexible empirical risk minimizer over linear combinations of tensor products of zero- or higher-order spline basis…

正态性并不容易：噪声对不依赖结构的估计的影响AI 解读

Structure-agnostic causal inference studies how well one can estimate a treatment effect given black-box machine learning estimates of nuisance functions (like the impact of confounders on treatment and outcomes). Here, we find that the answer depends in a surprising way on the distribution of the treatment noise. Focusing on the partially linear model of \citet{robinson1988root}, we first show that the widely adopted double machine learning (DML) estimator is minimax…

份额—冲击设计中的非线性处理效应AI 解读

We analyze heterogenous, nonlinear treatment effects in shift-share designs with exogenous shares. We employ a triangular model and correct for treatment endogeneity using a control function. Our tools identify four target parameters. Two of them capture the observable heterogeneity of treatment effects, while one summarizes this heterogeneity in a single measure. The last parameter analyzes counterfactual, policy-relevant treatment assignment mechanisms. We propose flexible…

处理误分类与预期行为下的交错实施双重差分设计AI 解读

This paper examines the identification and estimation of treatment effects in staggered adoption designs -- a common extension of the canonical Difference-in-Differences (DiD) model to multiple groups and time-periods -- in the presence of (time varying) misclassification of the treatment status as well as of anticipation. We demonstrate that standard estimators are biased with respect to commonly used causal parameters of interest under such forms of misspecification. To…

尾部依赖的结构化线性因子模型AI 解读

A common object to describe the extremal dependence of a $d$-variate random vector $X$ is the stable tail dependence function $L$. Various parametric models have emerged, with a popular subclass consisting of those stable tail dependence functions that arise for linear and max-linear factor models with heavy tailed factors. The stable tail dependence function is then parameterized by a $d \times K$ matrix $A$, where $K$ is the number of factors and where $A$ can be…

通过元学习估计因果图不确定时的干预分布AI 解读

In scientific domains -- from biology to the social sciences -- many questions boil down to \textit{What effect will we observe if we intervene on a particular variable?} If the causal relationships (e.g.~a causal graph) are known, it is possible to estimate the intervention distributions. In the absence of this domain knowledge, the causal structure must be discovered from the available observational data. However, observational data are often compatible with multiple…

早期临床试验中兼顾风险的情境多臂老虎机AI 解读

Early-phase clinical trials face the challenge of selecting optimal drug doses that balance safety and efficacy due to uncertain dose-response relationships and varied participant characteristics. Traditional randomized dose allocation often exposes participants to sub-optimal doses by not considering individual covariates, necessitating larger sample sizes and prolonging drug development. This paper introduces a risk-inclusive contextual bandit algorithm that utilizes…

预测货币份额的贝叶斯 Dirichlet 自回归条件异方差模型AI 解读

We analyze daily Airbnb service-fee shares across eleven settlement currencies, a compositional series that shows bursts of volatility after shocks such as the COVID-19 pandemic. Standard Dirichlet time series models assume constant precision and therefore miss these episodes. We introduce B-DARMA-DARCH, a Bayesian Dirichlet autoregressive moving average model with a Dirichlet ARCH component, which lets the precision parameter follow an ARMA recursion. The specification…

协整非线性结构 VAR 中共同趋势的推断AI 解读

We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two-regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known form). To derive the asymptotics of our test statistic, we prove a fundamental LLN-type result for a class of stable but…

乘法工具变量模型AI 解读

The instrumental variable (IV) design is a common approach to address hidden confounding bias. For validity, an IV must impact the outcome only through its association with the treatment. In addition, IV identification has required a homogeneity condition such as monotonicity or no unmeasured common effect modifier between the additive effect of the treatment on the outcome, and that of the IV on the treatment. In this work, we introduce the Multiplicative Instrumental…

未知异方差下的大规模估计AI 解读

This paper studies nonparametric empirical Bayes methods in a heterogeneous parameters framework that features unknown means and variances. We provide extended Tweedie's formulae that express the (infeasible) optimal estimators of heterogeneous parameters, such as unit-specific means or quantiles, in terms of the density of certain sufficient statistics. These are used to propose feasible versions with nearly parametric regret bounds of the order of $(\log n)^κ/ n$. The…

未观测混杂下的政策学习：稳健且有效的方法AI 解读

This paper develops a robust and efficient method for policy learning from observational data in the presence of unobserved confounding, complementing existing instrumental variable (IV) based approaches. We employ the marginal sensitivity model (MSM) to relax the commonly used yet restrictive unconfoundedness assumption by introducing a sensitivity parameter that captures the extent of selection bias induced by unobserved confounders. Building on this framework, we consider…

最大得分模型与线性规划下的二元分类AI 解读

This paper presents a computationally efficient method for binary classification using Manski's (1975, 1985) maximum score model when covariates are discretely distributed and parameters are partially but not point identified. We establish minimax-regret-optimal classification rules that take account of partial identification of the model's parameters. We bound misclassification probabilities and expected excess regret induced by sampling uncertainty. We also describe an…

在回归不连续设计中有效利用协变量AI 解读

It is common practice to incorporate additional covariates in empirical economics. In the context of Regression Discontinuity (RD) designs, covariate adjustment plays multiple roles, making it essential to understand its impact on analysis and conclusions. Typically implemented via local least squares regressions, covariate adjustment can serve three main distinct purposes: (i) improving the efficiency of RD average causal effect estimators, (ii) learning about heterogeneous…

干预单位与结果单位不同时的因果推断AI 解读

We study causal inference in settings characterized by interference with a bipartite structure. There are two distinct sets of units: intervention units to which an intervention can be applied and outcome units on which the outcome of interest can be measured. Outcome units may be affected by interventions on some, but not all, intervention units, as captured by a bipartite graph. Examples of this setting can be found in analyses of the impact of pollution abatement in…

非线性世界中的动态因果效应：稳健解释与识别隐患AI 解读

Applied macroeconomists frequently use impulse response estimators motivated by linear models. We study whether the estimands of such procedures have a causal interpretation when the true data generating process is in fact nonlinear. We show that vector autoregressions and linear local projections onto observed shocks or proxies identify weighted averages of causal effects regardless of the extent of nonlinearities. By contrast, identification approaches that exploit…

因果—非因果VAR模型的非线性预测、回溯预测与创新过滤AI 解读

We show that the mixed causal-noncausal Vector Autoregressive (VAR) processes satisfy the Markov property in both calendar and reverse time. Based on that property, we introduce closed-form formulas of forward and backward predictive densities for point and interval forecasting and backcasting out-of-sample. The backcasting formula is used for adjusting the forecast interval to obtain a desired coverage level when the tail quantiles are difficult to estimate. A confidence…

函数型非线性外生输入自回归模型的代理建模AI 解读

We propose a novel functional approach to surrogate modeling of dynamical systems with exogenous inputs. This approach, named Functional Nonlinear AutoRegressive with eXogenous inputs (F-NARX), approximates the system response based on temporal features of the exogenous inputs and the system response. This marks a major step away from the discrete-time-centric approach of classical NARX models, which determines the relationship between selected time steps of the input/output…

半参数时间序列模型的伪方差准极大似然估计AI 解读

We propose a novel estimation approach for a general class of semi-parametric time series models where the conditional expectation is modeled through a parametric function. The proposed class of estimators is based on a Gaussian quasi-likelihood function and it relies on the specification of a parametric pseudo-variance that can contain parametric restrictions with respect to the conditional expectation. The specification of the pseudo-variance and the parametric…

协变量偏移下核岭回归的伪标签方法AI 解读

We develop and analyze a principled approach to kernel ridge regression under covariate shift. The goal is to learn a regression function with small mean squared error over a target distribution, based on unlabeled data from there and labeled data that may have a different feature distribution. We propose to split the labeled data into two subsets, and conduct kernel ridge regression on them separately to obtain a collection of candidate models and an imputation model. We…

通过惊异度学习实现时间线数据的可解释变换与分析AI 解读

The analysis of high-dimensional timeline data and the identification of outliers and anomalies is critical across diverse domains, including sensor readings, biological and medical data, historical records, and global statistics. However, conventional analysis techniques often struggle with challenges such as high dimensionality, complex distributions, and sparsity. These limitations hinder the ability to extract meaningful insights from complex temporal datasets, making it…