Case-control current status data
病例对照抽样下的现状数据AI 解读 ↓
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病例对照抽样下的现状数据AI 解读 ↓
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In this paper, we show that the distribution function of survival times is identified, up to a one‐parameter family of distribution functions, based on information from case‐control current status data. With supplementary information on the population frequency of cases relative to controls, a simple weighted version of the nonparametric maximum likelihood estimator for prospective current status data provides a natural estimator for case‐control samples. Following the parametric results of Scott & Wild (1997), we show that this estimator is, in fact, the nonparametric maximum likelihood estimator.
事件研究中的时变异质性处理效应
This paper examines the identification and estimation of heterogeneous treatment effects in event studies, emphasizing the importance of both lagged dependent variables and treatment effect heterogeneity. We show that omitting lagged dependent variables can induce omitted variable bias in the estimated time-varying treatment effects. We develop a novel semiparametric approach based on a short-T dynamic linear panel model with correlated random coefficients, where the…
使用非线性筛方法推断时间序列非参数条件矩限制
This paper studies estimation of and inference on dynamic nonparametric conditional moment restrictions of high dimensional variables for weakly dependent data, where the unknown functions of endogenous variables can be approximated via nonlinear sieves such as neural networks and Gaussian radial bases. The true unknown functions and their sieve approximations are allowed to be in general weighted function spaces with unbounded supports, which is important for time series…
使用一般筛法推断时间序列非参数条件矩约束
General nonlinear sieve learnings are classes of nonlinear sieves that can approximate nonlinear functions of high dimensional variables much more flexibly than various linear sieves (or series). This paper considers general nonlinear sieve quasi-likelihood ratio (GN-QLR) based inference on expectation functionals of time series data, where the functionals of interest are based on some nonparametric function that satisfy conditional moment restrictions and are learned using…
分位数回归模型因变量中的测量误差
We study the consequences of measurement error in the dependent variable of random‐coefficients models, focusing on the particular case of quantile regression. The popular quantile regression estimator of Koenker and Bassett (1978) is biased if there is an additive error term. Approaching this problem as an errors‐in‐variables problem where the dependent variable suffers from classical measurement error, we present a sieve maximum likelihood approach that is robust to…
非参数分位数工具变量回归加权平均导数的惩罚筛广义经验似然
This paper considers estimation and inference for a weighted average derivative (WAD) of a nonparametric quantile instrumental variables regression (NPQIV). NPQIV is a non-separable and nonlinear ill-posed inverse problem, which might be why there is no published work on the asymptotic properties of any estimator of its WAD. We first characterize the semiparametric efficiency bound for a WAD of a NPQIV, which, unfortunately, depends on an unknown conditional derivative…
广义随机森林
We propose generalized random forests, a method for nonparametric statistical estimation based on random forests (Breiman [Mach. Learn. 45 (2001) 5–32]) that can be used to fit any quantity of interest identified as the solution to a set of local moment equations. Following the literature on local maximum likelihood estimation, our method considers a weighted set of nearby training examples; however, instead of using classical kernel weighting functions that are prone to a…