IS COMPLETENESS NECESSARY? ESTIMATION IN NONIDENTIFIED LINEAR MODELS
完备性是否必要?未识别线性模型中的估计AI 解读 ↓
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完备性是否必要?未识别线性模型中的估计AI 解读 ↓
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Modern data analysis depends increasingly on estimating models via flexible high-dimensional or nonparametric machine learning methods, where the identification of structural parameters is often challenging and untestable. In linear settings, this identification hinges on the completeness condition, which requires the nonsingularity of a high-dimensional matrix or operator and may fail for finite samples or even at the population level. Regularized estimators provide a solution by enabling consistent estimation of structural or average structural functions, sometimes even under identification failure. We show that the asymptotic distribution in these cases can be nonstandard. We develop a comprehensive theory of regularized estimators, which include methods such as high-dimensional ridge regularization, gradient descent, and principal component analysis (PCA). The results are illustrated for high-dimensional and nonparametric instrumental variable regressions and are supported through simulation experiments.
一般条件矩下结构参数的自动去偏机器学习
This paper proposes a method to automatically construct or estimate Neyman-orthogonal moments in general models defined by a finite number of conditional moment restrictions (CMRs), with possibly different conditioning variables and endogenous regressors. CMRs are allowed to depend on non-parametric components, which might be flexibly modeled using Machine Learning tools, and non-linearly on finite-dimensional parameters. The key step in this construction is the estimation…
存在出口时的企业生产率估计:中国制造业证据
Summary Motivated by the long‐standing interest of economists in understanding the nexus between firm productivity and export behavior, this paper develops a novel structural framework for control‐function‐based nonparametric identification of the gross production function and latent firm productivity in the presence of endogenous export opportunities that is robust to recent unidentification critiques of proxy estimators. We provide a workable identification strategy,…
非可分第一阶段下加性可分三角模型的闭式估计与一致推断
This paper studies the nonparametric identification and estimation of additively separable triangular models with continuous endogenous and instrumental variables, allowing for a nonseparable first-stage equation. Under the independence of instrumental variables and unobservables, we show that the outcome function possesses a closed-form expression as a functional of conditional cumulative distribution functions. The resulting plug-in estimators require no regularization and…
基于机器学习的去偏 U 统计量
We propose a method to debias estimators based on U-statistics with machine-learning (ML) first steps. Standard plug-in estimators often suffer from regularization and model-selection biases, leading to invalid inference. We characterize orthogonal adjustment terms for two-step U-statistics, construct Debiased Machine Learning (DML) U-estimators, develop a cross-fitting algorithm, and establish a general asymptotic theory for inference with ML first steps. We illustrate the…
通过最优传输部分识别工具变量下的政策相关处理效应
Policy-Relevant Treatment Effects (PRTEs) are generally not point-identified under standard Instrumental Variable (IV) assumptions when the instrument generates limited support in treatment propensity. We show that PRTE partial identification in the generalized Roy model can instead be formulated as a Constrained Conditional Optimal Transport (CCOT) problem over the joint conditional law of the potential outcome and the latent resistance. The resulting multidimensional CCOT…
非参数工具变量估计泛函推断的惩罚 GMM 框架
This paper develops a penalized GMM (PGMM) framework for automatic debiased inference on functionals of nonparametric instrumental variable estimators. We derive convergence rates for the PGMM estimator and provide conditions for root-n consistency and asymptotic normality of debiased functional estimates, covering both linear and nonlinear functionals. Monte Carlo experiments on average derivative show that the PGMM-based debiased estimator performs on par with the…