Nonparametric model checks for regression
回归模型的非参数检验AI 解读 ↓
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回归模型的非参数检验AI 解读 ↓
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In this paper we study a marked empirical process based on residuals. Results on its large-sample behavior may be used to provide nonparametric full-model checks for regression. Their decomposition into principal components gives new insight into the question: which kind of departure from a hypothetical model may be well detected by residual-based goodness-of-fit methods? The work also contains a small simulation study on straight-line regression.
平均处理效应局部化:合成控制中的投影方法
Many real-world policies and business interventions require assessing short-term effects to inform timely decisions, even though most causal inference methods focus on long-term average treatment effects. In this article, we introduce average treatment effect localization (ATEL), which captures localized, short-term policy impacts in panel data settings with a single treated unit and provides early indicators of policy impact. To accommodate both time-varying and nonlinear…
函数型解释变量含测量误差的标量对函数回归
We consider the problem of scalar-on-function regression. Most existing methods implicitly assume that the functional covariates are observed exactly, but in practice, they are often contaminated by measurement error. Our goal, therefore, is to deal with the problem of scalar-on-function regression when the regressor functions are observed with error. In this paper, we propose a simulation-extrapolation method to correct for the attenuation of estimated coefficient functions…
高维非线性因子模型的最优估计
This paper studies optimal estimation of large-dimensional nonlinear factor models. The key challenge is that the observed variables are possibly nonlinear functions of some latent variables, with the functional forms left unspecified. A local principal component analysis method combining K-nearest neighbors matching and principal component analysis is proposed to estimate the factor structure and recover information on latent variables and latent functions. Large-sample…
不可观测异质性的去偏机器学习:高维面板与测量误差模型
Developing robust inference for models with nonparametric Unobserved Heterogeneity (UH) is both important and challenging. We propose novel Debiased Machine Learning (DML) procedures for valid inference on functionals of UH, allowing for partial identification of multivariate target and high-dimensional nuisance parameters. Our main contribution is a full characterization of all relevant Neyman-orthogonal moments in models with nonparametric UH, where relevance means…
潜在结果变量因果效应的非参数识别与估计
How should researchers conduct causal inference when the outcome of interest is latent and measured imperfectly by multiple indicators? We develop a general nonparametric framework for identifying and estimating average treatment effects on latent outcomes in randomized experiments. We show that latent-outcome estimation faces a fundamental but overlooked noncomparability problem due to measurement-set dependence: adding, removing, or replacing measurement targets a…
大面板中的简洁、无需特定参数设定的因果推断
We propose a simple and transparent approach to causal inference using panel data with a large number of units and periods. Instead of imposing a particular parametric specification on the untreated potential outcomes, we assume they follow a nonparametric nonseparable factor model. We use long pre-treatment outcome histories to construct a measure of similarity between the latent factors of different units. Using this measure, we impute missing counterfactual means and…