Kernel Smoothing in Partial Linear Models
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SUMMARY Kernel smoothing is studied in partial linear models, i.e. semiparametric models of the form yi=ξi′β+f(ti)+εi(1⩽i⩽n), where the ξi are fixed known p vectors, β is an unknown vector parameter and f is a smooth but unknown function. Two methods of estimating β and f are considered, one related to partial smoothing splines and the other motivated by partial residual analysis. Under suitable assumptions, the asymptotic bias and variance are obtained for both methods, and it is shown that estimating β by partial residuals results in improved bias with no asymptotic loss in variance. Application to analysis of covariance is made, and several examples are presented.
We develop a semiparametric continuous time inferential framework for testing cumulative treatment effects, including both immediate and carryover effects. The latent state process is modeled by an ordinary differential equation (ODE) whose drift depends on state and treatment, while the observed data are noisy measurements of this latent state at irregular, multi resolution time points. We define the average treatment effect (ATE) as the difference of expected cumulative…
We study nonparametric inference for a continuous-treatment causal dose-response curve and its first derivative under unmeasured confounding, using treatment- and outcome-inducing proxies. We establish a proximal doubly robust pseudo-outcome whose conditional mean given treatment equals the dose-response curve whenever either bridge function is correctly specified. Their (smoothed) efficient influence function representations lead to cross-fitted local-polynomial estimators…
插补就够了:平均处理效应估计的双稳健、半参数有效性与自动协变量平衡
Imputation-based causal estimation is typically viewed as relying exclusively on an outcome model, in contrast to augmented inverse-probability weighting, whose consistency is protected by fitting two nuisance models. This paper argues that this view can be misleading by highlighting a hidden dual weighting structure in least-squares sieve regression imputation. Although only outcome regressions are explicitly fitted, the resulting imputation estimator admits an exact…
BLP 模型中的条件矩估计与推断
The random-coefficient demand model of Berry, Levinsohn, and Pakes (1995) is commonly estimated by the generalized method of moments (GMM), using an unconditional moment restriction with a fixed set of instruments. Identification of the model, however, rests on a conditional moment restriction. The two are not equivalent: the unconditional restriction may admit additional parameter values. We construct a counterexample in which the model is identified by the conditional…
连接局部与总体因果效应:近端工具变量方法
Instrumental variable (IV) methods address treatment endogeneity, but with non-compliance and heterogeneous treatment effects a binary instrument generally identifies the local average treatment effect (LATE) among compliers rather than the population average treatment effect (ATE). When treatment effects and compliance probabilities are heterogeneous and dependent through latent factors, the ATE need not be identified by IV variation alone. We develop a proximal…
超越线性:多值处理污染偏误的半参数解决方案
We examine semiparametric solutions to contamination bias for nonbinary treatments. Deepening the discussion by Goldsmith-Pinkham et al. (2024), we detail how spline functions approximate conditional expectation and propensity score functions under weak functional-form assumptions. Reanalyzing 18 regressions across 11 studies, we compare standard linear regressions against parametric and semiparametric versions of three contamination-robust estimators. We document large…