Econometrics with Pre-Trained Embeddings for Unstructured Data
使用预训练嵌入处理非结构化数据的计量经济学AI 解读 ↓
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使用预训练嵌入处理非结构化数据的计量经济学AI 解读 ↓
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Unstructured data, such as images and text, are increasingly used in empirical economics. Since training machine-learning models on unstructured data is costly, economists often use off-the-shelf pre-trained deep learning models developed by computer scientists to extract embeddings, which are then used as covariates in target economic analyses. Despite the popularity of this practice, its theoretical foundations remain limited. There are two main difficulties. First, pre-trained models are typically trained on different datasets and for different tasks, making it unclear when they can be used reliably for the target task. Second, the embedding function is subject to an identification problem, complicating the analysis of its estimation error and the effect of that error on the target task. We provide sufficient conditions to overcome these difficulties. A key condition, which we call transferability, governs the convergence rate we derive. To assess transferability, we develop a computationally feasible bootstrap test that does not require re-estimating the embeddings and nuisance functions. Our theory applies to a wide range of double machine learning applications, including partially linear regression with unstructured controls, price elasticity estimation in demand models accounting for product quality measured by images and text, missing-data imputation using unstructured data, and average treatment effect estimation with unstructured confounders. As an empirical application, we estimate the labor supply elasticity on Amazon Mechanical Turk, an online labor market platform, using job-description embeddings as controls.
动态处理效应与一般嵌套泛函的自动去偏机器学习
Many canonical models in causal inference and structural econometrics have recursive identification formulas. In causal inference, recursion arises when identification requires both pre- and post-treatment covariates. For example, short-term surrogate outcomes are measured after the treatment, and serve as necessary covariates when identifying long-term effects. Post-treatment covariates are also required for identification of dynamic difference-in-differences designs,…
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…
多弱工具变量下的非参数工具变量推断
We study inference on linear functionals in the nonparametric instrumental variable (NPIV) problem with a discretely-valued instrument under a many-weak-instruments asymptotic regime, where the number of instrument values grows with the sample size. A key motivating example is estimating long-term causal effects in a new experiment with only short-term outcomes, using past experiments to instrument for the effect of short- on long-term outcomes. Here, the assignment to a…
利用异方差神经网络学习双向因果交互
Estimating contemporaneous bidirectional interactions from observational data is difficult because each outcome is endogenous to the other, while flexible regressions may capture only reduced-form dependence. This paper proposes SEM-DNN, a heteroscedastic neural simultaneous-equation estimator that learns reciprocal structural interactions without external instruments. Identification exploits conditional covariance diagonalization: when structural shocks have zero…
因果与结构效应的自动去偏机器学习
Many causal and structural effects depend on regressions. Examples include policy effects, average derivatives, regression decompositions, average treatment effects, causal mediation, and parameters of economic structural models. The regressions may be high dimensional, making machine learning useful. Plugging machine learners into identifying equations can lead to poor inference due to bias from regularization and/or model selection. This paper gives automatic debiasing for…
因果与结构效应的自动去偏机器学习
Many causal and structural effects depend on regressions. Examples include policy effects, average derivatives, regression decompositions, average treatment effects, causal mediation, and parameters of economic structural models. The regressions may be high‐dimensional, making machine learning useful. Plugging machine learners into identifying equations can lead to poor inference due to bias from regularization and/or model selection. This paper gives automatic debiasing for…