Uniform inference for kernel instrumental variable regression
核工具变量回归的一致推断AI 解读 ↓
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核工具变量回归的一致推断AI 解读 ↓
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Instrumental variable regression is a foundational tool for causal analysis across the social and biomedical sciences. Recent advances use kernel methods to estimate nonparametric causal relationships, with general data types, while retaining a simple closed-form expression. Empirical researchers ultimately need reliable inference on causal estimates; however, uniform confidence sets for the method remain unavailable. To fill this gap, we develop valid and sharp confidence sets for kernel instrumental variable regression, allowing general nonlinearities and data types. Computationally, our bootstrap procedure requires only a single run of the kernel instrumental variable regression estimator. Theoretically, it relies on the same key assumptions. Overall, we provide a practical procedure for inference that substantially increases the value of kernel methods for causal analysis.
非可分三角模型中个体处理效应的推断
In nonseparable triangular models with a binary endogenous treatment and a binary instrumental variable, Vuong and Xu (2017) established identification results for individual treatment effects (ITEs) under the rank invariance assumption. Using their approach, Feng et al. (2019) proposed a uniformly consistent kernel estimator for the density of the ITE that utilizes estimated ITEs. In this paper, we establish the asymptotic normality of the density estimator of Feng et al.…
随机对象非线性中介分析的统一框架
Mediation analysis for complex, non-Euclidean data, such as probability distributions, compositions, images, and networks, presents significant methodological challenges due to the inherent nonlinearity and geometric constraints of such spaces. Existing approaches are often restricted to Euclidean settings or specific data types. We propose Random Object Mediation Analysis (ROMA), a unified framework that simultaneously accommodates object-valued exposures, mediators, and…
多向聚类数据下因果函数的估计与推断
We propose methods for estimation and uniform inference for a broad class of causal functions, such as conditional average treatment effects and continuous treatment effects, under multi-way clustering. The causal function is identified as the conditional expectation of a Neyman-orthogonal signal that depends on high-dimensional nuisance parameters. We introduce a two-step procedure: the first step uses machine learning to estimate the nuisance parameters, and the second…
尖锐回归折点设计中局部处理效应识别与推断的统一框架
This paper develops a unified framework for the identification, estimation, and uniform inference of local treatment effects (LTEs) in sharp regression kink designs (RKDs). These LTEs quantify the effect of a marginal change in the treatment at the kink point on various features of the outcome distribution. The identification strategy applies to Hadamard-differentiable functionals of the outcome distribution -- including means, quantiles, and inequality measures -- and…
双重稳健的交错双重差分组别—时期条件平均处理效应一致置信带
We consider a panel data analysis to examine the heterogeneity in treatment effects with respect to groups, periods, and a pre-treatment covariate of interest in the staggered difference-in-differences setting of Callaway and Sant’Anna. Under standard identification conditions, a doubly robust estimand conditional on the covariate identifies the group-time conditional average treatment effect given the covariate. Focusing on the case of a continuous covariate, we propose a…
双重差分中组别—时期条件平均处理效应的双重稳健一致置信带
We consider a panel data analysis to examine the heterogeneity in treatment effects with respect to groups, periods, and a pre-treatment covariate of interest in the staggered difference-in-differences setting of Callaway and Sant'Anna (2021). Under standard identification conditions, a doubly robust estimand conditional on the covariate identifies the group-time conditional average treatment effect given the covariate. Focusing on the case of a continuous covariate, we…