Overstuffed sandwiches and separation anxiety: finite-sample variance estimation for penalized GEE with near-separated binary data
近分离二元数据中惩罚GEE的有限样本方差估计AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确分析同一对象重复观测的纵向二元数据及GEE方差估计,直接关联面板数据;未说明离散选择的经济行为模型。
近分离二元数据中惩罚GEE的有限样本方差估计AI 解读 ↓
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Penalized generalized estimating equations (PGEE) stabilize point estimation for longitudinal binary data under near-separation, but inference still depends on how the sandwich variance is corrected. Existing corrections for PGEE can overadjust in high-leverage directions, require restrictive pooling assumptions, or add global regularization without explaining the bias. We establish first-order asymptotics for PGEE along convergent interior-root sequences and derive a matrix characterization of the parameter-specific overcorrection induced by full leverage adjustment. Finite-sample calibration is limited by both mean bias and the variability of leverage-corrected variance estimates. We propose $\hat{V}_{AR}$, which keeps the score-level leverage correction and adds a finite-sample upward translation dominated at first order by the finite-population factor, with a smaller centering term. In simulations, $\hat{V}_{AR}$ gives conservative or near-nominal type I error in low-event, small-$N$ settings, including $N = 10$, where several standard corrections remain anti-conservative and pooling estimators are unavailable for unbalanced designs.
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…
通过最小二乘近似实现自适应 LASSO 惩罚的密度幂散度估计
Linear mixed-effect panel data models are widely used in longitudinal biomedical, environmental, and social studies, but are often sensitive to data contamination and numerous covariates. To address these challenges, we propose a robust variable selection approach based on a least squares approximation (LSA) of the density power divergence (DPD) objective function combined with the Adaptive LASSO penalty. The LSA converts the nonlinear DPD objective into a computationally…
高维面板数据模型的稳健估计与推断
This paper provides the relevant literature with a complete toolkit for conducting robust estimation and inference about the parameters of interest involved in a high-dimensional panel data framework. Specifically, (1) we allow for non-Gaussian, serially and cross-sectionally correlated and heteroskedastic error processes, (2) we develop an estimation method for the high-dimensional long-run covariance matrix using a thresholded estimator, (3) we also allow for the number of…
高维聚类数据中的估计目标偏移与合成近似
In high-dimensional clustered data, covariates whose distributions differ across clusters can act as proxies for unobserved cluster effects. We show that the marginal-model LASSO implicitly uses sparse combinations of such covariates to shift the estimation target from structural coefficients to a contaminated vector, which inflates false selections. We therefore propose the Synthetic Heterogeneous-Effects LASSO (SHEL), which augments the regression design with separately…
动态空间贝叶斯机器学习:美国代际流动与地理收入不平等应用
We develop a Dynamic Spatial Panel Bayesian Additive Regression Trees model with Horseshoe shrinkage (DSP-BART-HS) for high-dimensional spatio-temporal panel data. We jointly evaluate the model against a comprehensive suite of structural spatial econometrics, non-parametric machine learning methods, and small-area estimators across nine data-generating scenarios spanning 200 replicates each, including irregular spatial topologies, dense policy effects, and non-linear…
交错双重差分中的部分同质性
In staggered difference-in-differences (DiD) designs, units enter treatment at different calendar times, so the treatment effect is not a single number but a set of Cohort-Average Treatment effects on the Treated (CATTs), one per cohort-time cell. Estimating every CATT as its own parameter, as the standard fully flexible estimator does, is unbiased but inefficient when some of these effects are in fact equal, whereas pooling them all into a single two-way fixed effects…