Aspects of Robust Linear Regression
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Section 1 of the paper contains a general discussion of robustness. In Section 2 the influence function of the Hampel-Rousseeuw least median of squares estimator is derived. Linearly invariant weak metrics are constructed in Section 3. It is shown in Section 4 that $S$-estimators satisfy an exact Holder condition of order 1/2 at models with normal errors. In Section 5 the breakdown points of the Hampel-Krasker dispersion and regression functionals are shown to be 0. The exact breakdown point of the Krasker-Welsch dispersion functional is obtained as well as bounds for the corresponding regression functional. Section 6 contains the construction of a linearly equivariant, high breakdown and locally Lipschitz dispersion functional for any design distribution. In Section 7 it is shown that there is no inherent contradiction between efficiency and a high breakdown point. Section 8 contains a linearly equivariant, high breakdown regression functional which is Lipschitz continuous at models with normal errors.
PICPIs:预测区间条件预测区间
A classical question in statistics is which observable quantities to condition on when drawing inferences about unobservable targets. For conformal prediction in nonparametric uncertainty quantification, standard marginal validity offers limited resolution at the prediction values on which decisions are based, and fully conditional guarantees with respect to the covariates are provably unattainable. We address this gap by introducing a prediction-based conditioning framework…
We study difference-in-differences designs in which all units are initially untreated and later receive heterogeneous, strictly positive treatment doses. When quasi-untreated units receive doses close to zero, a difference-in-difference estimand using those units as the control group identifies a weighted average treatment effect per unit of treatment, under a parallel-trends assumption. We develop a nonparametric estimator and bias-corrected confidence intervals for this…
伪面板事件研究:可信应用的计量经济学基础
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异质性高维分位数回归的全局推断
Quantile regression has received considerable attention in high dimensional methodology due to its robustness and ability to accommodate heteroskedasticity. Despite this attention, current inferential methods for high dimensional quantile regression have significant limitations---only testing significance, testing at a single quantile at a time, or assuming homoskedasticity. To generalize the inferences that can be drawn in high dimensional quantile regression, we introduce…
嵌套工具变量分析:转换者平均处理效应及可推广性
Instrumental variables (IVs) are widely used to estimate causal effects from non-randomized data. A canonical example is a randomized trial with noncompliance, in which the randomized treatment assignment serves as an IV for the non-ignorable treatment received. Under a monotonicity assumption, a valid IV nonparametrically identifies the average treatment effect among a latent complier subgroup, whose generalizability is often under debate. In many studies, there exist…
Uniform confidence bands are widely used in empirical analysis for uncertainty qualification of nonparametric inference of unknown functions. A variety of simple implementation methods, including multiplier bootstrap, have been proposed and theoretically justified. However, an implementation over a literally continuous index set is generally computationally infeasible, and practitioners therefore compute the critical value by evaluating the statistic on a finite evaluation…