Residual Variance and Residual Pattern in Nonlinear Regression
非线性回归中的残差方差与残差模式AI 解读 ↓
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非线性回归中的残差方差与残差模式AI 解读 ↓
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A nonparametric estimator of residual variance in nonlinear regression is proposed. It is based on local linear fitting. Asymptotically the estimator has a small bias, but a larger variance compared with the parametric estimator in linear regression. Finite sample properties are investigated in a simulation study, including a comparison with other nonparametric estimators. The method is also useful for spotting heteroscedasticity and outliers in the residuals at an early stage of the data analysis. A further application is checking the fit of parametric models. This is illustrated for longitudinal growth data.
平均处理效应局部化:合成控制中的投影方法
Many real-world policies and business interventions require assessing short-term effects to inform timely decisions, even though most causal inference methods focus on long-term average treatment effects. In this article, we introduce average treatment effect localization (ATEL), which captures localized, short-term policy impacts in panel data settings with a single treated unit and provides early indicators of policy impact. To accommodate both time-varying and nonlinear…
匹配三重差分:协变量调整框架
A common empirical strategy in triple-differences (DDD) is to include either covariate trends or covariate levels to a three-way fixed effects (3WFE) regression. This strategy is typically motivated by the conditional parallel gaps assumption which assumes that deviations from parallel trends are similar among units with comparable observed covariates. We formally study both 3WFE specifications and show that, in general, neither consistently estimates the average treatment…
大面板中的简洁、无需特定参数设定的因果推断
We propose a simple and transparent approach to causal inference using panel data with a large number of units and periods. Instead of imposing a particular parametric specification on the untreated potential outcomes, we assume they follow a nonparametric nonseparable factor model. We use long pre-treatment outcome histories to construct a measure of similarity between the latent factors of different units. Using this measure, we impute missing counterfactual means and…
固定效应模型中的调查参与效应:识别与偏差传递
Panel conditioning, the causal effect of prior survey participation on responses, can vary with tenure. Under an additive model of cell means in period, entry cohort, and tenure, we characterize which features of the conditioning path a staggered panel identifies on its observed support, and how the unidentified component affects common panel estimators. The identified set of the path is an affine translate of the tenure projection of the cell design's kernel, and a linear…
动态选择下的因果推断:时变协变量与潜在异质性
I study dynamic treatment effects in panel data under staggered adoption when treatment timing depends jointly on unobserved time-invariant heterogeneity and time-varying pretreatment covariates, including lagged outcomes. Untreated potential outcomes follow a nonparametric dynamic panel model that allows flexible interactions between time-varying covariates and latent heterogeneity. I use pretreatment outcome histories to find individuals with similar time-invariant latent…
平均处理效应的局部化:合成控制中的投影方法
Many real-world policies and business interventions require assessing short-term effects to inform timely decisions, even though most causal inference methods focus on long-term average treatment effects. In this paper, we introduce average treatment effect localization (ATEL), which captures localized, short-term policy impacts in panel data settings with a single treated unit and provides early indicators of policy impact. To accommodate both time-varying and nonlinear…