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Forest Kernel Balancing Weights: Outcome-Guided Features for Causal Inference

森林核平衡权重:由结局引导的因果推断特征

While balancing covariates between groups is central for observational causal inference, selecting which features to balance remains a challenging problem. Kernel balancing is a promising approach that first estimates a kernel that captures similarity across units and then balances a (possibly low-dimensional) summary of that kernel, indirectly learning important features to balance. In this paper, we propose forest kernel balancing, which leverages the underappreciated fact…

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Do forecasts of bankruptcy cause bankruptcy? A machine learning sensitivity analysis

破产预测会导致破产吗?机器学习敏感性分析

It is widely speculated that auditors' public forecasts of bankruptcy are, at least in part, self-fulfilling prophecies in the sense that they might actually cause bankruptcies that would not have otherwise occurred. This conjecture is hard to prove, however, because the strong association between bankruptcies and bankruptcy forecasts could simply indicate that auditors are skillful forecasters with unique access to highly predictive covariates. In this paper, we investigate…

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Density Regression with Bayesian Additive Regression Trees

基于贝叶斯加性回归树的密度回归

Flexibly modeling how an entire density changes with covariates is an important but challenging generalization of mean and quantile regression. While existing methods for density regression primarily consist of covariate-dependent discrete mixture models, we consider a continuous latent variable model in general covariate spaces, which we call DR-BART. The prior mapping the latent variable to the observed data is constructed via a novel application of Bayesian Additive…

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