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有意过度识别的局部投影AI 解读

Local projections (LPs) have become a standard tool for estimating dynamic effects in macroeconomics and are typically implemented using ordinary least squares (OLS) for a given lag order. We propose an alternative approach that exploits additional lags as excluded instrumental variables (IVs). Under a finite-order model with martingale-difference shocks, the resulting (optimally weighted) IV estimator is never asymptotically less efficient than OLS and, as we show, can…

IV-LASSO 的工具变量字典与惩罚选择AI 解读

Estimating the first stage of an instrumental variables (IV) model with the least absolute shrinkage and selection operator (LASSO) requires choosing a dictionary of technical instruments and a penalty level. First-order asymptotic theory offers no guidance on these choices, as any consistent implementation yields a structural parameter estimator with the same limiting distribution. In finite samples, however, these choices can have a substantial impact on the resulting…

非线性矩模型的高效随机广义矩估计AI 解读

We study the asymptotic properties of the nonlinear stochastic GMM algorithm proposed by Chen, Lee, Liao, Seo, Shin and Song for recursively estimating parameters defined by possibly nonlinear and overidentified moment restrictions $\E[g(X,β^*)]=0$. Each observation updates estimates of the moment Jacobian, inverse covariance matrix and Gauss--Newton preconditioner at a cost independent of sample size. For linear and nonlinear instrumental-variable moments, we derive an…

We propose a structural projection (SP) method for identifying and estimating structural parameters in regression models associated with endogenous regressors. The method projects the structural error onto the sigma-field generated by the regressors, decomposing it into a conditional mean component and an orthogonal residual. This decomposition yields an internally constructed instrument that is valid whenever the conditional mean lies in a known subspace, avoiding the need…

面板数据分位数回归的GMM方法AI 解读

This paper develops a smoothed generalized method of moments (GMM) framework for panel quantile models with individual-specific fixed-effects and endogenous regressors. By smoothing the indicator in the quantile moment conditions and profiling out the individual effects through smoothed individual quantile restrictions, the proposed estimator can be implemented using standard GMM algorithms. We establish consistency, asymptotic normality, and feasible inference under weak…

嵌套工具变量分析：转换者平均处理效应及可推广性AI 解读

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…

复杂（准）实验设计下的简单标准误AI 解读

We develop standard errors for estimates of causal effects in settings where the distribution of treatment exposures is known but potentially exhibits complicated dependence patterns across units. Such dependence arises, for example, in settings with spillovers/interference across units or when the treatment assignment is spatially correlated. Our variance estimator generalizes several properties of the Neyman variance estimator for completely randomized experiments to…

Traditional machine learning relies on explicit models and domain assumptions, often limiting flexibility and interpretability. We introduce a "model-free" framework of instance-based learning using surprisal (information theoretic uncertainty) to directly analyze and perform inferences from raw data, eliminating distribution modeling, reducing bias, and enabling efficient updates including direct edits and deletion of training data. By quantifying relevance through…

克隆—删失—加权方法的形式化与一致性AI 解读

Target trial emulation has become a standard framework for causal inference from observational data. Within this paradigm, the clone-censor-weight (CCW) methodology provides a practical way to deal with complex treatment and adherence definitions when treatment regimes are not distinguishable at baseline. Despite its increasing use, the statistical interpretation of CCW remains limited. In this work, we formalize the CCW methodology from a statistical viewpoint based on…

面板信息矩阵检验AI 解读

The Information Matrix (IM) test is a natural specification check for likelihood-based models, yet cross-sectional implementations are often badly sized, confound neglected heterogeneity with distributional misspecification, and require third derivatives. We develop the panel information matrix (PIM) test for models with fixed effects. Explicit fixed effects isolate functional-form misspecification from time-invariant unobserved heterogeneity. Although the profile maximum…

用于处理效应估计的预测驱动数据融合AI 解读

Randomized controlled trials (RCTs) identify treatment effects without confounding but are often small, whereas observational studies (OBS) are large but may be confounded. Many estimators combining a small RCT with a large OBS have been developed for the average treatment effect (ATE) and the conditional ATE (CATE). However, existing ATE estimators either make assumptions on the OBS or do not borrow enough power from them. The CATE has been studied less than the ATE.…

We propose a dynamic multiplicative factor model for process data arising from complex problem-solving items, an emerging type of data in large-scale educational assessment. The proposed model can be viewed as an extension of the classical frailty models developed in survival analysis for multivariate recurrent event times, but with two important distinctions: (i) the factor (frailty) is of primary interest; (ii) covariates are internal and embedded in the factor. It allows…

存在结构不稳定时因子增广回归模型的滚动窗口选择AI 解读

The paper develops a theory for selecting the rolling window when generating out-of-sample forecasts with factor-augmented regression (FAR) models in the presence of structural instabilities. It shows how to select a rolling window by minimizing the conditional mean squared forecast error (MSFE) while accounting for uncertainty in factor estimation. Because the conditional MSFE is unobserved and the factors are latent, this paper proposes a feasible version of the criterion…

We propose a novel framework in high-dimensional factor models to simultaneously analyze multiple tensor time series, each with potentially different tensor orders and dimensionality. The connection between different tensor time series is through their global factors that are correlated to each other. A salient feature of our model is that when all tensor time series have the same order, it can be regarded as an extension of multilevel factor models from vectors to general…

具有双向依赖的面板结构VAR推断AI 解读

We develop inference for heterogeneous panel vector autoregressive (VAR) models and their structural impulse response functions, where the error terms are dependent in the cross-sectional and time dimensions (two-way dependence). For proxy-identified structural VARs, we first adapt mean-group estimation and construct a closed-form pooled identification. Considering the reduced-form VAR dynamics, residual covariances, and structural parameters, we derive a joint central limit…

流形回归AI 解读

Conventional statistical modeling typically assumes a one-to-one mapping between input and output variables, where one-to-one is used in the predictive sense that a specified input results in a unique output. Many scientific and engineering systems, however, exhibit non-one-to-one(noto) input-output relations. In a noto relation, the same input may correspond to multiple admissible outputs, so the conventional statistical models may not be appropriate. This paper develops…

This paper studies debiased machine learning when nuisance parameters appear in indicator functions. An important example is maximized average welfare gain under optimal treatment assignment rules. For asymptotically valid inference for a parameter of interest, the current literature on debiased machine learning relies on Gateaux differentiability of the functions inside moment conditions, which does not hold when nuisance parameters appear in indicator functions. In this…

协作线性预测中的协变量不匹配处理AI 解读

Training predictive models across multiple centers typically assumes that all centers collect the same set of covariates. In practice, however, they may record different features of their observations, a setting we refer to as covariate mismatch. We study linear prediction under this challenging setting, assuming center-wise MCAR missingness patterns, and develop estimators that exploit information across centers despite heterogeneous feature sets. In the low-dimensional…

短时间维度异质性面板中的平均效应估计AI 解读

The commonly used two-way fixed effects estimator is biased under correlated heterogeneity and can lead to misleading inference. The mean group estimator proposed by \cite{PesaranSmith1995} is robust to correlated heterogeneity but requires the individual estimators to have second-order moments that could fail if the number of estimated coefficients ($k$) is close to the time dimension ($T$) of the panel. This paper focuses on panels where $T-k$ is mall (including $T=k$),…

近分离二元数据中惩罚GEE的有限样本方差估计AI 解读

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…

采用图拉普拉斯基准约束先验的正则化小区域估计AI 解读

Small area estimation (SAE) often requires both borrowing information across areas and benchmarking estimates to reliable aggregates. We develop a Bayesian framework that addresses these two objectives jointly through a new family of Benchmarking priors. The priors are induced by a benchmark-constrained regularization problem. The resulting family includes a Benchmarking Prior that incorporates the benchmarking restrictions without additional regularization across areas, and…

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…

受限因变量模型中可扩展的似然推断AI 解读

Limited dependent variable models are central to empirical economics, but likelihood-based inference is infeasible when likelihoods involve high-dimensional integration over latent variables. This paper proposes Stochastically Estimated Gradient Ascent (SEGA), a scalable estimation approach for limited dependent variable models. Using Fisher's identity, SEGA replaces the intractable likelihood score with an unbiased augmented data score evaluated at a single conditional draw…

Missingness in variables that define study eligibility criteria is a seldom addressed challenge in electronic health record (EHR)-based settings. Patients with incomplete eligibility information are typically excluded from analysis without consideration of the (implicit) assumptions being made, leaving study conclusions subject to potential selection bias. In an effort to ascertain eligibility for more patients, researchers may look back further in time prior to study…