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利用工具变量时间序列识别因果效应：辅助变量与历史依赖调整AI 解读

Instrumental variable (IV) regression relies on instruments to infer causal effects from observational data with unobserved confounding. We consider IV regression in time series models, such as vector auto-regressive (VAR) processes. Direct applications of i.i.d. techniques are generally inconsistent as they do not correctly adjust for dependencies in the past. In this paper, we outline the difficulties that arise due to time structure and propose methodology for…

条件相对效应可迁移假设下的因果推断AI 解读

When extending inferences from a randomized trial to a new target population, the transportability condition for conditional difference effect measures is invoked to identify the marginal causal mean difference in the target population. However, many clinical investigators believe that conditional relative effect measures are more likely to be "transportable" between populations. Here, we examine the identification and estimation of the marginal counterfactual mean…

利用凝聚型层次聚类选择有效工具变量AI 解读

We propose a procedure which combines hierarchical clustering with a test of overidentifying restrictions for selecting valid instrumental variables (IV) from a large set of IVs. Some of these IVs may be invalid in that they fail the exclusion restriction. We show that if the largest group of IVs is valid, our method achieves oracle properties. Unlike existing techniques, our work deals with multiple endogenous regressors. Simulation results suggest an advantageous…

主层因果效应的可迁移性AI 解读

Recent research in causal inference has made important progress in addressing challenges to the external validity of trial findings. Such methods weight trial participant data to more closely resemble the distribution of effect-modifying covariates in a well-defined target population. In the presence of participant non-adherence to study medication, these methods effectively transport an intention-to-treat effect that averages over heterogeneous compliance behaviors. In this…

前向正交离差 GMM 与大样本偏差的消除AI 解读

It is well known that generalized method of moments (GMM) estimators of dynamic panel data regressions can have significant bias when the number of time periods ($T$) is not small compared to the number of cross-sectional units ($n$). The bias is attributed to the use of many instrumental variables. This paper shows that if the maximum number of instrumental variables used in a period increases with $T$ at a rate slower than $T^{1/2}$, then GMM estimators that exploit the…

整合多项多变量结局观察研究的因果元分析AI 解读

Integrating multiple observational studies to make unconfounded causal or descriptive comparisons of group potential outcomes in a large natural population is challenging. Moreover, retrospective cohorts, being convenience samples, are usually unrepresentative of the natural population of interest and have groups with unbalanced covariates. We propose a general covariate-balancing framework based on pseudo-populations that extends established weighting methods to the…

时间序列的局部神经网络建模：美国货币政策案例AI 解读

In this paper, we investigate a semiparametric regression model under the context of treatment effects via a localized neural network (LNN) approach. Due to a vast number of parameters involved, we reduce the number of effective parameters by (i) exploring the use of identification restrictions; and (ii) adopting a variable selection method based on the group-LASSO technique. Subsequently, we derive the corresponding estimation theory and propose a dependent wild bootstrap…