37,655 research outputs found
Machine Learning for Set-Identified Linear Models
This paper provides estimation and inference methods for an identified set
where the selection among a very large number of covariates is based on modern
machine learning tools. I characterize the boundary of the identified set
(i.e., support function) using a semiparametric moment condition. Combining
Neyman-orthogonality and sample splitting ideas, I construct a root-N
consistent, uniformly asymptotically Gaussian estimator of the support function
and propose a weighted bootstrap procedure to conduct inference about the
identified set. I provide a general method to construct a Neyman-orthogonal
moment condition for the support function. Applying my method to Lee (2008)'s
endogenous selection model, I provide the asymptotic theory for the sharp
(i.e., the tightest possible) bounds on the Average Treatment Effect in the
presence of high-dimensional covariates. Furthermore, I relax the conventional
monotonicity assumption and allow the sign of the treatment effect on the
selection (e.g., employment) to be determined by covariates. Using JobCorps
data set with very rich baseline characteristics, I substantially tighten the
bounds on the JobCorps effect on wages under weakened monotonicity assumption
Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments
This paper considers uniformly valid (over a class of data generating
processes) inference for linear functionals of partially identified parameters
in cases where the identified set is defined by linear (in the parameter)
moment inequalities. We propose a bootstrap procedure for constructing
uniformly valid confidence sets for a linear functional of a partially
identified parameter. The proposed method amounts to bootstrapping the value
functions of a linear optimization problem, and subsumes subvector inference as
a special case. In other words, this paper shows the conditions under which
``naively'' bootstrapping a linear program can be used to construct a
confidence set with uniform correct coverage for a partially identified linear
functional. Unlike other proposed subvector inference procedures, our procedure
does not require the researcher to repeatedly invert a hypothesis test, and is
extremely computationally efficient. In addition to the new procedure, the
paper also discusses connections between the literature on optimization and the
literature on subvector inference in partially identified models
Asymptotically Efficient Estimation of Weighted Average Derivatives with an Interval Censored Variable
This paper studies the identification and estimation of weighted average
derivatives of conditional location functionals including conditional mean and
conditional quantiles in settings where either the outcome variable or a
regressor is interval-valued. Building on Manski and Tamer (2002) who study
nonparametric bounds for mean regression with interval data, we characterize
the identified set of weighted average derivatives of regression functions.
Since the weighted average derivatives do not rely on parametric specifications
for the regression functions, the identified set is well-defined without any
parametric assumptions. Under general conditions, the identified set is compact
and convex and hence admits characterization by its support function. Using
this characterization, we derive the semiparametric efficiency bound of the
support function when the outcome variable is interval-valued. We illustrate
efficient estimation by constructing an efficient estimator of the support
function for the case of mean regression with an interval censored outcome
Accuracy of simulations for stochastic dynamic models
This paper provides a general framework for the simulation of stochastic dynamic models. Our analysis rests upon a continuity property of invariant distributions and a generalized law of large numbers. We then establish that the simulated moments from numerical approximations converge to their exact values as the approximation errors of the computed solutions converge to zero. These asymptotic results are of further interest in the comparative study of dynamic solutions, model estimation, and derivation of error bounds for the simulated moments
Point Decisions for Interval-Identified Parameters
This paper focuses on a situation where the decision-maker prefers to make a point-decision when the object of interest is interval-identified. Such a situation frequently arises when the interval-identified parameter is closely related to an optimal policy decision. To obtain a reasonable decision, this paper slices asymptotic normal experiments into subclasses corresponding to localized interval lengths, and finds a local asymptotic minimax decision for each subclass. Then, this paper suggests a decision that is based on the subclass minimax decisions, and explains the sense in which the decision is reasonable. One remarkable aspect of this solution is that the optimality of the solution remains intact even when the order of the interval bounds is misspecified. A small sample simulation study illustrates the solution’s usefulness.Partial Identification, Inequality Restrictions, Local Asymptotic Minimax Estimation, Semiparametric Efficiency
Alternative models for moment inequalities
Behavioral choice models generate inequalities which, when combined with additional assumptions, can be used as a basis for estimation. This paper considers two sets of such assumptions and uses them in two empirical examples. The second example examines the structure of payments resulting from the upstream interactions in a vertical market. We then mimic the empirical setting for this example in a numerical analysis which computes actual equilibria, examines how their characteristics vary with the market setting, and compares them to the empirical results. The final section uses the numerical results in a Monte Carlo analysis of the robustness of the two approaches to estimation to their underlying assumptions.
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