Locally Robust Semiparametric Estimation
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Abstract: Many economic and causal parameters depend on nonparametric or high dimensional first steps. We give a general construction of locally robust/orthogonal moment functions for GMM, where moment conditions have zero derivative with respect to first steps. We show that orthogonal moment functions can be constructed by adding to identifying moments the nonparametric influence function for the effect of the first step on identifying moments. Orthogonal moments reduce model selection and regularization bias, as is very important in many applications, especially for machine learning first steps. We give debiased machine learning estimators of functionals of high dimensional conditional quantiles and of dynamic discrete choice parameters with high dimensional state variables. We show that adding to identifying moments the nonparametric influence function provides a general construction of orthogonal moments, including regularity conditions, and show that the nonparametric influence function is robust to additional unknown functions on which it depends. We give a general approach to estimating the unknown functions in the nonparametric influence function and use it to automatically debias estimators of functionals of high dimensional conditional location learners. We give a variety of new doubly robust moment equations and characterize double robustness. We give general and simple regularity conditions and apply these for asymptotic inference on functionals of high dimensional regression quantiles and dynamic discrete choice parameters with high dimensional state variables.
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Cites work
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- An Efficient Semiparametric Estimator for Binary Response Models
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- Double/debiased machine learning for treatment and structural parameters
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- Efficiency bounds for missing data models with semiparametric restrictions
- Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score
- Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
- Estimating static models of strategic interactions
- Estimation of Regression Coefficients When Some Regressors Are Not Always Observed
- Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
- Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables
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- Instrumental Variable Estimation of Nonparametric Models
- Kernel-based semiparametric estimators: small bandwidth asymptotics and bootstrap consistency
- Locally Robust Semiparametric Estimation
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- On differentiable functionals
- On the Asymptotic Distribution of Differentiable Statistical Functions
- On the Role of the Propensity Score in Efficient Semiparametric Estimation of Average Treatment Effects
- Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher
- Optimal linear instrumental variables approximations
- Program evaluation and causal inference with high-dimensional data
- Properties of doubly robust estimators when nuisance functions are estimated nonparametrically
- Robust Statistics
- Robust inference on average treatment effects with possibly more covariates than observations
- Root-N-Consistent Semiparametric Regression
- Semiparametric Estimation of Index Coefficients
- Semiparametric efficiency bounds
- Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
- Sieve semiparametric two-step GMM under weak dependence
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- Double robustness for complier parameters and a semi-parametric test for complier characteristics
- Efficient and robust transfer learning of optimal individualized treatment regimes with right-censored survival data
- De-biased two-sample U-statistics with application to conditional distribution testing
- Evaluating Treatment Prioritization Rules via Rank-Weighted Average Treatment Effects
- Instrument-residual estimator for multi-valued instruments under full monotonicity
- Average partial effect estimation using double machine learning
- Reconciling model-X and doubly robust approaches to conditional independence testing
- Identification and Auto-Debiased Machine Learning for Outcome-Conditioned Average Structural Derivatives
- Partly linear instrumental variables regressions without smoothing on the instruments
- Statistical inference of optimal allocations. I: Regularities and their implications
- Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly
- Model Selection for Multivalued-Treatment Policy Learning in Observational Studies
- Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments
- Locally Robust Semiparametric Estimation
- Learning optimal biomarker-guided treatment policy for chronic disorders
- A pseudo-value approach to causal deep learning of semi-competing risks
- Double/debiased machine learning for semiparametric synthetic difference-in-differences models
- Efficient and Robust Estimation of the Generalized LATE Model
- Estimation and inference for causal functions with multi-way clustered data
- Robust estimation of change points in linear spline models with missing data
- Cross-fitted empirical likelihood on semiparametric models
- Asymptotic properties of endogeneity corrections using nonlinear transformations
- Encompassing tests for nonparametric regressions
- Are unobservables separable??
- Weighted-average quantile regression
- Inference on model parameters with many L-moments
- Measuring the effects of segregation in the presence of social spillovers: a nonparametric approach
- Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators
- Non-parametric identification and estimation of partial effects with endogeneity and selection
- Recent advances in causal machine learning and dynamic policy learning
- Causal machine learning methods and use of cross-fitting in settings with high-dimensional confounding
- Efficient and convergent sequential pseudo-likelihood estimation of dynamic discrete games
- Inverting estimating equations for causal inference on quantiles
- Semiparametric efficiency gains from parametric restrictions on propensity scores
- Heterogeneity-aware debiased machine learning for high-dimensional partially linear models
- An averaging estimator for two-step m-estimation in semiparametric models
- High dimensional binary choice model with unknown heteroskedasticity or instrumental variables
- Generalized Lee bounds
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