Book
I am excited about the “beta” version of my new book with Victor Chernohukov, Nathan Kallus, Martin Spindler, and Vasilis Syrgkanis – Applied Causal Inference Powered by ML and AI which can be downloaded at http://causalml-book.org.
Research Articles
Inference for Dependent Data with Learned Clusters (with J. Cao, D. Kozbur, and L. Villacorta), forthcoming Review of Economics and Statistics.
Inference for Low-Rank Models (with V. Chernozhukov, Y. Liao, and Y. Zhu), Annals of Statistics, 2023, 51(3), 1309-1330.
Targeted Undersmoothing (with D. Kozbur and S. Misra), Review of Economics and Statistics, 2023, 105(1), 101-112.
High-dimensional linear models with many endogenous variables (with A. Belloni and W. Newey), Journal of Econometrics, 2022, 228(1), 4-26.
Pre-event trends in the panel event-study design
(with S. Freyaldenhoven and J. Shapiro) American Economic Review, 2019, 109(9), 3307-3338.
The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications
(with Y. Liao) Econometric Theory, 2019, 35(3), 465-509.
Double/Debiased Machine Learning for Treatment and Structural Parameters
(with V. Chernozhukov, D. Chetverikov, M. Demirer, E. Duflo, W. Newey, and J. Robins) Econometrics Journal, 2018, 21(1), C1-C68.
(We thank Daniel Jacob for pointing out an error in the code that led to incorrect estimates of standard errors based on the median adjustment for sample splitting in the published tables. Corrected versions of the tables are provided here.)
A Lava Attack on the Recovery of Sums of Dense and Sparse Signals
(with V. Chernozhukov and Y. Liao) Annals of Statistics, 2017, 45(1), 39-76.
Program Evaluation with High-Dimensional Data
(with A. Belloni, V. Chernozhukov, and I. Fernandez-Val) Econometrica, 2017, 85(1), 233-298.
Inference in High Dimensional Panel Models with an Application to Gun Control
(with A. Belloni, V. Chernozhukov, and D. Kozbur) Journal of Business and Economic Statistics, 2016, 34(4), 590-605.
Fixed-b Asymptotics for Spatially Dependent Robust Nonparametric Covariance Matrix Estimators
(with C. A. Bester, T. Conley, and T. Vogelsang) Econometric Theory, 2016, 32(1), 154-186.
Grouped Effects Estimators in Fixed Effects Models
(with C. A. Bester) Journal of Econometrics, 2016, 190(1), 197-208.
Instrumental Variables Estimation with Many Weak Instruments Using Regularized JIVE
(with D. Kozbur) Journal of Econometrics, 2014, 182(2), 290-308.
Inference on Treatment Effects after Selection among High-Dimensional Controls
(with A. Belloni and V. Chernozhukov) Review of Economic Studies, 2014, 81(2), 608-650.
(Additional discussion of empirical example)
Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain
(with A. Belloni, D. Chen, and V. Chernozhukov) Econometrica, 2012, 80(6), 2369-2429.
Plausibly Exogenous
(with T. Conley and P. Rossi) Review of Economics and Statistics, 2012, 94(1), 260-272.
Inference with Dependent Data Using Cluster Covariance Estimators
(with C. A. Bester and T. Conley) Journal of Econometrics, 2011, 165(2), 137-151.
Instrumental Variables Regression with Flexible Distributions
(with J. B. McDonald and W. Newey) Journal of Business and Economic Statistics, 2010, 28(1), 13-25.
Finite Sample Inference in Econometric Models via Quantile Restrictions
(with V. Chernozhukov and M. Jansson) Journal of Econometrics, 2009, 152(2), 93-103.
Admissible Invariant Similar Tests for Instrumental Variables Regression
(with V. Chernozhukov and M. Jansson) Econometric Theory, 2009, 25(3), 806-818.
Identification of Marginal Effects in a Nonparametric Correlated Random Effects Model
(with C. A. Bester) Journal of Business and Economic Statistics, 2009, 27(2), 235-250.
A Penalty Function Approach to Bias Reduction in Nonlinear Panel Models with Fixed Effects
(with C. A. Bester) Journal of Business and Economic Statistics, 2009, 27(2), 131-148.
Estimation with Many Instrumental Variables
(with J. Hausman and W. Newey) Journal of Business and Economic Statistics, 2008, 26(4), 398-422.
The Reduced Form: A Simple Approach to Inference with Weak Instruments
(with V. Chernozhukov) Economics Letters, 2008, 100(1), 68-71.
(Working paper version with additional tables and discussion.)
A Semi-Parametric Bayesian Approach to the Instrumental Variable Problem
(with T. Conley, R. McCulloch, and P. Rossi) Journal of Econometrics, 2008, 144(1), 276-305.
Instrumental Variable Quantile Regression: A Robust Inference Approach
(with V. Chernozhukov) Journal of Econometrics, 2008, 142(1), 379-398.
Inference approaches for instrumental variable quantile regression (with V. Chernozhukov and M. Jansson) Economics Letters, 2007, 95(2), 272-277.
Asymptotic Properties of a Robust Variance Matrix Estimator for Panel Data when T is Large
Journal of Econometrics, 2007, 141(2), 597-620.
(Technical Appendix)
(Derivation of F-Statistic Result contributed by Mark Watson and James Stock. I am deeply indebted to Stock and Watson for pointing me to this result which they established while working on their paper “Heteroskedasticity-Robust Standard Errors for Fixed Effect Panel Data Regression” (Econometrica, 2008). I am also embarrassed that a citation to their paper does not appear in the published version of my paper.)
Inference Approaches for Instrumental Variable Quantile Regression
(with V. Chernozhukov and M. Jansson) Economics Letters, 2007, 95(2), 272-277.
Generalized Least Squares Inference in Panel and Multilevel Models with Serial Correlation and Fixed Effects
Journal of Econometrics, 2007, 140(2), 670-94.
(Technical Appendix)
Instrumental Quantile Regression Inference for Structural and Treatment Effect Models
(with V. Chernozhukov) Journal of Econometrics, 2006, 132(2), 491-525.
An IV Model of Quantile Treatment Effects
(with V. Chernozhukov) Econometrica, 2005, 73(1), 245-261.
The Impact of 401(k) Participation on the Wealth Distribution: An Instrumental Quantile Regression Analysis
(with V. Chernozhukov) Review of Economics and Statistics, 2004, 86(3), 735-751.
Other Publications
ddml: Double/debiased machine learning in Stata (with A. Ahrens, M. Schaffer, and T. Wiemann), forthcoming Stata Journal.
pystacked: Stacking generalization and machine learning in Stata (with A. Ahrens and M. Schaffer), Stata Journal, 2023, 23(4), 909-931.
lassopack: Model selection and prediction with regularized regression in Stata (with A. Ahrens and M. Schaffer), Stata Journal, 2020, 20(1), 176-235.
Inference with Dependent Data in Accounting and Finance (with T. Conley and S. Goncalves), Journal of Accounting Research, 2018, 56(4), 1139-1203.
Instrumental Variable Quantile Regression (with V. Chernozhukov and K. Wuthrich), in Handbook of Quantile Regression, Koenker, Chernozhukov, He, and Peng eds., 2017.
Double/Debiased/Neyman Machine Learning of Treatment Effects
(with V. Chernozhukov, D. Chetverikov, M. Demirer, E. Duflo, and W. Newey) American Economic Review: Papers and Proceedings, 2017, 107(5), 261-265.
(We thank Thomas Wiemann for pointing out an error in the code for constructing instruments in the demand example. Updated code is here. Running the update code will produce somewhat different results than in the published version of the paper.)
Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach
(with V. Chernozhukov and M. Spindler) Annual Review of Economics, 2015, 7, 649-688.
Post-Selection and Post-Regularization Inference in Linear Models with Very Many Controls and Instruments
(with V. Chernozhukov and M. Spindler) American Economic Review: Papers and Proceedings, 2015, 105(5), 486-490.
High-Dimensional Methods and Inference on Structural and Treatment Effects
(with A. Belloni and V. Chernozhukov) Journal of Economic Perspectives, 2014, 28(2), 29-50.
Quantile Models with Endogeneity
(with V. Chernozhukov) Annual Review of Economics, 2013, 5, 57-81.
Inference Methods for High-Dimensional Sparse Econometric Models
(with A. Belloni and V. Chernozhukov) in Advances in Economics and Econometrics, 10th World Congress of the Econometric Society, Volume III, Econometrics, Acemoglu, Johnson, and Dekel, eds., 2013, 245-295.
Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models
(with J. B. McDonald and P. Theodossiou) economics – The Open-Access, Open-Assessment E-Journal, 2007.