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econ.EM2026
Penalized GMM Framework for Inference on Functionals of Nonparametric Instrumental Variable Estimators
Edvard Bakhitov
This paper develops a penalized GMM (PGMM) framework for automatic debiased inference on functionals of nonparametric instrumental variable estimators. We derive convergence rates…
econ.EM2021
Causal Gradient Boosting: Boosted Instrumental Variable Regression
Edvard Bakhitov, Amandeep Singh
Recent advances in the literature have demonstrated that standard supervised learning algorithms are ill-suited for problems with endogenous explanatory variables. To correct for t…
econ.EM2020
Frequentist Shrinkage under Inequality Constraints
Edvard Bakhitov
This paper shows how to shrink extremum estimators towards inequality constraints motivated by economic theory. We propose an Inequality Constrained Shrinkage Estimator (ICSE) whic…