12 papers
Local Asymptotics for Treatment Choice with Partial Identification
José Luis Montiel Olea, Chen Qiu, Jörg Stoye
We provide a new asymptotic framework to derive approximately optimal treatment assignments when sampling noise from data is compounded by fundamental uncertainty due to partial id…
A Simple Approximation to the Distribution of the Ridge Regression Estimator
José Luis Montiel Olea, Ryan Strong, Amilcar Velez +2
We present a simple Gaussian approximation to the finite-sample distribution of the classical ridge regression estimator. Our approximation captures the fact that, in finite sample…
Approximate Minimax Estimation of a Bounded Normal Mean via Stochastic Mirror Ascent
José Luis Montiel Olea, Ekaterina Zubova
This paper presents a computational approach to find an approximately minimax estimator for the classical Bounded Normal Mean problem. The suggested procedure is the Bayes estimato…
Decision Theory for the Archetype Discovery Problem
José Luis Montiel Olea, Amilcar Velez, Zhuoheng Xu +2
In the archetype discovery problem a researcher wants to summarize N heterogeneous policy effects of interest that vary over a discrete set of covariates. The goal is to partition…
Projection Inference for set-identified SVARs
Bulat Gafarov, Matthias Meier, José Luis Montiel Olea
We study the properties of the classical \emph{projection} method to conduct simultaneous inference about the coefficients of the structural impulse-response function and their ide…
Evaluating Counterfactual Policies Using Instruments
Michal Kolesár, José Luis Montiel Olea, Jonathan Roth
We study settings in which a researcher has an instrumental variable (IV) and seeks to evaluate the effects of a counterfactual policy that alters treatment assignment, such as a d…