4 papers
Identification and Robust Inference for Multiple Treatments with Possibly Invalid Instruments
Ziwei Mei, Qingliang Fan, Zijian Guo
The instrumental variable (IV) method is widely used to infer causal effects in observational studies with unmeasured confounding, but invalid instruments can compromise both popul…
Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions
Chengwang Liao, Ziwei Mei, Zhentao Shi
In panel predictive regressions with persistent covariates, coexistence of the Nickell bias and the Stambaugh bias imposes challenges for estimation and hypothesis testing. This pa…
LASSO Inference for High Dimensional Predictive Regressions
Zhan Gao, Ji Hyung Lee, Ziwei Mei +1
LASSO inflicts shrinkage bias on estimated coefficients, which undermines asymptotic normality and invalidates standard inferential procedures based on the t-statistic. Given cross…
Inference for Nonlinear Endogenous Treatment Effects Accounting for High-Dimensional Covariate Complexity
Qingliang Fan, Zijian Guo, Ziwei Mei +1
Nonlinearity and endogeneity are prevalent challenges in causal analysis using observational data. This paper proposes an inference procedure for a nonlinear and endogenous margina…