5 papers · 1 filter
Robust Instrumental Variables: Sharp Rates and Inference under Adversarial Contamination
Anders Bredahl Kock, David Preinerstorfer
Because 2SLS is built from sample averages, a small number of observations can have a disproportionate effect on estimates and inference. We introduce W-2SLS, a simple drop-in robu…
Enhanced power enhancements for testing many moment equalities: Beyond the - and -norm
Anders Bredahl Kock, David Preinerstorfer
Contemporary testing problems in statistics are increasingly complex, i.e., high-dimensional. Tests based on the - and -norm have received considerable attention in such…
Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
Anders Bredahl Kock, Rasmus Søndergaard Pedersen, Jesper Riis-Vestergaard Sørensen
Lasso-type estimators are routinely used to estimate high-dimensional time series models. The theoretical guarantees established for these estimators typically require the penalty…
Regularizing Fairness in Optimal Policy Learning with Distributional Targets
Anders Bredahl Kock, David Preinerstorfer
A decision maker typically (i) incorporates training data to learn about the relative effectiveness of treatments, and (ii) chooses an implementation mechanism that implies an ``op…
A Ridge-Regularised Jackknifed Anderson-Rubin Test
Max-Sebastian Dovì, Anders Bredahl Kock, Sophocles Mavroeidis
We consider hypothesis testing in instrumental variable regression models with few included exogenous covariates but many instruments -- possibly more than the number of observatio…