Distributional robustness of K-class estimators and the PULSE
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Distributional robustness of K-class estimators and the PULSE. / Jakobsen, Martin Emil; Peters, Jonas.
In: The Econometrics Journal, Vol. 25, No. 2, 2022, p. 404–432.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Distributional robustness of K-class estimators and the PULSE
AU - Jakobsen, Martin Emil
AU - Peters, Jonas
PY - 2022
Y1 - 2022
N2 - While causal models are robust in that they are prediction optimal under arbitrarily strong interventions, they may not be optimal when the interventions are bounded. We prove that the classical K-class estimator satisfies such optimality by establishing a connection between K-class estimators and anchor regression. This connection further motivates a novel estimator in instrumental variable settings that minimizes the mean squared prediction error subject to the constraint that the estimator lies in an asymptotically valid confidence region of the causal coefficient. We call this estimator PULSE (p-uncorrelated least squares estimator), relate it to work on invariance, show that it can be computed efficiently, as a data-driven K-class estimator, even though the underlying optimization problem is nonconvex, and prove consistency. We evaluate the estimators on real data and perform simulation experiments illustrating that PULSE suffers from less variability. There are several settings, including weak instrument settings, where it outperforms other estimators.
AB - While causal models are robust in that they are prediction optimal under arbitrarily strong interventions, they may not be optimal when the interventions are bounded. We prove that the classical K-class estimator satisfies such optimality by establishing a connection between K-class estimators and anchor regression. This connection further motivates a novel estimator in instrumental variable settings that minimizes the mean squared prediction error subject to the constraint that the estimator lies in an asymptotically valid confidence region of the causal coefficient. We call this estimator PULSE (p-uncorrelated least squares estimator), relate it to work on invariance, show that it can be computed efficiently, as a data-driven K-class estimator, even though the underlying optimization problem is nonconvex, and prove consistency. We evaluate the estimators on real data and perform simulation experiments illustrating that PULSE suffers from less variability. There are several settings, including weak instrument settings, where it outperforms other estimators.
U2 - 10.1093/ectj/utab031
DO - 10.1093/ectj/utab031
M3 - Journal article
VL - 25
SP - 404
EP - 432
JO - Econometrics Journal
JF - Econometrics Journal
SN - 1368-4221
IS - 2
ER -
ID: 304486364