arXiv subjects

Edvard Bakhitov

Publications and source records attributed to Edvard Bakhitov.

5 recordsLinked to original sources

arXiv2026

Penalized GMM Framework for Inference on Functionals of Nonparametric Instrumental Variable Estimators

This paper develops a penalized GMM (PGMM) framework for automatic debiased inference on functionals of nonparametric instrumental variable estimators. We derive convergence rates for the PGMM estimator and provide conditions for root-n consistency and asymptotic normality of debiased functional estimates, covering both linear and nonlinear functionals. Monte Carlo experiments on average derivative show that the PGMM-based debiased estimator performs on par with the analytical debiased estimator that uses the known closed-form Riesz representer, achieving 90-96% coverage while the plug-in estimator falls below 5%. We apply our procedure to estimate mean own-price elasticities in a semiparametric demand model for differentiated products. Simulations confirm near-nominal coverage while the plug-in severely undercovers. Applied to IRI scanner data on carbonated beverages, debiased semiparametric estimates are approximately 20% more elastic compared to the logit benchmark, and debiasing corrections are heterogeneous across products, ranging from negligible to several times the standard error.

econ.EM↗

arXiv2024

Experimentation on Endogenous Graphs

We study experimentation under endogenous network interference. Interference patterns are mediated by an endogenous graph, where edges can be formed or eliminated as a result of treatment. We show that conventional estimators are biased in these circumstances, and present a class of unbiased, consistent and asymptotically normal estimators of total treatment effects in the presence of such interference. We show via simulation that our estimator outperforms existing estimators in the literature. Our results apply both to bipartite experimentation, in which the units of analysis and measurement differ, and the standard network experimentation case, in which they are the same.

stat.ME↗

arXiv2024

Scalable Analysis of Bipartite Experiments

Bipartite Experiments are randomized experiments where the treatment is applied to a set of units (randomization units) that is different from the units of analysis, and randomization units and analysis units are connected through a bipartite graph. The scale of experimentation at large online platforms necessitates both accurate inference in the presence of a large bipartite interference graph, as well as a highly scalable implementation. In this paper, we describe new methods for inference that enable practical, scalable analysis of bipartite experiments: (1) We propose CA-ERL, a covariate-adjusted variant of the exposure-reweighted-linear (ERL) estimator [9], which empirically yields 60-90% variance reduction. (2) We introduce a randomization-based method for inference and prove asymptotic validity of a Wald-type confidence interval under graph sparsity assumptions. (3) We present a linear-time algorithm for randomization inference of the CA-ERL estimator, which can be easily implemented in query engines like Presto or Spark. We evaluate our methods both on a real experiment at Meta that randomized treatment on Facebook Groups and analyzed user-level metrics, as well as simulations on synthetic data. The real-world data shows that our CA-ERL estimator reduces the confidence interval (CI) width by 60-90% (compared to ERL) in a practical setting. The simulations using synthetic data show that our randomization inference procedure achieves correct coverage across instances, while the ERL estimator has incorrectly small CI widths for instances with large true effect sizes and is overly conservative when the bipartite graph is dense.

stat.ME↗

arXiv2021

Causal Gradient Boosting: Boosted Instrumental Variable Regression

Recent advances in the literature have demonstrated that standard supervised learning algorithms are ill-suited for problems with endogenous explanatory variables. To correct for the endogeneity bias, many variants of nonparameteric instrumental variable regression methods have been developed. In this paper, we propose an alternative algorithm called boostIV that builds on the traditional gradient boosting algorithm and corrects for the endogeneity bias. The algorithm is very intuitive and resembles an iterative version of the standard 2SLS estimator. Moreover, our approach is data driven, meaning that the researcher does not have to make a stance on neither the form of the target function approximation nor the choice of instruments. We demonstrate that our estimator is consistent under mild conditions. We carry out extensive Monte Carlo simulations to demonstrate the finite sample performance of our algorithm compared to other recently developed methods. We show that boostIV is at worst on par with the existing methods and on average significantly outperforms them.

econ.EM↗

arXiv2020

Frequentist Shrinkage under Inequality Constraints

This paper shows how to shrink extremum estimators towards inequality constraints motivated by economic theory. We propose an Inequality Constrained Shrinkage Estimator (ICSE) which takes the form of a weighted average between the unconstrained and inequality constrained estimators with the data dependent weight. The weight drives both the direction and degree of shrinkage. We use a local asymptotic framework to derive the asymptotic distribution and risk of the ICSE. We provide conditions under which the asymptotic risk of the ICSE is strictly less than that of the unrestricted extremum estimator. The degree of shrinkage cannot be consistently estimated under the local asymptotic framework. To address this issue, we propose a feasible plug-in estimator and investigate its finite sample behavior. We also apply our framework to gasoline demand estimation under the Slutsky restriction.

econ.EM↗