arXiv subjects

Joel L. Horowitz

Publications and source records attributed to Joel L. Horowitz.

15 recordsLinked to original sources

arXiv2026

Binary Classification with the Maximum Score Model and Linear Programming

This paper presents a computationally efficient method for binary classification using Manski's (1975, 1985) maximum score model when covariates are discretely distributed and parameters are partially but not point identified. We establish minimax-regret-optimal classification rules that take account of partial identification of the model's parameters. We bound misclassification probabilities and expected excess regret induced by sampling uncertainty. We also describe an extension of our method to continuous covariates. Our approach avoids the computational difficulty of maximum score estimation by reformulating the problem as two linear programs. Compared to parametric and nonparametric methods, our method balances extrapolation ability with minimal distributional assumptions. Monte Carlo simulations and empirical applications demonstrate its effectiveness and practical relevance.

econ.EM↗

arXiv2026

Demand estimation without outside good shares

The BLP model is the workhorse framework for estimating demand for differentiated products using aggregate product shares. In practice, however, the share of the outside good is often unavailable. This paper studies identification and inference in the BLP model when the share of the outside good is unobserved. We show that the model is partially identified, and we derive the identified sets for the structural parameters and other quantities of economic interest. We also develop inference procedures based on moment inequalities that deliver valid confidence sets for these structural parameters and quantities of economic interest. We illustrate our results with an empirical application based on the tuna data analyzed by Gandhi et al. (2023).

econ.EM↗

arXiv2024

Bootstrap based asymptotic refinements for high-dimensional nonlinear models

We consider penalized extremum estimation of a high-dimensional, possibly nonlinear model that is sparse in the sense that most of its parameters are zero but some are not. We use the SCAD penalty function, which provides model selection consistent and oracle efficient estimates under suitable conditions. However, asymptotic approximations based on the oracle model can be inaccurate with the sample sizes found in many applications. This paper gives conditions under which the bootstrap, based on estimates obtained through SCAD penalization with thresholding, provides asymptotic refinements of size $O \left( n^{- 2} \right)$ for the error in the rejection (coverage) probability of a symmetric hypothesis test (confidence interval) and $O \left( n^{- 1} \right)$ for the error in the rejection (coverage) probability of a one-sided or equal tailed test (confidence interval). The results of Monte Carlo experiments show that the bootstrap can provide large reductions in errors in rejection and coverage probabilities. The bootstrap is consistent, though it does not necessarily provide asymptotic refinements, even if some parameters are close but not equal to zero. Random-coefficients logit and probit models and nonlinear moment models are examples of models to which the procedure applies.

econ.EM↗

arXiv2022

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

This paper describes three methods for carrying out non-asymptotic inference on partially identified parameters that are solutions to a class of optimization problems. Applications in which the optimization problems arise include estimation under shape restrictions, estimation of models of discrete games, and estimation based on grouped data. The partially identified parameters are characterized by restrictions that involve the unknown population means of observed random variables in addition to structural parameters. Inference consists of finding confidence intervals for functions of the structural parameters. Our theory provides finite-sample lower bounds on the coverage probabilities of the confidence intervals under three sets of assumptions of increasing strength. With the moderate sample sizes found in most economics applications, the bounds become tighter as the assumptions strengthen. We discuss estimation of population parameters that the bounds depend on and contrast our methods with alternative methods for obtaining confidence intervals for partially identified parameters. The results of Monte Carlo experiments and empirical examples illustrate the usefulness of our method.

stat.ME↗

arXiv2022

Estimation of Non-Crossing Quantile Regression Process with Deep ReQU Neural Networks

We propose a penalized nonparametric approach to estimating the quantile regression process (QRP) in a nonseparable model using rectifier quadratic unit (ReQU) activated deep neural networks and introduce a novel penalty function to enforce non-crossing of quantile regression curves. We establish the non-asymptotic excess risk bounds for the estimated QRP and derive the mean integrated squared error for the estimated QRP under mild smoothness and regularity conditions. To establish these non-asymptotic risk and estimation error bounds, we also develop a new error bound for approximating $C^s$ smooth functions with $s >0$ and their derivatives using ReQU activated neural networks. This is a new approximation result for ReQU networks and is of independent interest and may be useful in other problems. Our numerical experiments demonstrate that the proposed method is competitive with or outperforms two existing methods, including methods using reproducing kernels and random forests, for nonparametric quantile regression.

stat.ML↗

arXiv2021

Deep Quantile Regression: Mitigating the Curse of Dimensionality Through Composition

This paper considers the problem of nonparametric quantile regression under the assumption that the target conditional quantile function is a composition of a sequence of low-dimensional functions. We study the nonparametric quantile regression estimator using deep neural networks to approximate the target conditional quantile function. For convenience, we shall refer to such an estimator as a deep quantile regression (DQR) estimator. We show that the DQR estimator achieves the nonparametric optimal convergence rate up to a logarithmic factor determined by the intrinsic dimension of the underlying compositional structure of the conditional quantile function, not the ambient dimension of the predictor. Therefore, DQR is able to mitigate the curse of dimensionality under the assumption that the conditional quantile function has a compositional structure. To establish these results, we analyze the approximation error of a composite function by neural networks and show that the error rate only depends on the dimensions of the component functions. We apply our general results to several important statistical models often used in mitigating the curse of dimensionality, including the single index, the additive, the projection pursuit, the univariate composite, and the generalized hierarchical interaction models. We explicitly describe the prefactors in the error bounds in terms of the dimensionality of the data and show that the prefactors depends on the dimensionality linearly or quadratically in these models. We also conduct extensive numerical experiments to evaluate the effectiveness of DQR and demonstrate that it outperforms a kernel-based method for nonparametric quantile regression.

math.ST↗

arXiv2021

Permutation Tests for Equality of Distributions of Functional Data

Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called functional data. This paper is concerned with comparing two or more stochastic processes that generate functional data. The data may be produced by a randomized experiment in which there are multiple treatments. The paper presents a method for testing the hypothesis that the same stochastic process generates all the functional data. The test described here applies to both functional data and multiple treatments. It is implemented as a combination of two permutation tests. This ensures that in finite samples, the true and nominal probabilities that each test rejects a correct null hypothesis are equal. The paper presents upper and lower bounds on the asymptotic power of the test under alternative hypotheses. The results of Monte Carlo experiments and an application to an experiment on billing and pricing of natural gas illustrate the usefulness of the test.

econ.EM↗

arXiv2018

Bootstrap Methods in Econometrics

The bootstrap is a method for estimating the distribution of an estimator or test statistic by re-sampling the data or a model estimated from the data. Under conditions that hold in a wide variety of econometric applications, the bootstrap provides approximations to distributions of statistics, coverage probabilities of confidence intervals, and rejection probabilities of hypothesis tests that are more accurate than the approximations of first-order asymptotic distribution theory. The reductions in the differences between true and nominal coverage or rejection probabilities can be very large. In addition, the bootstrap provides a way to carry out inference in certain settings where obtaining analytic distributional approximations is difficult or impossible. This article explains the usefulness and limitations of the bootstrap in contexts of interest in econometrics. The presentation is informal and expository. It provides an intuitive understanding of how the bootstrap works. Mathematical details are available in references that are cited.

econ.EM↗

arXiv2018

Non-Asymptotic Inference in Instrumental Variables Estimation

This paper presents a simple method for carrying out inference in a wide variety of possibly nonlinear IV models under weak assumptions. The method is non-asymptotic in the sense that it provides a finite sample bound on the difference between the true and nominal probabilities of rejecting a correct null hypothesis. The method is a non-Studentized version of the Anderson-Rubin test but is motivated and analyzed differently. In contrast to the conventional Anderson-Rubin test, the method proposed here does not require restrictive distributional assumptions, linearity of the estimated model, or simultaneous equations. Nor does it require knowledge of whether the instruments are strong or weak. It does not require testing or estimating the strength of the instruments. The method can be applied to quantile IV models that may be nonlinear and can be used to test a parametric IV model against a nonparametric alternative. The results presented here hold in finite samples, regardless of the strength of the instruments.

econ.EM↗

arXiv2010

Variable selection in nonparametric additive models

We consider a nonparametric additive model of a conditional mean function in which the number of variables and additive components may be larger than the sample size but the number of nonzero additive components is "small" relative to the sample size. The statistical problem is to determine which additive components are nonzero. The additive components are approximated by truncated series expansions with B-spline bases. With this approximation, the problem of component selection becomes that of selecting the groups of coefficients in the expansion. We apply the adaptive group Lasso to select nonzero components, using the group Lasso to obtain an initial estimator and reduce the dimension of the problem. We give conditions under which the group Lasso selects a model whose number of components is comparable with the underlying model, and the adaptive group Lasso selects the nonzero components correctly with probability approaching one as the sample size increases and achieves the optimal rate of convergence. The results of Monte Carlo experiments show that the adaptive group Lasso procedure works well with samples of moderate size. A data example is used to illustrate the application of the proposed method.

math.ST↗

arXiv2008

Asymptotic properties of bridge estimators in sparse high-dimensional regression models

We study the asymptotic properties of bridge estimators in sparse, high-dimensional, linear regression models when the number of covariates may increase to infinity with the sample size. We are particularly interested in the use of bridge estimators to distinguish between covariates whose coefficients are zero and covariates whose coefficients are nonzero. We show that under appropriate conditions, bridge estimators correctly select covariates with nonzero coefficients with probability converging to one and that the estimators of nonzero coefficients have the same asymptotic distribution that they would have if the zero coefficients were known in advance. Thus, bridge estimators have an oracle property in the sense of Fan and Li [J. Amer. Statist. Assoc. 96 (2001) 1348--1360] and Fan and Peng [Ann. Statist. 32 (2004) 928--961]. In general, the oracle property holds only if the number of covariates is smaller than the sample size. However, under a partial orthogonality condition in which the covariates of the zero coefficients are uncorrelated or weakly correlated with the covariates of nonzero coefficients, we show that marginal bridge estimators can correctly distinguish between covariates with nonzero and zero coefficients with probability converging to one even when the number of covariates is greater than the sample size.

math.ST↗

arXiv2008

Rate-optimal estimation for a general class of nonparametric regression models with unknown link functions

This paper discusses a nonparametric regression model that naturally generalizes neural network models. The model is based on a finite number of one-dimensional transformations and can be estimated with a one-dimensional rate of convergence. The model contains the generalized additive model with unknown link function as a special case. For this case, it is shown that the additive components and link function can be estimated with the optimal rate by a smoothing spline that is the solution of a penalized least squares criterion.

math.ST↗

arXiv2007

Methodology and convergence rates for functional linear regression

In functional linear regression, the slope ``parameter'' is a function. Therefore, in a nonparametric context, it is determined by an infinite number of unknowns. Its estimation involves solving an ill-posed problem and has points of contact with a range of methodologies, including statistical smoothing and deconvolution. The standard approach to estimating the slope function is based explicitly on functional principal components analysis and, consequently, on spectral decomposition in terms of eigenvalues and eigenfunctions. We discuss this approach in detail and show that in certain circumstances, optimal convergence rates are achieved by the PCA technique. An alternative approach based on quadratic regularisation is suggested and shown to have advantages from some points of view.

math.ST↗

arXiv2006

Nonparametric methods for inference in the presence of instrumental variables

We suggest two nonparametric approaches, based on kernel methods and orthogonal series to estimating regression functions in the presence of instrumental variables. For the first time in this class of problems, we derive optimal convergence rates, and show that they are attained by particular estimators. In the presence of instrumental variables the relation that identifies the regression function also defines an ill-posed inverse problem, the ``difficulty'' of which depends on eigenvalues of a certain integral operator which is determined by the joint density of endogenous and instrumental variables. We delineate the role played by problem difficulty in determining both the optimal convergence rate and the appropriate choice of smoothing parameter.

math.ST↗

arXiv2005

Nonparametric Estimation of an Additive Model With a Link Function

This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the estimator is asymptotically normally distributed with a rate of convergence in probability of n^{-2/5}. This is true regardless of the (finite) dimension of the explanatory variable. Thus, in contrast to the existing asymptotically normal estimator, the new estimator has no curse of dimensionality. Moreover, the estimator has an oracle property. The asymptotic distribution of each additive component is the same as it would be if the other components were known with certainty.

math.ST↗