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Melody Y. Huang

Publications and source records attributed to Melody Y. Huang.

2 recordsLinked to original sources

Balancing Higher Moments Matters for Causal Estimation: Further Context for the Results of Setodji et al. (2017)

We expand upon the simulation study of Setodji et al. (2017) which compared three promising balancing methods when assessing the average treatment effect on the treated for binary treatments: generalized boosted models (GBM), covariate-balancing propensity scores (CBPS), and entropy balance (EB). The study showed that GBM can outperform CBPS and EB when there are likely to be non-linear associations in both the treatment assignment and outcome models and CBPS and EB are fine-tuned to obtain balance only on first order moments. We explore the potential benefit of using higher-order moments in the balancing conditions for CBPS and EB. Our findings showcase that CBPS and EB should, by default, include higher order moments and that focusing only on first moments can result in substantial bias in both CBPS and EB estimated treatment effect estimates that could be avoided by the use of higher moments.

stat.ME↗

News Sentiment as Leading Indicators for Recessions

In the following paper, we use a topic modeling algorithm and sentiment scoring methods to construct a novel metric that serves as a leading indicator in recession prediction models. We hypothesize that the inclusion of such a sentiment indicator, derived purely from unstructured news data, will improve our capabilities to forecast future recessions because it provides a direct measure of the polarity of the information consumers and producers are exposed to. We go on to show that the inclusion of our proposed news sentiment indicator, with traditional sentiment data, such as the Michigan Index of Consumer Sentiment and the Purchasing Manager's Index, and common factors derived from a large panel of economic and financial indicators helps improve model performance significantly.

stat.AP↗