arXiv subjects

Xiye Yang

Publications and source records attributed to Xiye Yang.

4 recordsLinked to original sources

arXiv2025

Distributionally Robust Treatment Effect

Using only retrospective data, we study the problem of predicting treatment effects for the same treatment/policy implemented in a different location or time period. We propose a distributionally robust estimator that minimizes the worst-case mean squared error for the prediction of treatment effect over a class of distributions defined by a Wasserstein neighborhood around the source distribution. Because the joint distribution of potential outcomes is unidentified, the problem is inherently one of partial identification. We characterize the sharp upper and lower bounds of the minimax optimizer by exploiting the Fr\'echet class of distributions consistent with the marginal distributions of potential outcomes. The resulting predictor preserves the sign of the average treatment effect under the source distribution but is shrunk toward zero, with the degree of shrinkage depending on the extent of treatment effect heterogeneity. We establish consistency and asymptotic normality of the bound estimators, develop a two-step inference procedure, and discuss the choice of the robustness parameter.

econ.EM↗

arXiv2025

Influence Function: Local Robustness and Efficiency

This paper introduces a direct differentiation-based framework that unifies the derivation of influence functions across parametric, nonparametric, and semiparametric models. We show that the Riesz representer of the functional derivative is obtained by orthogonally projecting the identification function onto the subspace of mean-zero functions. Consequently, the influence function emerges as a linear transformation of this centered moment function. The approach extends seamlessly to infinite-dimensional parameters, revealing a common algebraic form for influence functions across both finite- and infinite-dimensional parameters. Applied to semiparametric multi-step plug-in estimation, our method automatically yields locally robust moment functions and provides an explicit closed-form expression for the adjustment term. Finally, we leverage this framework to revisit the joint versus plug-in estimation debate, establishing verifiable sufficient conditions for their semiparametric efficiency equivalence even when nuisance parameters are over-identified.

econ.EM↗

arXiv2019

Bias Correction and Robust Inference in Semiparametric Models

This paper analyzes several different biases that emerge from the (possibly) low-precision nonparametric ingredient in a semiparametric model. We show that both the variance part and the bias part of the nonparametric ingredient can lead to some biases in the semiparametric estimator, under conditions weaker than typically required in the literature. We then propose two bias-robust inference procedures, based on multi-scale jackknife and analytical bias correction, respectively. We also extend our framework to the case where the semiparametric estimator is constructed by some discontinuous functionals of the nonparametric ingredient. Simulation study shows that both bias-correction methods have good finite-sample performance.

math.ST↗

arXiv2017

Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models

We consider continuous-time models with a large panel of moment conditions, where the structural parameter depends on a set of characteristics, whose effects are of interest. The leading example is the linear factor model in financial economics where factor betas depend on observed characteristics such as firm specific instruments and macroeconomic variables, and their effects pick up long-run time-varying beta fluctuations. We specify the factor betas as the sum of characteristic effects and an orthogonal idiosyncratic parameter that captures high-frequency movements. It is often the case that researchers do not know whether or not the latter exists, or its strengths, and thus the inference about the characteristic effects should be valid uniformly over a broad class of data generating processes for idiosyncratic parameters. We construct our estimation and inference in a two-step continuous-time GMM framework. It is found that the limiting distribution of the estimated characteristic effects has a discontinuity when the variance of the idiosyncratic parameter is near the boundary (zero), which makes the usual "plug-in" method using the estimated asymptotic variance only valid pointwise and may produce either over- or under- coveraging probabilities. We show that the uniformity can be achieved by cross-sectional bootstrap. Our procedure allows both known and estimated factors, and also features a bias correction for the effect of estimating unknown factors.

econ.EM↗