arXiv subjects

Yuya Sasaki

Publications and source records attributed to Yuya Sasaki.

86 records · Page 5Linked to original sources

arXiv2020

Estimation and Inference for Policy Relevant Treatment Effects

The policy relevant treatment effect (PRTE) measures the average effect of switching from a status-quo policy to a counterfactual policy. Estimation of the PRTE involves estimation of multiple preliminary parameters, including propensity scores, conditional expectation functions of the outcome and covariates given the propensity score, and marginal treatment effects. These preliminary estimators can affect the asymptotic distribution of the PRTE estimator in complicated and intractable manners. In this light, we propose an orthogonal score for double debiased estimation of the PRTE, whereby the asymptotic distribution of the PRTE estimator is obtained without any influence of preliminary parameter estimators as far as they satisfy mild requirements of convergence rates. To our knowledge, this paper is the first to develop limit distribution theories for inference about the PRTE.

econ.EM↗

arXiv2020

Quantile Regression with Interval Data

This paper investigates the identification of quantiles and quantile regression parameters when observations are set valued. We define the identification set of quantiles of random sets in a way that extends the definition of quantiles for regular random variables. We then give sharp characterization of this set by extending concepts from random set theory. For quantile regression parameters, we show that the identification set is characterized by a system of conditional moment inequalities. This characterization extends that of parametric quantile regression for regular random variables. Estimation and inference theories are developed for continuous cases, discrete cases, nonparametric conditional quantiles, and parametric quantile regressions. A fast computational algorithm of set linear programming is proposed. Monte Carlo experiments support our theoretical properties.

stat.ME↗

arXiv2020

Multiway Cluster Robust Double/Debiased Machine Learning

This paper investigates double/debiased machine learning (DML) under multiway clustered sampling environments. We propose a novel multiway cross fitting algorithm and a multiway DML estimator based on this algorithm. We also develop a multiway cluster robust standard error formula. Simulations indicate that the proposed procedure has favorable finite sample performance. Applying the proposed method to market share data for demand analysis, we obtain larger two-way cluster robust standard errors than non-robust ones.

econ.EM↗

arXiv2019

Inference based on Kotlarski's Identity

Kotlarski's identity has been widely used in applied economic research. However, how to conduct inference based on this popular identification approach has been an open question for two decades. This paper addresses this open problem by constructing a novel confidence band for the density function of a latent variable in repeated measurement error model. The confidence band builds on our finding that we can rewrite Kotlarski's identity as a system of linear moment restrictions. The confidence band controls the asymptotic size uniformly over a class of data generating processes, and it is consistent against all fixed alternatives. Simulation studies support our theoretical results.

econ.EM↗

arXiv2019

Lasso under Multi-way Clustering: Estimation and Post-selection Inference

This paper studies high-dimensional regression models with lasso when data is sampled under multi-way clustering. First, we establish convergence rates for the lasso and post-lasso estimators. Second, we propose a novel inference method based on a post-double-selection procedure and show its asymptotic validity. Our procedure can be easily implemented with existing statistical packages. Simulation results demonstrate that the proposed procedure works well in finite sample. We illustrate the proposed method with a couple of empirical applications to development and growth economics.

econ.EM↗

arXiv2019

Uniform confidence bands for nonparametric errors-in-variables regression

This paper develops a method to construct uniform confidence bands for a nonparametric regression function where a predictor variable is subject to a measurement error. We allow for the distribution of the measurement error to be unknown, but assume the availability of validation data or repeated measurements on the latent predictor variable. The proposed confidence band builds on the deconvolution kernel estimation and a novel application of the multiplier bootstrap method. We establish asymptotic validity of the proposed confidence band. To our knowledge, this is the first paper to derive asymptotically valid uniform confidence bands for nonparametric errors-in-variables regression.

math.ST↗

arXiv2019

Post-Selection Inference in Three-Dimensional Panel Data

Three-dimensional panel models are widely used in empirical analysis. Researchers use various combinations of fixed effects for three-dimensional panels. When one imposes a parsimonious model and the true model is rich, then it incurs mis-specification biases. When one employs a rich model and the true model is parsimonious, then it incurs larger standard errors than necessary. It is therefore useful for researchers to know correct models. In this light, Lu, Miao, and Su (2018) propose methods of model selection. We advance this literature by proposing a method of post-selection inference for regression parameters. Despite our use of the lasso technique as means of model selection, our assumptions allow for many and even all fixed effects to be nonzero. Simulation studies demonstrate that the proposed method is more precise than under-fitting fixed effect estimators, is more efficient than over-fitting fixed effect estimators, and allows for as accurate inference as the oracle estimator.

econ.EM↗

arXiv2019

Quantile Treatment Effects in Regression Kink Designs

The literature on regression kink designs develops identification results for average effects of continuous treatments (Card, Lee, Pei, and Weber, 2015), average effects of binary treatments (Dong, 2018), and quantile-wise effects of continuous treatments (Chiang and Sasaki, 2019), but there has been no identification result for quantile-wise effects of binary treatments to date. In this paper, we fill this void in the literature by providing an identification of quantile treatment effects in regression kink designs with binary treatment variables. For completeness, we also develop large sample theories for statistical inference and a practical guideline on estimation and inference.

stat.ME↗

arXiv2019

Robust Uniform Inference for Quantile Treatment Effects in Regression Discontinuity Designs

The practical importance of inference with robustness against large bandwidths for causal effects in regression discontinuity and kink designs is widely recognized. Existing robust methods cover many cases, but do not handle uniform inference for CDF and quantile processes in fuzzy designs, despite its use in the recent literature in empirical microeconomics. In this light, this paper extends the literature by developing a unified framework of inference with robustness against large bandwidths that applies to uniform inference for quantile treatment effects in fuzzy designs, as well as all the other cases of sharp/fuzzy mean/quantile regression discontinuity/kink designs. We present Monte Carlo simulation studies and an empirical application for evaluations of the Oklahoma pre-K program.

stat.ME↗

arXiv2018

Making View Update Strategies Programmable - Toward Controlling and Sharing Distributed Data -

Views are known mechanisms for controlling access of data and for sharing data of different schemas. Despite long and intensive research on views in both the database community and the programming language community, we are facing difficulties to use views in practice. The main reason is that we lack ways to directly describe view update strategies to deal with the inherent ambiguity of view updating. This paper aims to provide a new language-based approach to controlling and sharing distributed data based on views, and establish a software foundation for systematic construction of such data management systems. Our key observation is that a view should be defined through a view update strategy rather than a view definition. We show that Datalog can be used for specifying view update strategies whose unique view definition can be automatically derived, present a novel P2P-based programmable architecture for distributed data management where updatable views are fully utilized for controlling and sharing distributed data, and demonstrate its usefulness through the development of a privacy-preserving ride-sharing alliance system.

cs.DB↗

arXiv2018

A View-based Programmable Architecture for Controlling and Integrating Decentralized Data

The view and the view update are known mechanism for controlling access of data and for integrating data of different schemas. Despite intensive and long research on them in both the database community and the programming language community, we are facing difficulties to use them in practice. The main reason is that we are lacking of control over the view update strategy to deal with inherited ambiguity of view update for a given view. This vision paper aims to provide a new language-based approach to controlling and integrating decentralized data based on the view, and establish a software foundation for systematic construction of such data management systems. Our key observation is that a view should be defined through a view update strategy rather than a query. In other words, the view definition should be extracted from the view update strategy, which is in sharp contrast to the traditional approaches where the view update strategy is derived from the view definition. In this paper, we present the first programmable architecture with a declarative language for specifying update strategies over views, whose unique view definition can be automatically derived, and show how it can be effectively used to control data access, integrate data generally allowing coexistence of GAV (global as view) and LAV (local as view), and perform both analysis and updates on the integrated data. We demonstrate its usefulness through development of a privacy-preserving ride-sharing alliance system, discuss its application scope, and highlight future challenges.

cs.DB↗

arXiv2017

Causal Inference by Quantile Regression Kink Designs

The quantile regression kink design (QRKD) is proposed by empirical researchers as a potential method to assess heterogeneous treatment effects under suitable research designs, but its causal interpretation remains unknown. We propose a causal interpretation of the QRKD estimand. Under flexible heterogeneity and endogeneity, the QRKD estimand measures a weighted average of heterogeneous marginal effects at respective conditional quantiles of outcome given a designed kink point. In addition, we develop weak convergence results for the QRKD estimator as a local quantile process for the purpose of conducting statistical inference on heterogeneous treatment effects using the QRKD. Applying our methods to the Continuous Wage and Benefit History Project (CWBH) data, we find significantly heterogeneous positive causal effects of unemployment insurance benefits on unemployment durations in Louisiana between 1981 and 1983. These effects are larger for individuals with longer unemployment durations.

stat.ME↗

arXiv2017

Constructive Identification of Heterogeneous Elasticities in the Cobb-Douglas Production Function

This paper presents the identification of heterogeneous elasticities in the Cobb-Douglas production function. The identification is constructive with closed-form formulas for the elasticity with respect to each input for each firm. We propose that the flexible input cost ratio plays the role of a control function under "non-collinear heterogeneity" between elasticities with respect to two flexible inputs. The ex ante flexible input cost share can be used to identify the elasticities with respect to flexible inputs for each firm. The elasticities with respect to labor and capital can be subsequently identified for each firm under the timing assumption admitting the functional independence.

econ.EM↗

arXiv2017

Uniform confidence bands in deconvolution with unknown error distribution

This paper develops a method to construct uniform confidence bands in deconvolution when the error distribution is unknown. We mainly focus on the baseline setting where an auxiliary sample from the error distribution is available and the error density is ordinary smooth. The auxiliary sample may directly come from validation data, or can be constructed from panel data with a symmetric error distribution. We also present extensions of the results on confidence bands to the case of super-smooth error densities. Simulation studies demonstrate the performance of the multiplier bootstrap confidence band in the finite sample. We apply our method to the Outer Continental Shelf (OCS) Auction Data and draw confidence bands for the density of common values of mineral rights on oil and gas tracts. Finally, we present an application of our main theoretical result specifically to additive fixed-effect panel data models. As an empirical illustration of the panel data analysis, we draw confidence bands for the density of the total factor productivity in a manufacturing industry in Chile.

math.ST↗