research
∙
08/25/2023
SGMM: Stochastic Approximation to Generalized Method of Moments
We introduce a new class of algorithms, Stochastic Generalized Method of...
share
research
∙
07/20/2023
A Framework for Statistical Inference via Randomized Algorithms
Randomized algorithms, such as randomized sketching or projections, are ...
research
∙
05/22/2023
The Mean Squared Error of the Ridgeless Least Squares Estimator under General Assumptions on Regression Errors
In recent years, there has been a significant growth in research focusin...
research
∙
09/29/2022
Fast Inference for Quantile Regression with Tens of Millions of Observations
While applications of big data analytics have brought many new opportuni...
research
∙
05/27/2022
Average Adjusted Association: Efficient Estimation with High Dimensional Confounders
The log odds ratio is a common parameter to measure association between ...
research
∙
05/17/2022
Treatment Choice with Nonlinear Regret
The literature on treatment choice focuses on the mean of welfare regret...
research
∙
11/09/2021
Bounding Treatment Effects by Pooling Limited Information across Observations
We provide novel bounds on average treatment effects (on the treated) th...
research
∙
06/06/2021
Fast and Robust Online Inference with Stochastic Gradient Descent via Random Scaling
We develop a new method of online inference for a vector of parameters e...
research
∙
08/25/2020
Powerful Inference
We develop an inference method for a (sub)vector of parameters identifie...
research
∙
07/20/2020
Filtered and Unfiltered Treatment Effects with Targeting Instruments
Multivalued treatments are commonplace in applications. We explore the u...
research
∙
07/15/2020
Sketching for Two-Stage Least Squares Estimation
When there is so much data that they become a computation burden, it is ...
research
∙
06/19/2020
Sparse Quantile Regression
We consider both ℓ _0-penalized and ℓ _0-constrained quantile regression...
research
∙
06/18/2020
Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate
In this paper, we estimate the time-varying COVID-19 contact rate of a S...
research
∙
04/17/2020
Causal Inference in Case-Control Studies
We investigate identification of causal parameters in case-control and r...
research
∙
07/03/2019
An Econometric Perspective of Algorithmic Sampling
Datasets that are terabytes in size are increasingly common, but compute...
research
∙
05/16/2019
Non-Asymptotic Inference in a Class of Optimization Problems
This paper describes a method for carrying out non-asymptotic inference ...
research
∙
11/23/2018
High Dimensional Classification through ℓ_0-Penalized Empirical Risk Minimization
We consider a high dimensional binary classification problem and constru...
research
∙
04/30/2018