Search Results for author:
Found 5 papers, 3 papers with code
Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints
This paper analyzes the statistical properties of constrained portfolio formation in a high dimensional portfolio with a large number of assets.
Uniform Inference for Nonlinear Endogenous Treatment Effects with High-Dimensional Covariates
In this paper, we propose new estimation and inference procedures for nonparametric treatment effect functions with endogeneity and potentially high-dimensional covariates.
On the instrumental variable estimation with many weak and invalid instruments
We discuss the fundamental issue of identification in linear instrumental variable (IV) models with unknown IV validity.
A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates
The novelty of the proposed test is that it allows the number of covariates and instruments to be larger than the sample size.
Estimation of Conditional Average Treatment Effects with High-Dimensional Data
In the first stage, the nuisance functions necessary for identifying CATE are estimated by machine learning methods, allowing the number of covariates to be comparable to or larger than the sample size.
