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08/25/2023
SGMM: Stochastic Approximation to Generalized Method of Moments
We introduce a new class of algorithms, Stochastic Generalized Method of...
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07/20/2023
A Framework for Statistical Inference via Randomized Algorithms
Randomized algorithms, such as randomized sketching or projections, are ...
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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...
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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...
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05/27/2022
Average Adjusted Association: Efficient Estimation with High Dimensional Confounders
The log odds ratio is a common parameter to measure association between ...
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05/17/2022
Treatment Choice with Nonlinear Regret
The literature on treatment choice focuses on the mean of welfare regret...
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11/09/2021
Bounding Treatment Effects by Pooling Limited Information across Observations
We provide novel bounds on average treatment effects (on the treated) th...
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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...
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08/25/2020
Powerful Inference
We develop an inference method for a (sub)vector of parameters identifie...
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07/20/2020
Filtered and Unfiltered Treatment Effects with Targeting Instruments
Multivalued treatments are commonplace in applications. We explore the u...
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07/15/2020
Sketching for Two-Stage Least Squares Estimation
When there is so much data that they become a computation burden, it is ...
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06/19/2020
Sparse Quantile Regression
We consider both ℓ _0-penalized and ℓ _0-constrained quantile regression...
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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...
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04/17/2020
Causal Inference in Case-Control Studies
We investigate identification of causal parameters in case-control and r...
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07/03/2019
An Econometric Perspective of Algorithmic Sampling
Datasets that are terabytes in size are increasingly common, but compute...
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05/16/2019
Non-Asymptotic Inference in a Class of Optimization Problems
This paper describes a method for carrying out non-asymptotic inference ...
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11/23/2018
High Dimensional Classification through ℓ_0-Penalized Empirical Risk Minimization
We consider a high dimensional binary classification problem and constru...
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04/30/2018
