学术活动

Endogenous Treatment Effect Estimation Using High Dimensional Instruments and Double Selection - 钟威 教授(厦门大学)

作者:   来源:  时间:2019-12-08

题目:Endogenous Treatment Effect Estimation Using High Dimensional Instruments and Double Selection

报告人:钟威 教授(厦门大学)

个人简介:

钟威,现任厦门大学王亚南经济研究院和经济学院统计系教授、博士生导师,经济学院院长助理,国家自然科学基金优秀青年基金获得者(2019),福建省自然科学杰出青年基金获得者(2019)。2008年毕业于北京师范大学数学科学学院,2012年获得美国宾夕法尼亚州立大学统计学博士学位,2014年和2017年分别破格晋升副教授和教授,2018年入选厦门大学“南强青年拔尖人才”(A类)。主要从事高维数据统计分析和理论、统计学习和数据挖掘算法、计量经济学、统计学和数据科学的应用等领域的研究。在The Annals of Statistics, Journal of the American Statistical Association, Biometrika, Journal of Business & Economic Statistics, Annals of Applied Statistics,  Statistica Sinica,中国科学数学等国内外统计学权威期刊发表20多篇论文,其中入选ESI前1%高被引论文2篇,总引用次数超过600次(Google学术)

Abstract:

Endogenous treatments are commonly encountered in program evaluations using observational data. In this talk, we propose a double selection plus instrumental variable (DS-IV) estimator for the endogenous treatment effect which are common in observational studies. The estimator integrates several desirable features: first, it accommodates the treatment effect models with a potentially large number of control variables using double selection to reduce omitted variables bias. Second, the high-dimensional instrumental variables method is used to consistently estimate the endogenous treatment effect due to unavailability of important variables for the outcome or sample selection. Third, we theoretically show that our DS-IV estimator is root n consistent, asymptotically normal and also achieve the semi-parametrical efficient bound under the homoscedasticity assumption. Numerical simulations demonstrate that our estimators performs uniformly reliably for estimating the endogenous treatment effect with both high-dimensional control variables and instrumental variables. A case study about the treatment effect of teachers’ home visits on students’ school performance illustrates the usefulness of the proposed estimator.

时间:2019年12月8日(周日)上午10:00-11:00

地点:首都师范大学本部教二627教室

联系人:胡涛

 

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