A Semiparametric Instrumental Variable Approach to Optimal Treatment Regimes Under Endogeneity
نویسندگان
چکیده
منابع مشابه
Semiparametric Instrumental Variable Estimation in an Endogenous Treatment Model1
In this paper we propose an instrumental variables (IV) estimator for a semiparametric outcome model with endogeous discrete treatment variables. The main contribution of our paper is that the identi cation, consistency and asymptotic normality of our estimator all hold even under misspeci cation of the treatment model. As expected from Newey and McFadden (1994), the covariance matrix for the p...
متن کاملSemiparametric instrumental variable estimation of treatment response models
This article introduces a new class of instrumental variable (IV) estimators for linear and nonlinear treatment response models with covariates. The rationale for focusing on nonlinear models is that, if the dependent variable is binary or limited, or if the e(ect of the treatment varies with covariates, a nonlinear model is appropriate. In the spirit of Roehrig (Econometrica 56 (1988) 433), id...
متن کاملa benchmarking approach to optimal asset allocation for insurers and pension funds
uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
15 صفحه اولVariable selection for dynamic treatment regimes: a reinforcement learning approach
Dynamic treatment regimes (DTRs) can be inferred from data collected through some randomized clinical trials by using reinforcement learning algorithms. During these clinical trials, a large set of clinical indicators are usually monitored. However, it is often more convenient for clinicians to have DTRs which are only defined on a small set of indicators rather than on the original full set. T...
متن کاملEdgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics
We establish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable considered in Newey (1990) as well as to the distribution of a Wald statistic derived from it. We employ local polynomial smoothing with variable bandwidth, which includes local linear, kernel, and [a version of] nearest neighbour estimates as sp...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2020
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.2020.1783272