Distributional robustness of K-class estimators and the PULSE

The colonial origins of comparative development: An empirical investigation

Martin Emil Jakobsen and Jonas Peters

The Econometrics Journal, 2022, vol. 25, issue 2, 404-432

Abstract: SummaryWhile causal models are robust in that they are prediction optimal under arbitrarily strong interventions, they may not be optimal when the interventions are bounded. We prove that the classical K-class estimator satisfies such optimality by establishing a connection between K-class estimators and anchor regression. This connection further motivates a novel estimator in instrumental variable settings that minimizes the mean squared prediction error subject to the constraint that the estimator lies in an asymptotically valid confidence region of the causal coefficient. We call this estimator PULSE (p-uncorrelated least squares estimator), relate it to work on invariance, show that it can be computed efficiently, as a data-driven K-class estimator, even though the underlying optimization problem is nonconvex, and prove consistency. We evaluate the estimators on real data and perform simulation experiments illustrating that PULSE suffers from less variability. There are several settings, including weak instrument settings, where it outperforms other estimators.

Keywords: Causality; distributional robustness; instrumental variables (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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