Debiasing Functionals of Conditional Distributions

Juan Carlos Escanciano and Gabriele Gazzei

Papers from arXiv.org

Abstract: Many economic parameters depend on estimated conditional distributions. We construct locally robust moments for these parameters by representing their first-step derivative and centering the representer conditionally on the covariates. We develop complementary conditional-measure and CDF linearizations, and derive corrections for control functions, counterfactual functionals, conditional rank-rank regression, and transformations of conditional $L$-functionals. Under the CDF linearization, a Riesz-regression criterion estimates the correction automatically; its analysis distinguishes representer estimation from integration against the estimated conditional law. We establish asymptotic oracle equivalence, asymptotic normality, and consistent variance estimation for cross-fitted estimators under continuity and remainder conditions, without requiring functional weak convergence of the first-step estimators. An exact linear representation yields double robustness; for rank-rank regression this property is componentwise. Simulations report reductions in bias and RMSE relative to plug-in estimation, with double cross-fitting improving the finite-sample performance.

Date: 2026-10
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