MDEI - Implementing the Method of Direct Estimation and Inference

Causal and statistical inference on an arbitrary treatment effect curve requires care in both estimation and inference. This package, implements the Method of Direct Estimation and Inference as introduced in "Estimation and Inference on Nonlinear and Heterogeneous Effects" by Ratkovic and Tingley (2023) <doi:10.1086/723811>. The method takes an outcome, variable of theoretical interest (treatment), and set of variables and then returns a partial derivative (marginal effect) of the treatment variable at each point along with uncertainty intervals. The approach offers two advances. First, a split-sample approach is used as a guard against over-fitting. Second, the method uses a data-driven interval derived from conformal inference, rather than relying on a normality assumption on the error terms.

Last updated 2 years ago

3.00 score 585 downloads

sparsereg - Sparse Bayesian Models for Regression, Subgroup Analysis, and Panel Data

Sparse modeling provides a mean selecting a small number of non-zero effects from a large possible number of candidate effects. This package includes a suite of methods for sparse modeling: estimation via EM or MCMC, approximate confidence intervals with nominal coverage, and diagnostic and summary plots. The method can implement sparse linear regression and sparse probit regression. Beyond regression analyses, applications include subgroup analysis, particularly for conjoint experiments, and panel data. Future versions will include extensions to models with truncated outcomes, propensity score, and instrumental variable analysis.

Last updated 9 years ago

1.00 score 6 scripts 142 downloads