In this paper, I try to tame "Basu's elephants" (data with extreme selection on observables). I propose new practical large-sample and finite-sample methods for estimating and inferring heterogeneous causal effects (under unconfoundedness) in the empirically relevant context of limited overlap....

This chapter uses the marginal treatment effect (MTE) to unify and organize the econometric literature on the evaluation of social programs. The marginal treatment effect is a choice-theoretic parameter that can be interpreted as a willingness to pay parameter for persons at a margin of...

This paper describes a modelling methodology for multivariate stochastic processes. The concept of multiple causality is discussed and a procedure to detect multiple causality is suggested. The data of a major Canadian supermarket is analyzed and a multivariate autoregressive model for this...

Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for causality- the DCC-MGARCH Hong test. We show that the critical values of the...

Karl Pearson developed the correlation coefficient r(X,Y) in 1890's. Vinod (2014) develops new generalized correlation coefficients so that when r*(Y|X) r*(X|Y) then X is the "kernel cause" of Y. Vinod (2015a) argues that kernel causality amounts to model selection between two kernel...

This paper studies covariate adjusted estimation of the average treatment effect in stratified experiments. We work in a general framework that includes matched tuples designs, coarse stratification, and complete randomization as special cases. Regression adjustment with treatment‐covariate...

I introduce a procedure to nonparametrically estimate local quantile treatment effects in a regression discontinuity (RD) design with a binary treatment. Analogously to Hahn, Todd, and van der Klaauw's (2001) estimator for average treatment effects using local linear regression, the estimator...

A aplicação de métricas de risco na EDP é fundamental não só para apoio à decisão sobre operações de Trading no mercado de electricidade e de combustíveis, como também, na tomada de decisões no âmbito do Plano de Negócios com base numa avaliação periódica do nível de risco de...

Partial mean with generated regressors arises in several econometric problems, such as the distribution of potential outcomes with continuous treatments and the quantile structural function in a nonseparable triangular model. This paper proposes a nonparametric estimator for the partial mean...