Nested Nonparametric Instrumental Variable Regression
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Installation & Replication
1. Installation
1.1. Create and activate an environment
1.2. Install dependencies
1.3. Install the package
2. What’s in the box?
3. Quick start (library)
4. Reproducing the simulations
4.1. Folder layout
4.2. Nonparametric simulations (Table 1)
4.3. Semiparametric coverage simulations (Table 2)
4.4. Unified Slurm options
4.5. Notes on parallelism & threads
5. Empirical replications (notebooks)
Longitudinal AGMM Notebook: Direct NNPIV Pipeline + Diagnostics
1) Imports and setup
2) Helper builders
3) Data generation (original DGP configuration)
4) Pre-estimation diagnostics (Diagnostic A)
5) Sequential AGMM fit
6) Simultaneous AGMM2L2 fit
7) Stage plots and RMSE summary
8) Post-estimation effective-kappa (
kappa_eff
) for
g
9) Compact readout
Semiparametric AGMM Notebook: Mediated DML Pipeline
1) Imports and setup
2) Resource check
3) Data generation and pre-estimation Diagnostic A
4) Estimation and comparison
6. Repository structure
7. Citing
8. License
Estimators for Sequential and Simultaneous Nested NPIV
Overview
Assumptions
Notation
Estimator Objectives
Progressive Recipe
Estimator Families
Regularized Kernel Hilbert Space
Closed form - Estimator 1
Closed form - Estimator 2
Closed form - Estimator 3
Closed form - Estimator 3 (RKHS norm)
Random Forest
Estimator 1
Estimator 2
Estimator 3
Estimator 4 (function class bounded)
Neural Networks
nnpiv.neuralnet.oadam.OAdam
Subsetted Estimator
Predictions
Single estimator
Joint estimator
Sparse Linear Function Spaces (
\(\ell_1-\ell_1\)
)
One-stage moment notation
Estimator 1 - coefficient
\(\ell_1\)
penalty
Estimator 2 - empirical-L2 penalty
Nested moment notation
Estimator 3 - ridge learners and quadratic critics
Estimator 4 - coefficient
\(\ell_1\)
penalties
Related
\(\ell_2-\ell_2\)
variants
First-order solver variants
Regularized Linear Function Spaces (
\(\ell_2-\ell_2\)
)
One-stage estimators
Nested estimators
Linear Class
nnpiv.tsls.tsls
nnpiv.tsls.regtsls
Related Pages
Estimation Diagnostics
Overview
Assumptions
Notation
Progressive Recipe
Canonical Diagnostics Reference
Universal Diagnostics API
Assumptions
Notation
Diagnostic A: Relative Well-posedness
Growing-sieve diagnostic (J and eta paths)
Post-estimation error-direction diagnostic (kappa_eff)
Post-estimation sieve path (kappa_eff by J and eta)
Availability and workflow
Plug-and-play usage with dataset blocks
Canonical nested NPIV shortcut
Related Pages
Semiparametric Estimation
Overview
Assumptions
Notation
Debiased Machine Learning Meta-Algorithm
Localized Ratio Targets
Progressive Recipe
Model-Specific Semiparametric APIs
NPIV
Localization
Mediation Analysis
Different Estimands
Localization
Long-term Effect Analysis
Surrogacy Model
Latent Unconfounded Model
Experimental-population target
Target-specific localization
Dynamic Treatment Effect
nnpiv.semiparametrics.DML_dynamic
Related Pages
API Documentation
Overview
Longitudinal Estimator APIs
Longitudinal API Overview
RKHS Estimators
Ensemble and Random Forest Estimators
Neural Network Estimators
Sparse and Regularized Linear Estimators
TSLS Baselines
Diagnostics APIs
Semiparametric APIs
Semiparametric API Overview
NPIV Functional Inference
Mediation Analysis
Long-Term Effect Estimation
Dynamic Treatment Effect Estimation
Related Pages
Nested Nonparametric Instrumental Variable Regression
»
Index
Edit on GitHub
Index
A
|
B
|
C
|
D
|
E
|
F
|
K
|
L
|
M
|
N
|
O
|
P
|
R
|
S
|
T
|
W
A
AGMM (class in agmm)
(class in nnpiv.neuralnet)
AGMM2L2 (class in agmm2)
(class in nnpiv.neuralnet)
alpha_ (nnpiv.linear.sparse2_ridge_quadratic_l1vsl1 attribute)
ApproxRKHS2IV (class in nnpiv.rkhs)
ApproxRKHS2IVCV (class in nnpiv.rkhs)
ApproxRKHS2IVL2 (class in nnpiv.rkhs)
ApproxRKHS2IVL2CV (class in nnpiv.rkhs)
ApproxRKHSIV (class in nnpiv.rkhs)
ApproxRKHSIVCV (class in nnpiv.rkhs)
ApproxRKHSIVL2 (class in nnpiv.rkhs)
ApproxRKHSIVL2CV (class in nnpiv.rkhs)
B
best_alpha_ (ensemble.EnsembleIVL2 attribute)
(ensemble2.Ensemble2IVL2 attribute)
(nnpiv.ensemble.Ensemble2IVL2 attribute)
(nnpiv.ensemble.EnsembleIVL2 attribute)
beta_ (nnpiv.linear.sparse2_ridge_quadratic_l1vsl1 attribute)
C
CentroidMMDGMM (class in agmm)
(class in nnpiv.neuralnet)
D
DML_dynamic (class in nnpiv.semiparametrics)
DML_longterm (class in nnpiv.semiparametrics)
DML_mediated (class in nnpiv.semiparametrics)
DML_npiv (class in nnpiv.semiparametrics)
duality_gap_upper_bound_ (nnpiv.linear.sparse2_ridge_quadratic_l1vsl1 attribute)
duality_gap_upper_bounds_ (nnpiv.linear.sparse2_ridge_quadratic_l1vsl1 attribute)
E
Ensemble2IV (class in ensemble2)
(class in nnpiv.ensemble)
Ensemble2IVL2 (class in ensemble2)
(class in nnpiv.ensemble)
EnsembleIV (class in ensemble)
(class in nnpiv.ensemble)
EnsembleIVL2 (class in ensemble)
(class in nnpiv.ensemble)
EnsembleIVStar (class in ensemble)
(class in nnpiv.ensemble)
eta_base_ (nnpiv.linear.sparse2_ridge_quadratic_l1vsl1 attribute)
F
fit() (nnpiv.ensemble.Ensemble2IV method)
(nnpiv.ensemble.Ensemble2IVL2 method)
(nnpiv.ensemble.EnsembleIV method)
(nnpiv.ensemble.EnsembleIVL2 method)
(nnpiv.ensemble.EnsembleIVStar method)
(nnpiv.linear.L2OptimisticHedgeVsOGD method)
(nnpiv.linear.L2ProxGradient method)
(nnpiv.linear.L2SubGradient method)
(nnpiv.linear.ProxGradientVsHedge method)
(nnpiv.linear.sparse2_l1vsl1 method)
(nnpiv.linear.sparse2_l2vsl2 method)
(nnpiv.linear.sparse2_ridge_l1vsl1 method)
(nnpiv.linear.sparse2_ridge_l2vsl2 method)
(nnpiv.linear.sparse2_ridge_quadratic_l1vsl1 method)
(nnpiv.linear.sparse_l1vsl1 method)
(nnpiv.linear.sparse_l2vsl2 method)
(nnpiv.linear.sparse_ridge_l1vsl1 method)
(nnpiv.linear.sparse_ridge_l2vsl2 method)
(nnpiv.linear.SubGradientVsHedge method)
(nnpiv.neuralnet.AGMM2L2 method)
K
KernelLayerMMDGMM (class in agmm)
(class in nnpiv.neuralnet)
KernelLossAGMM (class in agmm)
(class in nnpiv.neuralnet)
L
L2OptimisticHedgeVsOGD (class in nnpiv.linear)
L2ProxGradient (class in nnpiv.linear)
L2SubGradient (class in nnpiv.linear)
M
MMDGMM (class in agmm)
(class in nnpiv.neuralnet)
N
n_iters_ (nnpiv.linear.sparse2_ridge_quadratic_l1vsl1 attribute)
O
OAdam (class in nnpiv.neuralnet.oadam)
(class in oadam)
P
predict() (nnpiv.ensemble.Ensemble2IV method)
(nnpiv.ensemble.Ensemble2IVL2 method)
(nnpiv.ensemble.EnsembleIV method)
(nnpiv.ensemble.EnsembleIVL2 method)
(nnpiv.ensemble.EnsembleIVStar method)
(nnpiv.linear.L2OptimisticHedgeVsOGD method)
(nnpiv.linear.L2ProxGradient method)
(nnpiv.linear.L2SubGradient method)
(nnpiv.linear.ProxGradientVsHedge method)
(nnpiv.linear.sparse2_l1vsl1 method)
(nnpiv.linear.sparse2_l2vsl2 method)
(nnpiv.linear.sparse2_ridge_l1vsl1 method)
(nnpiv.linear.sparse2_ridge_l2vsl2 method)
(nnpiv.linear.sparse2_ridge_quadratic_l1vsl1 method)
(nnpiv.linear.sparse_l1vsl1 method)
(nnpiv.linear.sparse_l2vsl2 method)
(nnpiv.linear.sparse_ridge_l1vsl1 method)
(nnpiv.linear.sparse_ridge_l2vsl2 method)
(nnpiv.linear.SubGradientVsHedge method)
(nnpiv.neuralnet.AGMM2L2 method)
ProxGradientVsHedge (class in nnpiv.linear)
R
regtsls (class in nnpiv.tsls)
(class in tsls)
relative_wellposedness_diagnostic() (in module nnpiv.diagnostics)
relative_wellposedness_effective_diagnostic() (in module nnpiv.diagnostics)
relative_wellposedness_effective_from_data() (in module nnpiv.diagnostics)
relative_wellposedness_effective_from_nested_npiv() (in module nnpiv.diagnostics)
relative_wellposedness_effective_sieve_diagnostic() (in module nnpiv.diagnostics)
relative_wellposedness_effective_sieve_from_data() (in module nnpiv.diagnostics)
relative_wellposedness_effective_sieve_from_nested_npiv() (in module nnpiv.diagnostics)
relative_wellposedness_from_data() (in module nnpiv.diagnostics)
relative_wellposedness_from_nested_npiv() (in module nnpiv.diagnostics)
relative_wellposedness_sieve_diagnostic() (in module nnpiv.diagnostics)
relative_wellposedness_sieve_from_data() (in module nnpiv.diagnostics)
relative_wellposedness_sieve_from_nested_npiv() (in module nnpiv.diagnostics)
RKHS2IV (class in nnpiv.rkhs)
RKHS2IVCV (class in nnpiv.rkhs)
RKHS2IVL2 (class in nnpiv.rkhs)
RKHS2IVL2CV (class in nnpiv.rkhs)
RKHSIV (class in nnpiv.rkhs)
RKHSIVCV (class in nnpiv.rkhs)
RKHSIVL2 (class in nnpiv.rkhs)
RKHSIVL2CV (class in nnpiv.rkhs)
S
sparse2_l1vsl1 (class in nnpiv.linear)
(class in sparse2_l1_l1)
sparse2_l2vsl2 (class in nnpiv.linear)
(class in sparse2_l2_l2)
sparse2_ridge_l1vsl1 (class in nnpiv.linear)
(class in sparse2_l1_l1)
sparse2_ridge_l2vsl2 (class in nnpiv.linear)
(class in sparse2_l2_l2)
sparse2_ridge_quadratic_l1vsl1 (class in nnpiv.linear)
sparse_l1vsl1 (class in nnpiv.linear)
(class in sparse_l1_l1)
sparse_l2vsl2 (class in nnpiv.linear)
(class in sparse_l2_l2)
sparse_ridge_l1vsl1 (class in nnpiv.linear)
(class in sparse_l1_l1)
sparse_ridge_l2vsl2 (class in nnpiv.linear)
(class in sparse_l2_l2)
SubGradientVsHedge (class in nnpiv.linear)
T
tsls (class in nnpiv.tsls)
(class in tsls)
W
w1_ (nnpiv.linear.sparse2_ridge_quadratic_l1vsl1 attribute)
w2_ (nnpiv.linear.sparse2_ridge_quadratic_l1vsl1 attribute)
weighted_mean() (nnpiv.linear.sparse2_l1vsl1 method)
(nnpiv.linear.sparse2_l2vsl2 method)
(nnpiv.linear.sparse2_ridge_l1vsl1 method)
(nnpiv.linear.sparse2_ridge_l2vsl2 method)
(nnpiv.linear.sparse2_ridge_quadratic_l1vsl1 method)