Hierarchical Gaussian Process Models for Regression Discontinuity/Kink under Sharp and Fuzzy Designs

• URL: http://arxiv.org/abs/2110.00921v1
• Date: Sun, 3 Oct 2021 04:23:56 GMT
• Title: Hierarchical Gaussian Process Models for Regression Discontinuity/Kink under Sharp and Fuzzy Designs
• Authors: Ximing Wu
• Abstract summary: We propose nonparametric Bayesian estimators for causal inference exploiting Regression Discontinuity/Kink (RD/RK) These estimators are extended to hierarchical GP models with an intermediate Bayesian neural network layer. Monte Carlo simulations show that our estimators perform similarly and often better than competing estimators in terms of precision, coverage and interval length.
• Score: 0.0
• License: http://creativecommons.org/licenses/by-nc-nd/4.0/
• Abstract: We propose nonparametric Bayesian estimators for causal inference exploiting Regression Discontinuity/Kink (RD/RK) under sharp and fuzzy designs. Our estimators are based on Gaussian Process (GP) regression and classification. The GP methods are powerful probabilistic modeling approaches that are advantageous in terms of derivative estimation and uncertainty qualification, facilitating RK estimation and inference of RD/RK models. These estimators are extended to hierarchical GP models with an intermediate Bayesian neural network layer and can be characterized as hybrid deep learning models. Monte Carlo simulations show that our estimators perform similarly and often better than competing estimators in terms of precision, coverage and interval length. The hierarchical GP models improve upon one-layer GP models substantially. An empirical application of the proposed estimators is provided.

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