Distributional robustness of K-class estimators and the PULSE
Published in The Econometrics Journal, 2022
We show that the well-known K-class estimators possess interesting distributional robustness properties for out-of-distribution prediction. We propose a novel linear causal effect estimator (PULSE) motivated as the best predictive method among all methods that can not be rejected as being causal.
Recommended citation: Martin Emil Jakobsen and Jonas Peters (2022). "Distributional robustness of K-class estimators and the PULSE" The Econometrics Journal, 25(2), 404-432 https://doi.org/10.1093/ectj/utab031