Functional Generalized Empirical Likelihood Estimation for Conditional Moment Restrictions

Heiner Kremer · Jia-Jie Zhu · Krikamol Muandet · Bernhard Schölkopf

Hall E #614

Keywords: [ MISC: Kernel methods ] [ MISC: General Machine Learning Techniques ] [ APP: Everything Else ] [ MISC: Causality ]


Important problems in causal inference, economics, and, more generally, robust machine learning can be expressed as conditional moment restrictions, but estimation becomes challenging as it requires solving a continuum of unconditional moment restrictions. Previous works addressed this problem by extending the generalized method of moments (GMM) to continuum moment restrictions. In contrast, generalized empirical likelihood (GEL) provides a more general framework and has been shown to enjoy favorable small-sample properties compared to GMM-based estimators. To benefit from recent developments in machine learning, we provide a functional reformulation of GEL in which arbitrary models can be leveraged. Motivated by a dual formulation of the resulting infinite dimensional optimization problem, we devise a practical method and explore its asymptotic properties. Finally, we provide kernel- and neural network-based implementations of the estimator, which achieve state-of-the-art empirical performance on two conditional moment restriction problems.

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