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Preprint Oct 2026

Cointegrated Regressors: Where Folded Concave Penalties Go Beyond LASSO

LASSO is one of the most popular regularization methods for high-dimensional regression models. While cointegration is common in practical applications of predictive regressions with many regressors, the convex penalty of LASSO overly suppresses the coefficients of cointegrated regressors and therefore fails to deliver...

Hong-Qiao Chen, Cheng-Wang Liao, Zi-Wei Mei et al. · 0 citations
Preprint Jul 2026

Identification and Robust Inference for Multiple Treatments with Possibly Invalid Instruments

The instrumental variable (IV) method is widely used to infer causal effects in observational studies with unmeasured confounding, but invalid instruments can compromise both population identification and finite-sample inference. This paper studies linear IV models with multiple endogenous treatments and possibly inval...

Ziwei Mei, Qingliang Fan, Zijian Guo · 0 citations
Preprint Jul 2026

Identification and Robust Inference for Multiple Treatment Effects with Possibly Invalid Instruments

The instrumental variable (IV) method is widely used to infer causal effects in observational studies with unmeasured confounding, but invalid instruments can compromise both population identification and finite-sample inference. This paper studies linear IV models with multiple endogenous treatments and possibly inval...

Ziwei Mei, Qingliang Fan, Zijian Guo · 0 citations

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