Inverse probability weighted estimation for general missing data problems

I study inverse probability weighted M-estimation under a general missing data scheme. The cases covered that do not previously appear in the literature include M-estimation with missing data due to a censored survival time, propensity score estimation of the average treatment effect for linear exponential family quasi-log-likelihood functions, and variable probability sampling with observed retainment frequencies. I extend an important result known to hold in special cases: estimating the selection probabilities is generally more efficient than if the known selection probabilities could be used in estimation. For the treatment effect case, the setup allows for a simple characterization of a “double robustness” result due to Scharfstein, Rotnitzky, and Robins (1999): given appropriate choices for the conditional mean function and quasi-log-likelihood function, only one of the conditional mean or selection probability needs to be correctly specified in order to consistently estimate the average treatment effect.

Estimating average partial effects under conditional moment independence assumptions

I show how to identify and estimate the average partial effect of explanatory variables in a model where unobserved heterogeneity interacts with the explanatory variables and may be unconditionally correlated with the explanatory variables. To identify the populationaveraged effects, I use extensions of ignorability assumptions that are used for estimating linear models with additive heterogeneity and for estimating average treatment effects. New stimators are obtained for estimating the unconditional average partial effect as well as the average partial effect conditional on functions of observed covariates.

A comparative study of game theoretic and evolutionary models for software agents

Most of the existing work in the study of bargaining behaviour uses techniques from game theory. Game theoretic models for bargaining assume that players are perfectly rational and that this rationality in common knowledge. However, the perfect rationality assumption does not hold for real-life bargaining scenarios with humans as players, since results from experimental economics show that humans find their way to the best strategy through trial and error, and not typically by means of rational deliberation. Such players are said to be boundedly rational. In playing a game against an opponent with bounded rationality, the most effective strategy of a player is not the equilibrium strategy but the one that is the best reply to the opponent's strategy. The evolutionary model provides a means for studying the bargaining behaviour of boundedly rational players. This paper provides a comprehensive comparison of the game theoretic and evolutionary approaches to bargaining by examining their assumptions, goals, and limitations. We then study the implications of these differences from the perspective of the software agent developer

Pitfalls of Agent-Oriented Development

While the theoretical and experimental foundations of agent-based systems are becoming increasingly well understood, comparatively little effort has been devoted to understanding the pragmatics of (multi-) agent systems development - the everyday reality of carrying out an agent-based development project. As a result, agent system developers are needlessly repeating the same mistakes, with the result that, at best, resources are wasted - at worst, projects fail. This paper identifies the main pitfalls that await the agent system developer, and where possible, makes tentative recommendations for how these pitfalls can be avoided or rectified

An anytime approximation method for the inverse Shapley value problem

Coalition formation is the process of bringing together two or more agents so as to achieve goals that individuals on their own cannot, or to achieve them more efficiently. Typically, in such situations, the agents have conflicting preferences over the set of possible joint goals. Thus, before the agents realize the benefits of cooperation, they must find a way of resolving these conflicts and reaching a consensus. In this context, cooperative game theory offers the voting game as a mechanism for agents to reach a consensus. It also offers the Shapley value as a way of measuring the influence or power a player has in determining the outcome of a voting game. Given this, the designer of a voting game wants to construct a game such that a players Shapley value is equal to some desired value. This is called the inverse Shapley value problem. Solving this problem is necessary, for instance, to ensure fairness in the players voting powers. However, from a computational perspective, finding a players Shapley value for a given game is #p-complete. Consequently, the problem of verifying that a voting game does indeed yield the required powers to the agents is also #P-complete. Therefore, in order to overcome this problem we present a computationally efficient approximation algorithm for solving the inverse problem. This method is based on the technique of successive approximations; it starts with some initial approximate solution and iteratively updates it such that after each iteration, the approximate gets closer to the required solution. This is an anytime algorithm and has time complexity polynomial in the number of players. We also analyze the performance of this method in terms of its approximation error and the rate of convergence of an initial solution to the required one. Specifically, we show that the former decreases after each iteration, and that the latter increases with the number of players and also with the initial approximation error. Copyright © 2008, International Foundation for Autonomous Agents and Multiagent Systems (www.ifaarnas.org). All rights reserved

On the robustness of fixed effects and related estimators in correlated random coefficient panel data models.

I show that a class of fixed effects estimators is reasonably robust for estimating the population-averaged slope coefficients in panel data models with individual-specific slopes, where the slopes are allowed to be correlated with the covariates. In addition to including the usual fixed effects estimator, the results apply to estimators that eliminate individual-specific trends. Further, asymptotic variance matrices are straightforward to estimate. I apply the results, and propose alternative estimators, to estimation of average treatment in a general class of unobserved effects models.

Recent Developments in the Econometrics of Program Evaluation

Many empirical questions in economics and other social sciences depend on causal effects of programs or policies. In the last two decades much research has been done on the econometric and statistical analysis of the effects of such programs or treatments. This recent theoretical literature has built on, and combined features of, earlier work in both the statistics and econometrics literatures. It has by now reached a level of maturity that makes it an important tool in many areas of empirical research in economics, including labor economics, public finance, development economics, industrial organization and other areas of empirical micro-economics. In this review we discuss some of the recent developments. We focus primarily on practical issues for empirical researchers, as well as provide a historical overview of the area and give references to more technical research.program evaluation, causality, unconfoundedness, Rubin Causal Model, potential outcomes, instrumental variables

On the Identification of Agents in the Design of Production Control Systems

This paper describes a methodology that is being developed for designing and building agent-based systems for the domain of production control. In particular, this paper deals with the steps that are involved in identifying the agents and in specifying their responsibilities. The methodology aims to be usable by engineers who have a background in production control but who have no prior experience in agent technology. For this reason, the methodology needs to be very prescriptive with respect to the agent-related aspects of design

Software Agents

being used, and touted, for applications as diverse as personalised information management, electronic commerce, interface design, computer games, and management of complex commercial and industrial processes. Despite this proliferation, there is, as yet, no commonly agreed upon definition of exactly what an agent is — Smith et al. (1994) define it as “a persistent software entity dedicated to a specific purpose”; Selker (1994) takes agents to be “computer programs that simulate a human relationship by doing something that another person could do for you”; and Janca (1995) defines an agent as “a software entity to which tasks can be delegated”. To capture this variety, a relatively loose notion of an agent as a self-contained program capable of controlling its own decision making and acting, based on its perception of its environment, in pursuit of one or more objectives will be used here. Within the extant applications, three distinct classes of agent can be identified. At the simplest level, there are “gopher ” agents, which execute straightforward tasks based on pre-specified rules and assumptions (eg inform me when the share price deviates by 10 % from its mean position or tell me when I need to reorder stock items). The next level of sophistication involves “service performing” agents, which execute a well defined task at the request of a user (eg find me the cheapest flight to Paris or arrange a meeting with the managing director some day next week). Finally, there are “predictive ” agents, which volunteer information or services to a user, without being explicitly asked, whenever it is deemed appropriate (eg an agent may monitor newsgroups on the INTERNET and return discussions that it believes to be of interest to the user or a holiday agent may inform its user that a travel firm is offering large discounts on holidays to South Africa knowing that the user is interested in safaris). Common to all these classes are the following key hallmarks of agenthoo