arXiv 27 Dec 2018 · General Economics
arXiv:1812.10846 · PDF · DOI · OpenAlex · Extracted main text
This paper discusses difference-in-differences (DID) estimation when there exist many control variables, potentially more than the sample size. In this case, traditional estimation methods, which require a limited number of variables, do not work. One may consider using statistical or machine learning (ML) methods. However, by the well-known theory of inference of ML methods proposed in Chernozhukov et al. (2018), directly applying ML methods to the conventional semiparametric DID estimators will cause significant bias and make these DID estimators fail to be sqrt{N}-consistent. This article proposes three new DID estimators for three different data structures, which are able to shrink the bias and achieve sqrt{N}-consistency and asymptotic normality with mean zero when applying ML methods. This leads to straightforward inferential procedures. In addition, I show that these new estimators have the small bias property (SBP), meaning that their bias will converge to zero faster than the pointwise bias of the nonparametric estimator on which it is based.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | abadie2005semiparametric APACrefauthors Abadie, A. APACrefauthors \ (2005) 2005 | 1.000 | 20 | 5 | 100% |
| 2 | chernozhukov2018double APACrefauthors Chernozhukov, V. , Chetverikov… (2018) 2018 | 1.000 | 15 | 5 | 100% |
| 3 | belloni2012sparse APACrefauthors Belloni, A. , Chen, D. , Chernozhuk… (2012) 2012 | 1.000 | 5 | 3 | 100% |
| 4 | newey1994large APACrefauthors Newey, W K. \ McFadden, D. APACrefauth… (1994) 1994 | 1.000 | 5 | 3 | 100% |
| 5 | sequeira2016corruption APACrefauthors Sequeira, S. APACrefauthors \ (2016) 2016 | 0.874 | 13 | 2 | 100% |
| 6 | newey2004twicing APACrefauthors Newey, W K. , Hsieh, F. \ Robins, J… (2004) 2004 | 0.737 | 3 | 2 | 100% |
| 7 | newey1998undersmoothing APACrefauthors Newey, W K. , Hsieh, F. \ Rob… (1998) 1998 | 0.644 | 2 | 2 | 100% |
| 8 | van2008high APACrefauthors Van de Geer, S. APACrefauthors \ (2008) 2008 | 0.644 | 2 | 2 | 100% |
| 9 | chernozhukov2016locally APACrefauthors Chernozhukov, V. , Escanciano… 2016 | 0.511 | 2 | 1 | 100% |
| 10 | Belloni14restud APACrefauthors Belloni, A. , Chernozhukov, V. \ Hans… (2014) 2014 | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 25 scored citations.