arXiv 6 May 2019 · Econometrics · 3 citations (OpenAlex)
arXiv:1905.02107 · PDF · DOI · OpenAlex · Extracted main text
This paper studies high-dimensional regression models with lasso when data is sampled under multi-way clustering. First, we establish convergence rates for the lasso and post-lasso estimators. Second, we propose a novel inference method based on a post-double-selection procedure and show its asymptotic validity. Our procedure can be easily implemented with existing statistical packages. Simulation results demonstrate that the proposed procedure works well in finite sample. We illustrate the proposed method with a couple of empirical applications to development and growth economics.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Belloni, Alexandre, Victor Chernozhukov, and Christian Hansen. “Infe… (2014) Inference on treatment effects after selection among high-dimensional controls | 0.920 | 9 | 5 | 78% |
| 2 | Davezies, Laurent, Xavier D'Haultfoeuille, and Yannick Guyonvarch. “… (2018) Asymptotic results under multiway clustering | 0.874 | 9 | 3 | 67% |
| 3 | Michalopoulos, Stelios and Elias Papaioannou. “Pre‐Colonial Ethnic I… (2013) Pre‐Colonial Ethnic Institutions and Contemporary African Development | 0.836 | 8 | 2 | 88% |
| 4 | Nunn, Nathan and Leonard Wantchekon. “The slave trade and the origin… (2011) The slave trade and the origins of mistrust in Africa | 0.836 | 8 | 2 | 88% |
| 5 | Menzel, Konrad. “Bootstrap with clustering in two or more dimensions… (2017) Bootstrap with clustering in two or more dimensions | 0.811 | 4 | 2 | 100% |
| 6 | Belloni, Alexandre, Daniel Chen, Victor Chernozhukov, and Christian… (2012) Sparse models and methods for optimal instruments with an application to eminent domain | 0.794 | 8 | 4 | 50% |
| 7 | Cameron, Colin A., Jonah B. Gelbach, and Douglas L. Miller. “Robust… (2011) Robust inference with multiway clustering | 0.737 | 3 | 2 | 100% |
| 8 | MacKinnon, James G., Morten rregaard Nielsen, and Matthew D. Webb. “… (2019) Wild Bootstrap and Asymptotic Inference with Multiway Clustering | 0.644 | 2 | 2 | 100% |
| 9 | Kallenberg, Olav. Probabilistic symmetries and invariance principles… (2005) | 0.644 | 2 | 2 | 100% |
| 10 | van de Geer, Sara, Peter Bühlmann, Ya'acov Ritov, and Ruben Dezeure.… (2014) On asymptotically optimal confidence regions and tests for high-dimensional models | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 28 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | High-Dimensional Granger Causality Tests with an Application to VIX and News | 0.405 | 1 | 1 |
| 2 | Estimation and Inference for Causal Functions with Multiway Clustered Data | 0.000 | 1 | 1 |