Harold D. Chiang, Kengo Kato, Yukun Ma, Yuya Sasaki
arXiv 8 Sep 2019 · Econometrics · publishedJournal of Business and Economic Statistics (2021) · 64 citations (OpenAlex)
arXiv:1909.03489 · PDF · DOI · OpenAlex · Extracted main text
This paper investigates double/debiased machine learning (DML) under multiway clustered sampling environments. We propose a novel multiway cross fitting algorithm and a multiway DML estimator based on this algorithm. We also develop a multiway cluster robust standard error formula. Simulations indicate that the proposed procedure has favorable finite sample performance. Applying the proposed method to market share data for demand analysis, we obtain larger two-way cluster robust standard errors than non-robust ones.
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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 | Chernozhukov, V., D. Chetverikov, M. Demirer, E. Duflo, C. Hansen, W… (2018) Double/debiased machine learning for treatment and structural parameters | 0.941 | 24 | 9 | 83% |
| 2 | Menzel, K (2017) Bootstrap with Clustering in Two or More Dimensions, ArXiv:1703.03043 | 0.874 | 6 | 2 | 100% |
| 3 | Davezies, L., X. D'Haultfoeuille, and Y. Guyonvarch (2018) Asymptotic Results under Multiway Clustering, ArXiv:1807.07925 | 0.794 | 6 | 5 | 50% |
| 4 | Chiang, H. and Y. Sasaki (2019) Lasso under Multi-way Clustering: Estimation and Post-selection Inference, ArXiv:1905.02107 self | 0.737 | 4 | 3 | 50% |
| 5 | Berry, S. T (1994) Estimating discrete-choice models of product differentiation | 0.644 | 2 | 2 | 100% |
| 6 | Lu, Z., X. Shi, and J. Tao (2019) Semi-Nonparametric Estimation of Random Coefficient Logit Model for Aggregate Demand, Working Paper | 0.644 | 2 | 2 | 100% |
| 7 | Cameron, C. A., J. B. Gelbach, and D. L. Miller (2011) Robust Inference With Multiway Clustering | 0.585 | 3 | 1 | 100% |
| 8 | Kallenberg, O (2006) Probabilistic symmetries and invariance principles | 0.511 | 2 | 2 | 50% |
| 9 | Okui, R., D. S. Small, Z. Tan, and J. M. Robins (2012) Doubly robust instrumental variable regression | 0.511 | 2 | 1 | 100% |
| 10 | Ai, C. and X. Chen (2003) Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 33 scored citations.
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