Yang Ning, Sida Peng, Jing Tao
arXiv 7 Sep 2020 · Econometrics · 3 citations (OpenAlex)
arXiv:2009.03151 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a doubly robust two-stage semiparametric difference-in-difference estimator for estimating heterogeneous treatment effects with high-dimensional data. Our new estimator is robust to model miss-specifications and allows for, but does not require, many more regressors than observations. The first stage allows a general set of machine learning methods to be used to estimate the propensity score. In the second stage, we derive the rates of convergence for both the parametric parameter and the unknown function under a partially linear specification for the outcome equation. We also provide bias correction procedures to allow for valid inference for the heterogeneous treatment effects. We evaluate the finite sample performance with extensive simulation studies. Additionally, a real data analysis on the effect of Fair Minimum Wage Act on the unemployment rate is performed as an illustration of our method. An R package for implementing the proposed method is available on Github.
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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 | barticle[author] Abadie, AlbertoA (2005) ) | 1.000 | 14 | 4 | 100% |
| 2 | barticle[author] Callaway, BrantlyB. Li, TongT (2020) ) | 0.874 | 5 | 2 | 100% |
| 3 | barticle[author] Chernozhukov, VictorV., Chetverikov, DenisD., Demir… (2018) b) | 0.737 | 3 | 2 | 100% |
| 4 | barticle[author] Sant'Anna, PedroP. Zhao, JunJ (2020) ) | 0.737 | 3 | 2 | 100% |
| 5 | barticle[author] Belloni, AlexandreA., Chernozhukov, VictorV., Chetv… (2015) ) | 0.721 | 8 | 3 | 38% |
| 6 | barticle[author] Robinson, Peter MP. M (1988) ) | 0.644 | 2 | 2 | 100% |
| 7 | barticle[author] Belloni, A.A., Chernozhukov, V.V., Fernández‐Val, I… (2017) ) | 0.585 | 3 | 1 | 100% |
| 8 | bbook[author] Bühlmann, PeterP. van de Geer, SaraS (2011) ) | 0.511 | 5 | 2 | 20% |
| 9 | barticle[author] Chen, XiaohongX. Christensen, Timothy MT. M (2015) ) | 0.511 | 2 | 2 | 50% |
| 10 | barticle[author] Newey, WhitneyW (1997) ) | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 59 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Debiased Machine Learning of Set-Identified Linear Models | 0.405 | 1 | 1 |
| 2 | Generalized Lee Bounds | 0.405 | 1 | 1 |
| 3 | Learning bounds for doubly-robust covariate shift adaptation | 0.405 | 1 | 1 |