Harold D. Chiang, Jiatong Li, Yuya Sasaki
arXiv 28 Feb 2021 · Econometrics · publishedEconometric Theory (2023) · 1 citations (OpenAlex)
arXiv:2103.00557 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a novel method of algorithmic subsampling (data sketching) for multiway cluster dependent data. We establish a new uniform weak law of large numbers and a new central limit theorem for the multiway algorithmic subsample means. Consequently, we discover an additional advantage of the algorithmic subsampling that it allows for robustness against potential degeneracy, and even non-Gaussian degeneracy, of the asymptotic distribution under multiway clustering. Simulation studies support this novel result, and demonstrate that inference with the algorithmic subsampling entails more accuracy than that without the algorithmic subsampling. Applying these basic asymptotic theories, we derive the consistency and the asymptotic normality for the multiway algorithmic subsampling generalized method of moments estimator and for the multiway algorithmic subsampling M-estimator. We illustrate an application to scanner data.
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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 | Menzel, K (2021) Bootstrap with cluster-dependence in two or more dimensions | 1.000 | 7 | 3 | 100% |
| 2 | MacKinnon, J. G., M. . Nielsen, and M. D. Webb (2021) Wild bootstrap and asymptotic inference with multiway clustering | 1.000 | 6 | 3 | 100% |
| 3 | Cameron, A. C., J. B. Gelbach, and D. L. Miller (2011) Robust inference with multiway clustering | 1.000 | 5 | 3 | 100% |
| 4 | Lee, S. and S. Ng (2020) b): Sketching for two-stage least squares estimation | 0.928 | 5 | 3 | 80% |
| 5 | Lee, S. and S. Ng (2020) a): An econometric perspective on algorithmic subsampling | 0.899 | 11 | 3 | 73% |
| 6 | Newey, W. K. and D. McFadden (1994) Handbook of Econometrics, Volume IV, ed. Engle, Robert F and McFadden, Daniel L | 0.773 | 13 | 4 | 46% |
| 7 | Janson, S (1984) The asymptotic distributions of incomplete U-statistics | 0.659 | 7 | 4 | 29% |
| 8 | Davezies, L., X. D'Haultfoeuille, and Y. Guyonvarch (2020) Empirical process results for exchangeable arrays | 0.644 | 5 | 2 | 40% |
| 9 | van der Vaart, A. W. and J. A. Wellner (1996) Weak Convergence and Empirical Processes | 0.511 | 2 | 2 | 50% |
| 10 | Chiang, H. D., K. Kato, and Y. Sasaki (2021) Inference for high-dimensional exchangeable arrays self | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 22 scored citations.