arXiv 18 Jul 2022 · Econometrics · 2 citations (OpenAlex)
arXiv:2207.08789 · PDF · DOI · OpenAlex · Extracted main text
Economists often estimate continuous treatment effects in panel data using linear two-way fixed effects models (TWFE). When the treatment-outcome relationship is nonlinear, TWFE is misspecifed and potentially biased for the average partial derivative (APD). We develop an automatic double/de-biased machine learning (ADML) estimator that is consistent for the population APD while allowing additive unit fixed effects, nonlinearities, and high dimensional heterogeneity. We prove asymptotic normality and add two refinements - optimization based de-biasing and analytic derivatives - that reduce bias and remove numerical approximation error. Simulations show that the proposed method outperforms high order polynomial OLS and standard ML estimators. Our estimator leads to significantly larger (by 50%), but equally precise, estimates of the effect of extreme heat on corn yield compared to standard linear models.
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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 | Burke, Marshall, Emerick, Kyle (2016) Adaptation to climate change: Evidence from US agriculture | 0.874 | 16 | 2 | 100% |
| 2 | Chernozhukov, Victor, Newey, Whitney, Singh, Rahul (2022) Automatic debiased machine learning of causal and structural effects | 0.851 | 13 | 5 | 62% |
| 3 | Semenova, Vira, Goldman, Matt, Chernozhukov, Victor, Taddy, Matt (2023) Inference on heterogeneous treatment effects in high-dimensional dynamic panels under weak dependence | 0.811 | 4 | 2 | 100% |
| 4 | Wooldridge, Jeffrey M (2021) Two-way fixed effects, the two-way mundlak regression, and difference-in-differences estimators | 0.811 | 4 | 2 | 100% |
| 5 | Schlenker, Wolfram, Roberts, Michael J (2009) Nonlinear temperature effects indicate severe damages to U.S. crop yields under climate change. | 0.644 | 2 | 2 | 100% |
| 6 | Belloni, Alexandre, Chernozhukov, Victor, Hansen, Christian, Kozbur,… (2016) Inference in high-dimensional panel models with an application to gun control | 0.644 | 2 | 2 | 100% |
| 7 | Hastie, Trevor, Tibshirani, Robert, Friedman, Jerome H, Friedman, Je… (2009) The elements of statistical learning: data mining, inference, and prediction | 0.644 | 2 | 2 | 100% |
| 8 | Hoderlein, Stefan, White, Halbert (2012) Nonparametric identification in nonseparable panel data models with generalized fixed effects | 0.585 | 3 | 1 | 100% |
| 9 | Klosin, Sylvia (2021) Automatic Double Machine Learning for Continuous Treatment Effects self | 0.511 | 3 | 2 | 33% |
| 10 | Chartrand, Rick (2017) Numerical differentiation of noisy, nonsmooth, multidimensional data | 0.511 | 2 | 2 | 50% |
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