arXiv 5 Mar 2023 · Econometrics · 1 citations (OpenAlex)
arXiv:2303.02784 · PDF · DOI · OpenAlex · Extracted main text
This paper develops estimation and inference methods for censored quantile regression models with high-dimensional controls. The methods are based on the application of double/debiased machine learning (DML) framework to the censored quantile regression estimator of Buchinsky and Hahn (1998). I provide valid inference for low-dimensional parameters of interest in the presence of high-dimensional nuisance parameters when implementing machine learning estimators. The proposed estimator is shown to be consistent and asymptotically normal. The performance of the estimator with high-dimensional controls is illustrated with numerical simulation and an empirical application that examines the effect of 401(k) eligibility on savings.
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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 | Buchinsky, M. and J. Hahn (1998) An alternative estimator for the censored quantile regression model | 1.000 | 15 | 6 | 100% |
| 2 | Belloni, A., V. Chernozhukov, I. Fernández-Val, and C. Hansen (2017) Program evaluation and causal inference with high-dimensional data | 1.000 | 5 | 3 | 100% |
| 3 | Belloni, A., V. Chernozhukov, and K. Kato (2019) Valid post-selection inference in high-dimensional approximately sparse quantile regression models | 1.000 | 5 | 3 | 100% |
| 4 | Chernozhukov, V., D. Chetverikov, M. Demirer, E. Duflo, C. Hansen, W… (2018) Double/debiased machine learning for treatment and structural parameters | 0.874 | 5 | 2 | 100% |
| 5 | Belloni, A. and V. Chernozhukov (2011) l1-penalized quantile regression in high-dimensional sparse models | 0.737 | 3 | 2 | 100% |
| 6 | Chernozhukov, V. and H. Hong (2002) Three-step censored quantile regression and extramarital affairs | 0.511 | 2 | 1 | 100% |
| 7 | Chernozhukov, V. and C. Hansen (2004) The effects of 401 (k) participation on the wealth distribution: an instrumental quantile regression analysis | 0.511 | 2 | 1 | 100% |
| 8 | Chernozhukov, V., D. Chetverikov, M. Demirer, E. Duflo, C. Hansen, a… (2017) a): Double/debiased/neyman machine learning of treatment effects | 0.511 | 2 | 1 | 100% |
| 9 | Fei, Z., Q. Zheng, H. G. Hong, and Y. Li (2021) Inference for High-Dimensional Censored Quantile Regression | 0.511 | 2 | 1 | 100% |
| 10 | Koenker, R (2008) Censored quantile regression redux | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 34 scored citations.