Multiway Cluster Robust Double/Debiased Machine Learning

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 indic...

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Bibliographic Details
Main Authors: Harold D. Chiang, Kengo Kato, Yukun Ma, Yuya Sasaki
Format: Report
Language:unknown
Subjects:
DML
Online Access:http://arxiv.org/pdf/1909.03489
id ftrepec:oai:RePEc:arx:papers:1909.03489
record_format openpolar
spelling ftrepec:oai:RePEc:arx:papers:1909.03489 2024-04-14T08:10:54+00:00 Multiway Cluster Robust Double/Debiased Machine Learning Harold D. Chiang Kengo Kato Yukun Ma Yuya Sasaki http://arxiv.org/pdf/1909.03489 unknown http://arxiv.org/pdf/1909.03489 preprint ftrepec 2024-03-19T10:27:09Z 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. Report DML RePEc (Research Papers in Economics)
institution Open Polar
collection RePEc (Research Papers in Economics)
op_collection_id ftrepec
language unknown
description 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.
format Report
author Harold D. Chiang
Kengo Kato
Yukun Ma
Yuya Sasaki
spellingShingle Harold D. Chiang
Kengo Kato
Yukun Ma
Yuya Sasaki
Multiway Cluster Robust Double/Debiased Machine Learning
author_facet Harold D. Chiang
Kengo Kato
Yukun Ma
Yuya Sasaki
author_sort Harold D. Chiang
title Multiway Cluster Robust Double/Debiased Machine Learning
title_short Multiway Cluster Robust Double/Debiased Machine Learning
title_full Multiway Cluster Robust Double/Debiased Machine Learning
title_fullStr Multiway Cluster Robust Double/Debiased Machine Learning
title_full_unstemmed Multiway Cluster Robust Double/Debiased Machine Learning
title_sort multiway cluster robust double/debiased machine learning
url http://arxiv.org/pdf/1909.03489
genre DML
genre_facet DML
op_relation http://arxiv.org/pdf/1909.03489
_version_ 1796308569580109824

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