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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Online Access: | http://arxiv.org/pdf/1909.03489 |
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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) |
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Open Polar |
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RePEc (Research Papers in Economics) |
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ftrepec |
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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 |
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DML |
op_relation |
http://arxiv.org/pdf/1909.03489 |
_version_ |
1796308569580109824 |