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We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...
Persistent link: https://www.econbiz.de/10009548244
In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment,...
Persistent link: https://www.econbiz.de/10011337681
We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...
Persistent link: https://www.econbiz.de/10009747934
Persistent link: https://www.econbiz.de/10009689519
This article is about estimation and inference methods for high dimensional sparse (HDS) regression models in econometrics. High dimensional sparse models arise in situations where many regressors (or series terms) are available and the regression function is well-approximated by a parsimonious,...
Persistent link: https://www.econbiz.de/10009419335
We propose methods for inference on the average effect of a treatment on a scalar outcome in the presence of very many controls. Our setting is a partially linear regression model containing the treatment/policy variable and a large number p of controls or series terms, with p that is possibly...
Persistent link: https://www.econbiz.de/10009419338
In the first part of the paper, we consider estimation and inference on policy relevant treatment effects, such as local average and local quantile treatment effects, in a data-rich environment where there may be many more control variables available than there are observations. In addition to...
Persistent link: https://www.econbiz.de/10010227452
Persistent link: https://www.econbiz.de/10010247741
We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size. To make informative estimation and inference feasible,...
Persistent link: https://www.econbiz.de/10010459263
Persistent link: https://www.econbiz.de/10010481342