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We propose a method for average partial effect estimation in high-dimensional single-index models that is root-n-consistent and asymptotically unbiased given sparsity assumptions on the underlying regression model.
Semiparametric estimation of index coefficients
James L Powell, James H Stock, and Thomas M Stoker · 1989
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Statistical estimation and optimal recovery
David L Donoho · 1994
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Semiparametric efficiency in multivariate regression models with missing data
James Robins and Andrea Rotnitzky · 1995
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Some applications of concentration inequalities to statistics
Pascal Massart · 2000
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Rademacher and Gaussian complexities: Risk bounds and structural results
Peter L Bartlett and Shahar Mendelson · 2002
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Regularization paths for generalized linear models via coordinate descent
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Econometric analysis of cross section and panel data
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Inference on treatment effects after selection among high-dimensional controls
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Cun-Hui Zhang and Stephanie S Zhang · 2014
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Alexandre Belloni, Victor Chernozhukov, Ivan Fernández-Val, and Christian Hansen · 2017
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Anqi Fu, Balasubramanian Narasimhan, Steven Diamond, and John Miller · 2017
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Optimal inference in a class of regression models
Timothy B Armstrong and Michal Kolesár · 2018
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Approximate residual balancing: De-biased inference of average treatment effects in high dimensions
Susan Athey, Guido W Imbens, and Stefan Wager · 2018
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Augmented minimax linear estimation
David A Hirshberg and Stefan Wager · 2018
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Inference in approximately sparse correlated random effects probit models
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Statistical Learning with Sparsity: The Lasso and Generalizations
Trevor Hastie, Robert Tibshirani, and Martin Wainwright · 2015
Cited alongside, same era.
Locally robust semiparametric estimation
Victor Chernozhukov, Juan Carlos Escanciano, Hidehiko Ichimura, and Whitney K Newey · 2016
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Double/debiased machine learning for treatment and structural parameters
Victor Chernozhukov, Denis Chetverikov, Mert Demirer, Esther Duflo, Christian Hansen, Whitney Newey, and James Robins
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Double/de-biased machine learning using regularized Riesz representers
Victor Chernozhukov, Whitney Newey, and James Robins
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Jeff Wooldridge and Ying Zhu · 2018
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