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21 décembre 2018
- 1812.09397
Mots-clés
Economics - EconometricsSujets proches
Induction, Ampliative Ampliative induction Inference (Logic) Intervals, Confidence Limits, Confidence Confidence limits Regions, Confidence Confidence regions AlgorismCiter ce document
Harold D. Chiang, « Many Average Partial Effects: with An Application to Text Regression », arXiv - économie
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Résumé
We study estimation, pointwise and simultaneous inference, and confidence intervals for many average partial effects of lasso Logit. Focusing on high-dimensional, cluster-sampling environments, we propose a new average partial effect estimator and explore its asymptotic properties. Practical penalty choices compatible with our asymptotic theory are also provided. The proposed estimator allow for valid inference without requiring oracle property. We provide easy-to-implement algorithms for cluster-robust high-dimensional hypothesis testing and construction of simultaneously valid confidence intervals using a multiplier cluster bootstrap. We apply the proposed algorithms to the text regression model of Wu (2018) to examine the presence of gendered language on the internet.