University of Chicago Booth School of Business
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Chicago, IL 60637
Information about this author at RePEc
NBER Working Papers and Publications
|June 2017||Double/Debiased Machine Learning for Treatment and Structural Parameters|
with Victor Chernozhukov, Denis Chetverikov, Mert Demirer, Esther Duflo, Whitney Newey, James Robins: w23564
We revisit the classic semiparametric problem of inference on a low dimensional parameter θ_0 in the presence of high-dimensional nuisance parameters η_0. We depart from the classical setting by allowing for η_0 to be so high-dimensional that the traditional assumptions, such as Donsker properties, that limit complexity of the parameter space for this object break down. To estimate η_0, we consider the use of statistical or machine learning (ML) methods which are particularly well-suited to estimation in modern, very high-dimensional cases. ML methods perform well by employing regularization to reduce variance and trading off regularization bias with overfitting in practice. However, both regularization bias and overfitting in estimating η_0 cause a heavy bias in estimators of θ_0 that are...
Published: Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2018. "Double/debiased machine learning for treatment and structural parameters," The Econometrics Journal, vol 21(1), pages C1-C68.