2 citations · 3 across the 6 of their papers we have counts for
6 papers
Fixed-smoothing Uniform Inference for Quantile Regression
Kaicheng Chen, Antonio F. Galvao, Seunghwa Rho +2
This paper develops fixed-smoothing (fixed-b, fixed-K) inference methods for time-series quantile regression that are robust to heteroskedasticity and autocorrelation. Our approach…
Cross-Fitting-Free Debiased Machine Learning with Multiway Dependence
Kaicheng Chen, Harold D. Chiang
This paper develops an asymptotic theory for two-step debiased machine learning (DML) estimators in generalised method of moments (GMM) models with general multiway clustered depen…
Inference in High-Dimensional Panel Models: Two-Way Dependence and Unobserved Heterogeneity
Kaicheng Chen
Panel data allows for the modeling of unobserved heterogeneity, significantly raising the number of nuisance parameters and making high dimensionality a practical issue. Meanwhile,…
Endogenous Control Bias and Correction with Nonparametric Methods
Kaicheng Chen, Kyoo il Kim
Controls are often needed to make a treatment or instrument conditionally valid, yet they may be related to unobserved outcome determinants. We show that restricted parametric adju…
Fixed-b Asymptotics for Panel Models with Two-Way Clustering
Kaicheng Chen, Timothy J. Vogelsang
This paper studies a cluster robust variance estimator proposed by Chiang, Hansen and Sasaki (2024) for linear panels. First, we show algebraically that this variance estimator (CH…
Another Look at the Linear Probability Model and Nonlinear Index Models
Kaicheng Chen, Robert S. Martin, Jeffrey M. Wooldridge
We reassess the use of linear models to approximate response probabilities of binary outcomes, focusing on average partial effects (APE). We confirm that linear projection paramete…