5 papers · 1 filter
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,…
Identification of Average Responses with Endogenous Controls
Kaicheng Chen, Kyoo il Kim
Control variables are routinely treated as exogenous, yet in many empirical settings they are themselves endogenous. This creates a dilemma: omitting controls may leave the treatme…
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…