33 citations · 124 across the 37 of their papers we have counts for
4 papers · 1 filter
Multiway Cluster Robust Double/Debiased Machine Learning
Harold D. Chiang, Kengo Kato, Yukun Ma +1
This paper investigates double/debiased machine learning (DML) under multiway clustered sampling environments. We propose a novel multiway cross fitting algorithm and a multiway DM…
Fixed-k Inference for Conditional Extremal Quantiles
Yuya Sasaki, Yulong Wang
We develop a new extreme value theory for repeated cross-sectional and panel data to construct asymptotically valid confidence intervals (CIs) for conditional extremal quantiles fr…
Lasso under Multi-way Clustering: Estimation and Post-selection Inference
Harold D. Chiang, Yuya Sasaki
This paper studies high-dimensional regression models with lasso when data is sampled under multi-way clustering. First, we establish convergence rates for the lasso and post-lasso…
Post-Selection Inference in Three-Dimensional Panel Data
Harold D. Chiang, Joel Rodrigue, Yuya Sasaki
Three-dimensional panel models are widely used in empirical analysis. Researchers use various combinations of fixed effects for three-dimensional panels. When one imposes a parsimo…