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Wednesday, March 18, 2020
4:00 PM - 5:00 PM
Baxter B125

▶︎ CANCELED: Ulric B. and Evelyn L. Bray Social Sciences Seminar

This seminar has been canceled.
Yuya Sasaki, Associate Professor of Economics, Vanderbilt University,

Title: Multiway Cluster Robust Double/Debiased Machine Learning

Abstract: This paper investigates double/debiased machine learning (DML) under multiway clustered sampling environments. We propose a novel multiway cross fitting algorithm and a multiway DML estimator based on this algorithm. We also develop a multiway cluster robust standard error formula. Simulations indicate that the proposed procedure has favorable finite sample performance. Applying the proposed method to market share data for demand analysis, we obtain larger two-way cluster robust standard errors than non-robust ones.

For more information, please contact Letty Diaz by phone at 626-395-1255 or by email at letty.diaz@caltech.edu.