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Ulric B. and Evelyn L. Bray Social Sciences Seminar

Monday, October 5, 2020
12:00pm to 1:00pm
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Online Event
Multiway Cluster Robust Double/Debiased Machine Learning
Yuya Sasaki, Associate Professor of Economics, Vanderbilt University,

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.

Written with Harold D. Chiang, Kengo Kato, and Yukun Ma.

For more information, or if you are interested in attending this online seminar, please contact Letty Diaz by phone at 626-395-1255 or by email at letty.diaz@caltech.edu.