Debiased machine learning of set-identified linear models
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Abstract: This paper provides estimation and inference methods for an identified set's boundary (i.e., support function) where the selection among a very large number of covariates is based on modern regularized tools. I characterize the boundary using a semiparametric moment equation. Combining Neyman-orthogonality and sample splitting ideas, I construct a root-N consistent, uniformly asymptotically Gaussian estimator of the boundary and propose a multiplier bootstrap procedure to conduct inference. I apply this result to the partially linear model, the partially linear IV model and the average partial derivative with an interval-valued outcome.
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Cited in
(6)- Scrutinizing XAI using linear ground-truth data with suppressor variables
- Debiased machine learning of global and local parameters using regularized Riesz representers
- Locally Robust Semiparametric Estimation
- Heterogeneous treatment effect bounds under sample selection with an application to the effects of social media on political polarization
- Generalized Lee bounds
- Statistical inference of optimal allocations. I: Regularities and their implications
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