Double machine learning with gradient boosting and its application to the Big N audit quality effect

DOI10.1016/J.JECONOM.2020.01.018MaRDI QIDQ2305992zbMATH OpenOpenAlexFDO

Authors Jui-Chung Yang, Hui-Ching Chuang, Chung-Ming Kuan

Publication date 20 March 2020

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.01.018

zbMATH Keywords

double machine learninggradient boostingaverage treatment effectaudit qualityBig \(N\) effectperformance-matched discretionary accruals

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to economics (62P20) Statistical aspects of big data and data science (62R07) Ridge regression; shrinkage estimators (Lasso) (62J07)

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• Inference on treatment effects after selection among high-dimensional controls
• Intervention Analysis with Applications to Economic and Environmental Problems
• Least angle regression. (With discussion)
• Least squares after model selection in high-dimensional sparse models
• Mostly harmless econometrics. An empiricist's companion.
• On the Bayes-risk consistency of regularized boosting methods.
• On the conditions used to prove oracle results for the Lasso
• Program evaluation and causal inference with high-dimensional data
• Random forests
• Simple least squares estimator for treatment effects using propensity score residuals

Cited in

(2)

• 2-step gradient boosting approach to selectivity bias correction in tax audit: an application to the VAT gap in Italy
• Designing efficient randomized trials: power and sample size calculation when using semiparametric efficient estimators

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