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CRHDREG: Stata module to estimate high-dimensional regressions based on cluster-robust double/debiased machine learning

Author

Listed:
  • Harold D. Chiang

    (University of Wisconsin)

  • Kengo Kato

    (Cornell University)

  • Yukun Ma

    (Vanderbilt University)

  • Yuya Sasaki

    (Department of Economics, Vanderbilt University)

Programming Language

Stata

Abstract

crhdreg estimates high-dimensional regressions and high-dimensional IV regressions with one-way or two-way cluster-robust standard errors based on Chiang, Kato, Ma and Sasaki (JBES, 2022). The high-dimensional regression estimation is executed by the (multiway) cluster-robust double/debiased machine learning with the high-dimensional nuisance parameters estimated via the elastic net (LASSO by default).

Suggested Citation

  • Harold D. Chiang & Kengo Kato & Yukun Ma & Yuya Sasaki, 2022. "CRHDREG: Stata module to estimate high-dimensional regressions based on cluster-robust double/debiased machine learning," Statistical Software Components S459091, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459091
    Note: This module should be installed from within Stata by typing "ssc install crhdreg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/c/crhdreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/crhdreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/b/blp.dta
    File Function: sample data file
    Download Restriction: no
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