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Regularized Orthogonal Machine Learning for Nonlinear Semiparametric Models

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  • Denis Nekipelov
  • Vira Semenova
  • Vasilis Syrgkanis

Abstract

This paper proposes a Lasso-type estimator for a high-dimensional sparse parameter identified by a single index conditional moment restriction (CMR). In addition to this parameter, the moment function can also depend on a nuisance function, such as the propensity score or the conditional choice probability, which we estimate by modern machine learning tools. We first adjust the moment function so that the gradient of the future loss function is insensitive (formally, Neyman-orthogonal) with respect to the first-stage regularization bias, preserving the single index property. We then take the loss function to be an indefinite integral of the adjusted moment function with respect to the single index. The proposed Lasso estimator converges at the oracle rate, where the oracle knows the nuisance function and solves only the parametric problem. We demonstrate our method by estimating the short-term heterogeneous impact of Connecticut's Jobs First welfare reform experiment on women's welfare participation decision.

Suggested Citation

  • Denis Nekipelov & Vira Semenova & Vasilis Syrgkanis, 2018. "Regularized Orthogonal Machine Learning for Nonlinear Semiparametric Models," Papers 1806.04823, arXiv.org, revised Sep 2021.
  • Handle: RePEc:arx:papers:1806.04823
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    References listed on IDEAS

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    1. Bajari, Patrick & Hong, Han & Krainer, John & Nekipelov, Denis, 2010. "Estimating Static Models of Strategic Interactions," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 469-482.
    2. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
    3. Bryan S. Graham, 2011. "Efficiency Bounds for Missing Data Models With Semiparametric Restrictions," Econometrica, Econometric Society, vol. 79(2), pages 437-452, March.
    4. Sepanski, J. H. & Carroll, R. J., 1993. "Semiparametric quasilikelihood and variance function estimation in measurement error models," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 223-256, July.
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    Cited by:

    1. Dylan J. Foster & Vasilis Syrgkanis, 2019. "Orthogonal Statistical Learning," Papers 1901.09036, arXiv.org, revised Jun 2023.
    2. Khashayar Khosravi & Greg Lewis & Vasilis Syrgkanis, 2019. "Non-Parametric Inference Adaptive to Intrinsic Dimension," Papers 1901.03719, arXiv.org, revised Jun 2019.
    3. Sookyo Jeong & Hongseok Namkoong, 2020. "Assessing External Validity Over Worst-case Subpopulations," Papers 2007.02411, arXiv.org, revised Feb 2022.

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