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Multiway Cluster Robust Double/Debiased Machine Learning

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  • Harold D. Chiang
  • Kengo Kato
  • Yukun Ma
  • Yuya Sasaki

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.

Suggested Citation

  • Harold D. Chiang & Kengo Kato & Yukun Ma & Yuya Sasaki, 2019. "Multiway Cluster Robust Double/Debiased Machine Learning," Papers 1909.03489, arXiv.org, revised Mar 2020.
    • Handle: RePEc:arx:papers:1909.03489
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    Cited by:

    1. MacKinnon, James G. & Nielsen, Morten Ørregaard & Webb, Matthew D., 2023. "Cluster-robust inference: A guide to empirical practice," Journal of Econometrics, Elsevier, vol. 232(2), pages 272-299.
    2. Harold D. Chiang & Kengo Kato & Yuya Sasaki, 2023. "Inference for High-Dimensional Exchangeable Arrays," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 118(543), pages 1595-1605, July.
    3. Bryan S. Graham & Fengshi Niu & James L. Powell, 2020. "Minimax Risk and Uniform Convergence Rates for Nonparametric Dyadic Regression," Papers 2012.08444, arXiv.org, revised Mar 2021.
    4. Davide Viviano & Jelena Bradic, 2020. "Fair Policy Targeting," Papers 2005.12395, arXiv.org, revised Jun 2022.
    5. Helena Chuliá & Sabuhi Khalili & Jorge M. Uribe, 2024. "Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI," IREA Working Papers 202402, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
    6. Philipp Bach & Victor Chernozhukov & Malte S. Kurz & Martin Spindler, 2021. "DoubleML -- An Object-Oriented Implementation of Double Machine Learning in Python," Papers 2104.03220, arXiv.org, revised Dec 2021.
    7. Harold D. Chiang & Jiatong Li & Yuya Sasaki, 2021. "Algorithmic subsampling under multiway clustering," Papers 2103.00557, arXiv.org, revised Oct 2022.

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