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Many Average Partial Effects: with an Application to Text Regression

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  • Harold D. Chiang

Abstract

We study estimation, pointwise and simultaneous inference, and confidence intervals for many average partial effects of lasso Logit. Focusing on high-dimensional cluster-sampling environments, we propose a new average partial effect estimator and explore its asymptotic properties. Practical penalty choices compatible with our asymptotic theory are also provided. The proposed estimator allow for valid inference without requiring oracle property. We provide easy-to-implement algorithms for cluster-robust high-dimensional hypothesis testing and construction of simultaneously valid confidence intervals using a multiplier cluster bootstrap. We apply the proposed algorithms to the text regression model of Wu (2018) to examine the presence of gendered language on the internet.

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  • Harold D. Chiang, 2019. "Many Average Partial Effects: with an Application to Text Regression," 2019 Papers pch1836, Job Market Papers.
    • Handle: RePEc:jmp:jm2019:pch1836
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    References listed on IDEAS

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    Cited by:

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    3. Vira Semenova, 2020. "Generalized Lee Bounds," Papers 2008.12720, arXiv.org, revised Feb 2023.

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    More about this item

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis

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