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Targeted undersmoothing


Hansen, Christian; Kozbur, Damian; Misra, Sanjog (2018). Targeted undersmoothing. Working paper series / Department of Economics 282, University of Zurich.

Abstract

This paper proposes a post-model selection inference procedure, called targeted undersmoothing, designed to construct uniformly valid confidence sets for functionals of sparse high-dimensional models, including dense functionals that may depend on many or all elements of the high-dimensional parameter vector. The confidence sets are based on an initially selected model and two additional models which enlarge the initial model. By varying the enlargements of the initial model, one can also conduct sensitivity analysis of the strength of empirical conclusions to model selection mistakes in the initial model. We apply the procedure in two empirical examples: estimating heterogeneous treatment effects in a job training program and estimating profitability from an estimated mailing strategy in a marketing campaign. We also illustrate the procedure’s performance through simulation experiments.

Abstract

This paper proposes a post-model selection inference procedure, called targeted undersmoothing, designed to construct uniformly valid confidence sets for functionals of sparse high-dimensional models, including dense functionals that may depend on many or all elements of the high-dimensional parameter vector. The confidence sets are based on an initially selected model and two additional models which enlarge the initial model. By varying the enlargements of the initial model, one can also conduct sensitivity analysis of the strength of empirical conclusions to model selection mistakes in the initial model. We apply the procedure in two empirical examples: estimating heterogeneous treatment effects in a job training program and estimating profitability from an estimated mailing strategy in a marketing campaign. We also illustrate the procedure’s performance through simulation experiments.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Department of Economics
Dewey Decimal Classification:330 Economics
JEL Classification:C12, C51, C55
Uncontrolled Keywords:Model selection, sparsity, dense functionals, hypothesis testing, sensitivity analysis
Language:English
Date:April 2018
Deposited On:23 Apr 2018 15:47
Last Modified:28 Oct 2019 08:26
Series Name:Working paper series / Department of Economics
Number of Pages:41
ISSN:1664-7041
Additional Information:Revised version Auch erschienen in: arXiv: 1706.07328v2
OA Status:Green
Official URL:http://www.econ.uzh.ch/static/wp/econwp282.pdf
Related URLs:http://www.econ.uzh.ch/static/workingpapers.php

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