Targeted Undersmoothing

University of Zurich, Department of Economics, Working Paper No. 282

42 Pages Posted: 9 May 2018

See all articles by Christian Hansen

Christian Hansen

University of Chicago - Booth School of Business - Econometrics and Statistics

Damian Kozbur

ETH Zürich - Department of Humanities, Social and Political Sciences (GESS)

Sanjog Misra

University of Chicago - Booth School of Business

Date Written: April 2018

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.

Keywords: model selection, sparsity, dense functionals, hypothesis testing, sensitivity analysis

JEL Classification: C12, C51, C55

Suggested Citation

Hansen, Christian and Kozbur, Damian and Misra, Sanjog, Targeted Undersmoothing (April 2018). University of Zurich, Department of Economics, Working Paper No. 282. Available at SSRN: https://ssrn.com/abstract=3167373 or http://dx.doi.org/10.2139/ssrn.3167373

Christian Hansen (Contact Author)

University of Chicago - Booth School of Business - Econometrics and Statistics ( email )

Chicago, IL 60637
United States
773-834-1702 (Phone)

Damian Kozbur

ETH Zürich - Department of Humanities, Social and Political Sciences (GESS) ( email )

Haldeneggsteig 4
Zurich, Zurich 8006
Switzerland

Sanjog Misra

University of Chicago - Booth School of Business ( email )

5807 South Woodlawn Avenue
Chicago, IL 60637
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
46
Abstract Views
490
PlumX Metrics