Economics Seminars: Yuya Sasaki (Vanderbilt)
Yuya Sasaki (Vanderbilt)
1B6, Priory Road Complex
Title: Multiway Cluster Robust Double/Debiased Machine Learning
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. 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.