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Debiased Inference of Average Partial Effects in Single-Index Models

11/06/2018

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by David A. Hirshberg, et al.

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We propose a method for average partial effect estimation in high-dimensional single-index models that is root-n-consistent and asymptotically unbiased given sparsity assumptions on the underlying regression model. This note was prepared as a comment on Wooldridge and Zhu [2018], forthcoming in the Journal of Business and Economic Statistics.

David A. Hirshberg
8 publications
Stefan Wager
51 publications

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