UNIFORM-IN-SUBMODEL BOUNDS FOR LINEAR REGRESSION IN A MODEL-FREE FRAMEWORK

Arun K. Kuchibhotla, Lawrence D. Brown, Andreas Buja, Edward I. George and Linda Zhao

Econometric Theory, 2023, vol. 39, issue 6, 1202-1248

Abstract: For the last two decades, high-dimensional data and methods have proliferated throughout the literature. Yet, the classical technique of linear regression has not lost its usefulness in applications. In fact, many high-dimensional estimation techniques can be seen as variable selection that leads to a smaller set of variables (a “submodel”) where classical linear regression applies. We analyze linear regression estimators resulting from model selection by proving estimation error and linear representation bounds uniformly over sets of submodels. Based on deterministic inequalities, our results provide “good” rates when applied to both independent and dependent data. These results are useful in meaningfully interpreting the linear regression estimator obtained after exploring and reducing the variables and also in justifying post-model-selection inference. All results are derived under no model assumptions and are nonasymptotic in nature.

Date: 2023
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