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Multiway Cluster Robust Double/Debiased Machine Learning

Harold D. Chiang, Kengo Kato, Yukun Ma and Yuya Sasaki

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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. We also develop a multiway cluster robust standard error formula. 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.

Date: 2019-09, Revised 2020-03
New Economics Papers: this item is included in nep-big, nep-cmp and nep-ecm
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