Fast Online Inference on Semiparametric Models

Xiaohong Chen, Elie Tamer and Qingsong Yao

Papers from arXiv.org

Abstract: This paper develops a framework for fast online inference on semiparametric models with large sample sizes and possibly many covariates. The computational algorithm itself is the object of statistical study: after a globally consistent warm start in the first phase, the path of averaged online iterates generated in the second phase automatically delivers estimators with optimal convergence rates and valid confidence sets. Both phases require only a single pass over the data stream and are well suited to streaming data or to settings with storage/privacy constraints. For semiparametric monotone index models, the averaged trajectory of the second phase lead to estimators that are automatically orthogonalized and satisfy the laws of the iterated logarithms, and policy functionals are updated along the same trajectory at negligible additional cost. The averaged trajectories satisfy functional central limit theorems, which yield fast online inference via random scaling and bypass the explicit variance estimation that complicates inference for semiparametric models. Applied to a fixed large sample, our online algorithm achieves substantial computational gains over corresponding offline procedures without sacrificing statistical performance. Monte Carlo experiments show adequate behavior. Our methods are applied to 19 million traffic-stop online records from the North Carolina State Patrol (Pierson et al. 2020) and to the international trade data of Helpman et al. (2008) with over 300 regressors. We also compare our estimator to its parametric benchmark in both empirical illustrations

Date: 2026-03, Revised 2026-07
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://arxiv.org/pdf/2603.08614 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2603.08614

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().