Conditional nonparametric variable screening by neural factor regression

Jianqing Fan, Weining Wang and Yue Zhao

No 17/24, CeMMAP working papers from Institute for Fiscal Studies

Abstract: High-dimensional covariates often admit linear factor structure. To effectively screen correlated covariates in high-dimension, we propose a conditional variable screening test based on non-parametric regression using neural networks due to their representation power. We ask the question whether individual covariates have additional contributions given the latent factors or more generally a set of variables. Our test statistics are based on the estimated partial derivative of the regression function of the candidate variable for screening and a observable proxy for the latent factors. Hence, our test reveals how much predictors contribute additionally to the non-parametric regression after accounting for the latent factors. Our derivative estimator is the convolution of a deep neural network regression estimator and a smoothing kernel. We demonstrate that when the neural network size diverges with the sample size, unlike estimating the regression function itself, it is necessary to smooth the partial derivative of the neural network estimator to recover the desired convergence rate for the derivative. Moreover, our screening test achieves asymptotic normality under the null after finely centering our test statistics that makes the biases negligible, as well as consistency for local alternatives under mild conditions. We demonstrate the performance of our test in a simulation study and two real world applications.

Date: 2024-08-21
New Economics Papers: this item is included in nep-big, nep-cmp and nep-ecm
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Working Paper: Conditional nonparametric variable screening by neural factor regression (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:17/24

DOI: 10.47004/wp.cem.2024.1724

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