CRHDREG: Stata module to estimate high-dimensional regressions based on cluster-robust double/debiased machine learning

Harold Chiang, Kengo Kato, Yukun Ma and Yuya Sasaki
Additional contact information
Kengo Kato: Cornell University
Yukun Ma: Vanderbilt University

Statistical Software Components from Boston College Department of Economics

Abstract: crhdreg estimates high-dimensional regressions and high-dimensional IV regressions with one-way or two-way cluster-robust standard errors based on Chiang, Kato, Ma and Sasaki (JBES, 2022). The high-dimensional regression estimation is executed by the (multiway) cluster-robust double/debiased machine learning with the high-dimensional nuisance parameters estimated via the elastic net (LASSO by default).

Language: Stata
Requires: Stata version 14.2
Keywords: regression; cluster-robust; debiased machine learning (search for similar items in EconPapers)
Date: 2022-06-28
Note: This module should be installed from within Stata by typing "ssc install crhdreg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/c/crhdreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/crhdreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/b/blp.dta sample data file (application/x-stata)

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