Debiased Inference of Average Partial Effects in Single-Index Models
classification
🧮 math.ST
stat.TH
keywords
averagemodelspartialsingle-indexassumptionsasymptoticallybusinesscomment
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We propose a method for average partial effect estimation in high-dimensional single-index models that is root-n-consistent and asymptotically unbiased given sparsity assumptions on the underlying regression model. This note was prepared as a comment on Wooldridge and Zhu [2018], forthcoming in the Journal of Business and Economic Statistics.
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