Related papers: Robust Inference in High Dimensional Linear Model …
It is common practice in empirical work to employ cluster-robust standard errors when using the linear regression model to estimate some structural/causal effect of interest. Researchers also often include a large set of regressors in their…
This paper studies inference for quadratic forms of linear regression coefficients with clustered data and many covariates. Our framework covers three important special cases: instrumental variables regression with many instruments and…
Leave-one-out cross-validation (LOO-CV) is a popular method for estimating out-of-sample predictive accuracy. However, computing LOO-CV criteria can be computationally expensive due to the need to fit the model multiple times. In the…
Clustered sampling is prevalent in empirical regression discontinuity (RD) designs, but it has not received much attention in the theoretical literature. In this paper, we introduce a general model-based framework for such settings and…
For prediction models developed on clustered data that do not account for cluster heterogeneity in model parameterization, it is crucial to use cluster-based validation to assess model generalizability on unseen clusters. This paper…
This article proposes a novel estimator for regression coefficients in clustered data that explicitly accounts for within-cluster dependence. We study the asymptotic properties of the proposed estimator under both finite and infinite…
Panel data allows for the modeling of unobserved heterogeneity, significantly raising the number of nuisance parameters and making high dimensionality a practical issue. Meanwhile, temporal and cross-sectional dependence in panel data…
It is useful to estimate the expected predictive performance of models planned to be used for prediction. We focus on leave-one-out cross-validation (LOO-CV), which has become a popular method for estimating predictive performance of…
When evaluating and comparing models using leave-one-out cross-validation (LOO-CV), the uncertainty of the estimate is typically assessed using the variance of the sampling distribution. Considering the uncertainty is important, as the…
Despite a large and significant body of recent work focused on estimating the out-of-sample risk of regularized models in the high dimensional regime, a theoretical understanding of this problem for non-differentiable penalties such as…
We propose leave-out estimators of quadratic forms designed for the study of linear models with unrestricted heteroscedasticity. Applications include analysis of variance and tests of linear restrictions in models with many regressors. An…
We investigate the use of a non-parametric independence measure, the Hilbert-Schmidt Independence Criterion (HSIC), as a loss-function for learning robust regression and classification models. This loss-function encourages learning models…
We study the problem of out-of-sample risk estimation in the high dimensional regime where both the sample size $n$ and number of features $p$ are large, and $n/p$ can be less than one. Extensive empirical evidence confirms the accuracy of…
Bayesian hierarchical linear models provide a natural framework to analyze nested and clustered data. Classical estimation with Markov chain Monte Carlo produces well calibrated posterior distributions but becomes computationally expensive…
In this paper, we propose a new method for estimation and constructing confidence intervals for low-dimensional components in a high-dimensional model. The proposed estimator, called Constrained Lasso (CLasso) estimator, is obtained by…
Motivated by modern applications in which one constructs graphical models based on a very large number of features, this paper introduces a new class of cluster-based graphical models, in which variable clustering is applied as an initial…
In traditional logistic regression models, the link function is often assumed to be linear and continuous in predictors. Here, we consider a threshold model that all continuous features are discretized into ordinal levels, which further…
The model uncertainty obtained by variational Bayesian inference with Monte Carlo dropout is prone to miscalibration. In this paper, different logit scaling methods are extended to dropout variational inference to recalibrate model…
The paper considers the problem of out-of-sample risk estimation under the high dimensional settings where standard techniques such as $K$-fold cross validation suffer from large biases. Motivated by the low bias of the leave-one-out cross…
A recent literature in econometrics models unobserved cross-sectional heterogeneity in panel data by assigning each cross-sectional unit a one-dimensional, discrete latent type. Such models have been shown to allow estimation and inference…