Debiased Inference of Average Partial Effects in Single-Index Models

David A. Hirshberg; Stefan Wager

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arXiv · 1811.02547

Debiased Inference of Average Partial Effects in Single-Index Models

David A. Hirshberg·Stefan Wager

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Abstract

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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David A. Hirshberg, Stefan Wager. 2018-11-06. Debiased Inference of Average Partial Effects in Single-Index Models. https://arxiv.org/abs/1811.02547

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