Debiased Inference for Bounding Wage Inequality with Many Controls

Abstract

We study estimation and inference for a partially identified parameter whose identified set depends on a first-stage nuisance parameter that must itself be estimated. Combining the criterion-function approach with the theory of Neyman-orthogonal moments that underlies double/debiased machine learning, we propose a two-step procedure: the point-identified nuisance is estimated by flexible machine-learning methods, and the set-identified target is recovered as a level set of a sample criterion built from orthogonal moment inequalities with cross-fitting. When the contour level is bounded, we show that the resulting set estimator converges in Hausdorff distance at the parametric rate of the infeasible criterion built on the true nuisance. We further develop a subsampling procedure that delivers asymptotically valid coverage, provided the product of the first-stage estimation errors is $o(N^{-1/2})$. We illustrate the method on bounds for the wage distribution and the interquantile range under selection into employment and on the gender wage gap with an interval-censored wage. The empirical application studies the gender wage gap using the March supplement of the 2015 Current Population Survey.