Debiased Inference of Average Partial Effects in Single-Index Models

Published 6 Nov 2018 in math.ST and stat.TH | (1811.02547v1)

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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