SMU SOE Online Seminar (Apr 23, 2021, 8am-9.30am): Inference for High-dimensional Exchangeable Arrays

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TOPIC:

INFERENCE FOR HIGH-DIMENSIONAL EXCHANGEABLE ARRAYS

ABSTRACT We consider inference for high-dimensional exchangeable arrays where the dimension may be much larger than the cluster sizes. Speciﬁcally, we consider separately and jointly exchangeable arrays that correspond to multiway clustered and polyadic data, respectively. Such exchangeable arrays have seen a surge of applications in empirical economics. However, both exchangeability concepts induce highly complicated dependence structures, which poses a signiﬁcant challenge for inference in high dimensions. In this paper, we ﬁrst derive high-dimensional central limit theorems (CLTs) over the rectangles for the exchangeable arrays. Building on the high-dimensional CLTs, we develop novel multiplier bootstraps for the exchangeable arrays and derive their ﬁnite sample error bounds in high dimensions. The derivations of these theoretical results rely on new technical tools such as Hoeffding-type decomposition and maximal inequalities for the degenerate components in the Hoeffding-type decomposition for the exchangeable arrays. We illustrate applications of our bootstrap methods to robust inference in demand analysis, robust inference in extended gravity analysis, uniform conﬁdence bands for density estimation with network data, and penalty choice for ℓ1-penalized regression under multiway cluster sampling. Click here to view the paper. Click here to view the CV.		This seminar will be held virtually via Zoom. A confirmation email with the Zoom details will be sent to the registered email by 22 April 2021.
		PRESENTER Harold Chiang University of Wisconsin-Madison
		RESEARCH FIELD Econometrics
		DATE: 23 April 2021 (Friday)
		TIME: 8.00am - 9.30am

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