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BEGIN:VEVENT
DTSTAMP:20260405T090815Z
DTSTART;VALUE=DATE-TIME:20230313T140000
DTEND;VALUE=DATE-TIME:20230313T153000
SUMMARY:Econometrics Seminar - Michal Kolesar (Princeton)
TZID:Europe/London
UID:20230313-8a17841b8267f64601826d4b78814dc5@warwick.ac.uk
CREATED:20230228T163133Z
DESCRIPTION:Title: The Fragility of Sparsity" (with Ulrich Müller and Seb
 astian Roelsgaard) There is no paper yet\, but the abstract is: We argue
 \, using three empirical applications\, that linear regression estimator
 s which rely on the assumption of sparsity are fragile in two ways. Firs
 t\, we document that different choices of the regressor matrix that don'
 t impact long regression estimates\, such as the choice of baseline cate
 gory with categorical controls\, move the post-double-selection estimate
 s by one standard error or more. Second\, we develop two tests of the sp
 arsity assumption based on comparing sparsity-based estimators with long
  regression. Both tests tend to reject the sparsity assumption in all th
 ree applications. Unless the number of regressors is comparable to or ex
 ceeds the sample size\, long regression yields more robust results at li
 ttle efficiency cost.
LOCATION:S2.79
CATEGORIES:Econometrics Seminar
LAST-MODIFIED:20230228T163133Z
ORGANIZER;CN=Gill Gudger:
END:VEVENT
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