Date/Time Date(s) - 10/04/202611:00 am - 12:30 pm
Michal Kolesár is a Professor of Economics at Princeton University. He received a Ph.D. in economics from Harvard in 2013, and joined the Princeton faculty in 2014 after a postdoc at Yale University. Kolesár is an econometrician who focuses on developing methods for causal inference. His articles have been published in leading economics and statistics journals, including Econometrica, the American Economic Review, the Quarterly Journal of Economics, the Review of Economic Studies and Journal of the American Statistical Association. Kolesár currently serves as a co-editor of the Journal of Business & Economic Statistics. He is a recipient of the 2019 Sloan Fellowship.
He will present, “The Fragility of Sparsity,” joint with Ulrich K. Müller and Sebastian T. Roelsgaard.
Abstract
We show, using three empirical applications, that linear regression estimates which rely on the assumption of sparsity are fragile in two ways. First, we document that different choices of the regressor matrix that do not impact ordinary least squares (OLS) estimates, such as the choice of baseline category with categorical controls, can move sparsity-based estimates by two standard errors or more. Second, we develop two tests of the sparsity assumption based on comparing sparsity-based estimators with OLS. The tests tend to reject the sparsity assumption in all three applications. Unless the number of regressors is comparable to or exceeds the sample size, OLS yields more robust inference at little efficiency cost.
Learn more about Michal’s work and connect with him through his professional website.