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STICERD Econometrics Seminar Series

Inference on derivatives of high dimensional regression function with deep neural network (NN)

Weining Wang (University of Groningen)

Thursday 29 February 2024 14:00 - 15:30

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Unless otherwise specified, in-person seminars are open to the public.

Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.


About this event

We present a significance test for any given variable in nonparametric regression with many variables {via estimating derivatives of a nonparametric function}. The test is based on the moment generating function of the partial derivative of an estimator of the regression function, where the estimator is a deep neural network whose structure is allowed to become more complex as the sample size grows. This test finds applications in model specification and variable screening for high-dimensional data. To render our test applicable to high-dimensional inputs, whose dimensions can also increase with sample size, we make the assumption that the observed high-dimensional predictors can effectively serve as proxies for certain latent, lower-dimensional predictors that are actually involved in the regression function. Additionally, we finely adjust the regression function estimator, enabling us to achieve the desired asymptotic normality under the null hypothesis, as well as consistency for any fixed scenarios and certain local alternatives.

STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, in SAL 3.05, unless specified otherwise.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Sadia Ali: s.ali43@lse.ac.uk.

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