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Corpus ID: 229923267

Bias-Aware Inference in Regularized Regression Models

@inproceedings{Armstrong2020BiasAwareII,
title={Bias-Aware Inference in Regularized Regression Models},
author={Timothy B. Armstrong and M. Koles{\'a}r and Soonwoo Kwon},
year={2020}
}

We consider inference on a regression coefficient under a constraint on the magnitude of the control coefficients. We show that a class of estimators based on an auxiliary regularized regression of the regressor of interest on control variables exactly solves a tradeoff between worst-case bias and variance. We derive “bias-aware” confidence intervals (CIs) based on these estimators, which take into account possible bias when forming the critical value. We show that these estimators and CIs are… Expand