Generalized Kernel Regularized Least SquaresKernel Regularized Least Squares (KRLS) is a popular method for flexibly
estimating models that may have complex relationships between variables.
However, its usefulness to many researchers is limited for two reasons. First,
existing approaches are inflexible and do not allow KRLS to be combined with
theoretically-motivated extensions such as fixed effects or non-linear
outcomes. Second, estimation is extremely computationally intensive for even
modestly sized datasets.
Our paper addresses both concerns by introducing generalized KRLS (gKRLS). We
note that KRLS can be re-formulated as a hierarchical model thereby allowing
easy inference and modular model construction. Computationally, we also
implement random sketching to dramatically accelerate estimation while
incurring a limited penalty in estimation quality. We demonstrate that gKRLS
can be fit on datasets with tens of thousands of observations in under one
minute. Further, state-of-the-art techniques that require fitting the model
over a dozen times (e.g. meta-learners) can be estimated quickly.
arxiv.org