Lasso Methods for Gaussian Instrumental Variables Models
نویسندگان
چکیده
منابع مشابه
Lasso Methods for Gaussian Instrumental Variables Models
In this note, we propose to use sparse methods (e.g. LASSO, Post-LASSO, √ LASSO, and Post√ LASSO) to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p, in the canonical Gaussian case. The methods apply even when p is much larger than the sample size, n. We derive asymptotic distributions for the resulting IV estim...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1908409