Lasso Methods for Gaussian Instrumental Variables Models
In this note, we propose the use of sparse methods (e.g., LASSO, Post-LASSO, p LASSO, and Post-p LASSO) to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments in the canonical Gaussian case. The methods apply even when the...
| Main Authors: | , , |
|---|---|
| Format: | Working Paper |
| Language: | en_US |
| Published: |
Cambridge, MA: Department of Economics, Massachusetts Institute of Technology
2011
|
| Online Access: | http://hdl.handle.net/1721.1/65142 |