Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain

Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain

Date: First version: June 2009, this version October 28, 2010. Preliminary results of this paper were FIRST presented at Chernozhukov's invited Cowles Foundation lecture at the Northern American meetings of the Econometric society in June of 2009. We thank seminar participants at Brown, Columbi...

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Bibliographic Details
Main Authors: Belloni, Alexandre, Chen, Daniel, Chernozhukov, Victor, Hansen, Christian
Format: Working Paper
Language:en_US
Published: Cambridge, MA: Department of Economics, Massachusetts Institute of Technology 2011
Subjects:
Instrumental Variables
Optimal Instruments
LASSO
Post-LASSO
Sparsity
Eminent Domain
Data-Driven Penalty
Heteroscedasticity
non-Gaussian errors
moderate deviations for self-normalized sums
Online Access:http://hdl.handle.net/1721.1/65157
Description
Summary:Date: First version: June 2009, this version October 28, 2010. Preliminary results of this paper were FIRST presented at Chernozhukov's invited Cowles Foundation lecture at the Northern American meetings of the Econometric society in June of 2009. We thank seminar participants at Brown, Columbia, Harvard-MIT, the Dutch Econometric Study Group, Fuqua School of Business, and NYU for helpful comments. We also thank Denis Chetverikov, JB Doyle, and Joonhwan Lee for thorough reading of this paper and helpful feedback.

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