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

We develop results for the use of Lasso and post-Lasso methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p. Our results apply even when p is much larger than the sample size, n. We show that the IV estimator b...

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Bibliographic Details
Main Authors: Belloni, A., Chen, D., Chernozhukov, Victor V., Hansen, C.
Other Authors: Massachusetts Institute of Technology. Department of Economics
Format: Article
Language:en_US
Published: Econometric Society 2013
Online Access:http://hdl.handle.net/1721.1/82627
https://orcid.org/0000-0002-3250-6714