High-dimensional linear models with many endogenous variables

Alexandre Belloni, Christian Hansen and Whitney Newey

Journal of Econometrics, 2022, vol. 228, issue 1, 4-26

Abstract: High-dimensional linear models with endogenous variables play an increasingly important role in the recent econometric literature. In this work, we allow for models with many endogenous variables and make use of many instrumental variables to achieve identification. Because of the high-dimensionality in the structural equation, constructing honest confidence regions with asymptotically correct coverage is non-trivial. Our main contribution is to propose estimators and confidence regions that achieve this goal.

Keywords: Honest confidence regions; Instrumental variables; High dimensional models (search for similar items in EconPapers)
JEL-codes: C36 C39 C55 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:228:y:2022:i:1:p:4-26

DOI: 10.1016/j.jeconom.2021.06.011

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