Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach

Victor Chernozhukov, Christian Hansen and Martin Spindler ()
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Martin Spindler: Munich Center for the Economics of Aging, 80799 Munich, Germany

Annual Review of Economics, 2015, vol. 7, issue 1, 649-688

Abstract: We present an expository, general analysis of valid post-selection or post-regularization inference about a low-dimensional target parameter in the presence of a very high-dimensional nuisance parameter that is estimated using selection or regularization methods. Our analysis provides a set of high-level conditions under which inference for the low-dimensional parameter based on testing or point estimation methods will be regular despite selection or regularization biases occurring in the estimation of the high-dimensional nuisance parameter. A key element is the use of so-called immunized or orthogonal estimating equations that are locally insensitive to small mistakes in the estimation of the high-dimensional nuisance parameter. As an illustration, we analyze affine-quadratic models and specialize these results to a linear instrumental variables model with many regressors and many instruments. We conclude with a review of other developments in post-selection inference and note that many can be viewed as special cases of the general encompassing framework of orthogonal estimating equations provided in this article.

Keywords: Neyman; orthogonalization; C (α) statistics; optimal instrument; optimal score; optimal moment; efficiency; optimality (search for similar items in EconPapers)
JEL-codes: C18 C26 C55 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (55)

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Related works:
Working Paper: Valid post-selection and post-regularization inference: An elementary, general approach (2016)
Working Paper: Valid post-selection and post-regularization inference: An elementary, general approach (2016)
Working Paper: Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach (2015)
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