Simultaneous Confidence Intervals for High-dimensional Linear Models with Many Endogenous Variables

Alexandre Belloni, Christian Hansen and Whitney Newey
Authors registered in the RePEc Author Service: Victor Chernozhukov

Papers from arXiv.org

Abstract: High-dimensional linear models with endogenous variables play an increasingly important role in recent econometric literature. In this work we allow for models with many endogenous variables and many instrument variables to achieve identification. Because of the high-dimensionality in the second stage, constructing honest confidence regions with asymptotically correct coverage is non-trivial. Our main contribution is to propose estimators and confidence regions that would achieve that. The approach relies on moment conditions that have an additional orthogonal property with respect to nuisance parameters. Moreover, estimation of high-dimension nuisance parameters is carried out via new pivotal procedures. In order to achieve simultaneously valid confidence regions we use a multiplier bootstrap procedure to compute critical values and establish its validity.

Date: 2017-12, Revised 2019-08
New Economics Papers: this item is included in nep-ecm
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http://arxiv.org/pdf/1712.08102 Latest version (application/pdf)

Related works:
Working Paper: Simultaneous confidence intervals for high-dimensional linear models with many endogenous variables (2017)
Working Paper: Simultaneous confidence intervals for high-dimensional linear models with many endogenous variables (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1712.08102

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