High-Dimensional Instrumental Variables Regression and Confidence Sets

Eric Gautier and Alexandre Tsybakov

No 2011-13, Working Papers from Center for Research in Economics and Statistics

Keywords: Instrumental Variables; Sparsity; STIV Estimator; Endogeneity; High-Dimensional Regression; Conic Programming; Optimal Instruments; Hereroscedasticity; Confidence Intervals; Non-Gaussian Errors; Variable Selection; Unknown Variance; Sign Consistency (search for similar items in EconPapers)
Pages: 44
Date: 2011-05
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (43)

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Related works:
Working Paper: High-dimensional instrumental variables regression and confidence sets (2021)
Working Paper: High-dimensional instrumental variables regression and confidence sets (2019)
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