PDSLASSO: Stata module for post-selection and post-regularization OLS or IV estimation and inference

Achim Ahrens, Christian Hansen and Mark Schaffer ()

Statistical Software Components from Boston College Department of Economics

Abstract: pdslasso and ivlasso are routines for estimating structural parameters in linear models with many controls and/or instruments. The routines use methods for estimating sparse high-dimensional models, specifically the lasso (Least Absolute Shrinkage and Selection Operator, Tibshirani 1996) and the square-root-lasso (Belloni et al. 2011, 2014). These estimators are used to select controls (pdslasso) and/or instruments (ivlasso) from a large set of variables (possibly numbering more than the number of observations), in a setting where the researcher is interested in estimating the causal impact of one or more (possibly endogenous) causal variables of interest. Two approaches are implemented in pdslasso and ivlasso: (1) The "post-double-selection" (PDS) methodology of Belloni et al. (2012, 2013, 2014, 2015, 2016). (2) The "post-regularization" (CHS) methodology of Chernozhukov, Hansen and Spindler (2015). For instrumental variable estimation, ivlasso implements weak-identification-robust hypothesis tests and confidence sets using the Chernozhukov et al. (2013) sup-score test. The implemention of these methods in pdslasso and ivlasso require the Stata program rlasso (available in the separate Stata module lassopack), which provides lasso and square root-lasso estimation with data-driven penalization.

Language: Stata
Requires: Stata version 13.1 and lassopack, ranktest from SSC (q.v.)
Keywords: lasso; causal inference; high-dimensional models; instrumental variables; square-root lasso; regularization; penalization; sparsity; post-double-selection; post-regularization (search for similar items in EconPapers)
Date: 2018-02-02, Revised 2024-08-06
Note: This module should be installed from within Stata by typing "ssc install pdslasso". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (17)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/p/pdslasso.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pdslasso.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivlasso.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivlasso_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivlasso.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivlasso.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cs_pdslasso.do certification script (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cs_ivlasso.smcl certification script output (text/plain)
http://fmwww.bc.edu/repec/bocode/b/BLP.dta sample data file (application/x-stata)

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