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Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain

ECONOMETRICA, no. 6 (2012): 2369-2429

Cited: 338|Views20

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Inference on a low-dimensional parameter after model selectionimperfect model selectioninstrumental variablesLassopost-LassoMore(4+)

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We develop results for the use of Lasso and post-Lasso methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p. Our results apply even when p is much larger than the sample size, n. We show that the IV estimator based on using Lasso or post-Lasso in the...More

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