Sparse models and methods for optimal instruments with an application to eminent domain /
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, that apply even when p is much larger than the sample size, n. We rigorously develop asymptotic distr...
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Bibliographic Details
| Corporate Author: |
Massachusetts Institute of Technology Department of Economics |
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| Other Authors: |
Belloni, Alexandre,
Chen, Daniel,
Chernozhukov, Victor,
Hansen, Christian Bailey, 1976- |
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| Format: | Book
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| Language: | English |
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| Published: |
Cambridge, MA :
Massachusetts Institute of Technology, Dept. of Economics,
[2011]
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| Series: | Working paper (Massachusetts Institute of Technology. Department of Economics) ;
no. 11-19
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| Subjects: | |
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