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. Our results apply even when p is much larger than the sample size, n. We show that the IV estimator b...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Econometric Society,
2013-12-02T20:11:58Z.
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| Subjects: | |
| Online Access: | Get fulltext |