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Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments

The American economic review, 2015-05, Vol.105 (5), p.486-490 [Peer Reviewed Journal]

Copyright© 2015 American Economic Association ;Copyright American Economic Association May 2015 ;ISSN: 0002-8282 ;EISSN: 1944-7981 ;DOI: 10.1257/aer.p20151022 ;CODEN: AENRAA

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Title:
Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments
Author: Chernozhukov, Victor ; Hansen, Christian ; Spindler, Martin
Subjects: Coefficients ; Data mining ; Economic analysis ; Economic behaviour ; Economic models ; Economic theory ; Estimating techniques ; Estimation ; Estimation methods ; Estimators ; Inelasticity of demand ; Inference ; Instrumental variables estimation ; Linear models ; MACHINE LEARNING METHODS IN ECONOMICS AND ECONOMETRICS ; Parametric models ; Sparsity ; Standard error ; Studies ; Variable coefficients ; Variables
Is Part Of: The American economic review, 2015-05, Vol.105 (5), p.486-490
Description: We consider estimation of and inference about coefficients on endogenous variables in a linear instrumental variables model where the number of instruments and exogenous control variables are each allowed to be larger than the sample size. We work within an approximately sparse framework that maintains that the signal available in the instruments and control variables may be effectively captured by a small number of the available variables. We provide a LASSO-based method for this setting which provides uniformly valid inference about the coefficients on endogenous variables. We illustrate the method through an application to demand estimation.
Publisher: Nashville: American Economic Association
Language: English
Identifier: ISSN: 0002-8282
EISSN: 1944-7981
DOI: 10.1257/aer.p20151022
CODEN: AENRAA
Source: ProQuest Central

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Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments

Copyright© 2015 American Economic Association ;Copyright American Economic Association May 2015 ;ISSN: 0002-8282 ;EISSN: 1944-7981 ;DOI: 10.1257/aer.p20151022 ;CODEN: AENRAA

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