Conditional sparse boosting for high-dimensional instrumental variable estimation

DOI10.1080/00949655.2022.2056739MaRDI QIDQ5040523zbMATH OpenOpenAlexFDO

Authors Mu Yue, Baoluo Sun, Jia-Liang Li

Publication date 17 October 2022

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2022.2056739

zbMATH Keywords

causal inferenceconditional sparse boostinghigh-dimensional variable selectioninstrumental variabletwo-stage least squares estimation

Mathematics Subject Classification ID

Statistics (62-XX) Applications of statistics to economics (62P20)

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Cites work

• A decision-theoretic generalization of on-line learning and an application to boosting
• A regularization approach to the many instruments problem
• Bayesian and classical approaches to instrumental variable regression
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• Boosting With theL₂Loss
• Double/debiased machine learning for treatment and structural parameters
• Endogeneity in high dimensions
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Feature screening for generalized varying coefficient models with application to dichotomous responses
• Greedy function approximation: A gradient boosting machine.
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Improving the robustness and efficiency of covariate-adjusted linear instrumental variable estimators
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• Instrumental variable additive hazards models
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• LASSO-TYPE GMM ESTIMATOR
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• Model Selection and the Principle of Minimum Description Length
• Nearly unbiased variable selection under minimax concave penalty
• Nonparametric independence screening and structure identification for ultra-high dimensional longitudinal data
• Priors for the long run
• Regularization and Variable Selection Via the Elastic Net
• Regularization methods for high-dimensional instrumental variables regression with an application to genetical genomics
• Sparse boosting
• Sparse models and methods for optimal instruments with an application to eminent domain
• Testing endogeneity with high dimensional covariates
• The Adaptive Lasso and Its Oracle Properties
• Two-step sparse boosting for high-dimensional longitudinal data with varying coefficients
• Variable selection for structural equation with endogeneity
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(1)

• Two-step sparse boosting for high-dimensional longitudinal data with varying coefficients

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• Onyx

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