Endogeneity in high dimensions
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Abstract: Most papers on high-dimensional statistics are based on the assumption that none of the regressors are correlated with the regression error, namely, they are exogenous. Yet, endogeneity can arise incidentally from a large pool of regressors in a high-dimensional regression. This causes the inconsistency of the penalized least-squares method and possible false scientific discoveries. A necessary condition for model selection consistency of a general class of penalized regression methods is given, which allows us to prove formally the inconsistency claim. To cope with the incidental endogeneity, we construct a novel penalized focused generalized method of moments (FGMM) criterion function. The FGMM effectively achieves the dimension reduction and applies the instrumental variable methods. We show that it possesses the oracle property even in the presence of endogenous predictors, and that the solution is also near global minimum under the over-identification assumption. Finally, we also show how the semi-parametric efficiency of estimation can be achieved via a two-step approach.
Recommendations
- High-dimensional linear models with many endogenous variables
- Testing endogeneity with high dimensional covariates
- High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
- Regularization statistical inferences for partially linear models with high dimensional endogenous covariates
- High-dimensional econometrics and identification
- scientific article; zbMATH DE number 5204610
- High-dimensional covariance estimation
- Causal statistical inference in high dimensions
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Cited in
(48)- Are discoveries spurious? Distributions of maximum spurious correlations and their applications
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