Endogenous treatment effect estimation using high-dimensional instruments and double selection

DOI10.1016/J.SPL.2020.108967MaRDI QIDQ826717zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 6 January 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2020.108967

zbMATH Keywords

endogeneityinstrumental variabletreatment effecthigh dimensionalitydouble selection

Mathematics Subject Classification ID

Statistical ranking and selection procedures (62F07) Applications of statistics to social sciences (62P25) Causal inference from observational studies (62D20)

Recommendations

• Inference for high-dimensional instrumental variables regression
• Endogenous selection or treatment model estimation
• Ill-posed estimation in high-dimensional models with instrumental variables
• Testing endogeneity with high dimensional covariates
• Inference on treatment effects after selection among high-dimensional controls

Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Causal inference for statistics, social, and biomedical sciences. An introduction
• Characterizing Selection Bias Using Experimental Data
• Inference on treatment effects after selection among high-dimensional controls
• Regularization methods for high-dimensional instrumental variables regression with an application to genetical genomics
• Robust inference on average treatment effects with possibly more covariates than observations
• Sparse models and methods for optimal instruments with an application to eminent domain
• The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)
• The nonlinear two-stage least-squares estimator
• Tuning parameter selectors for the smoothly clipped absolute deviation method
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(7)

• Endogenous treatment effect for any response conditional on control propensity score
• Estimating the effect of a variable in a high-dimensional linear model
• A new instrumental method for dealing with endogenous selection
• Estimation of treatment effects under endogenous heteroskedasticity
• Testing endogeneity with high dimensional covariates
• Dummy endogenous treatment effect estimation using high‐dimensional instrumental variables
• Regularization methods for high-dimensional sparse control function models

Describes a project that uses

Uses Software

• naivereg

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