Estimation of Sparse Structural Parameters with Many Endogenous Variables
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Cites work
- \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
- Adaptive GMM shrinkage estimation with consistent moment selection
- Consistent Estimation with a Large Number of Weak Instruments
- Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
- Endogeneity in high dimensions
- GMM inference when the number of moment conditions in large
- GMM with Many Moment Conditions
- scientific article; zbMATH DE number 3876450 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
- Large Sample Properties of Generalized Method of Moments Estimators
- LASSO-TYPE GMM ESTIMATOR
- Least angle regression. (With discussion)
- Self-Normalized Processes
- Shrinkage tuning parameter selection with a diverging number of parameters
- Simultaneous analysis of Lasso and Dantzig selector
- Sparse models and methods for optimal instruments with an application to eminent domain
- The Adaptive Lasso and Its Oracle Properties
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- The exact distribution of exogenous variable coefficient estimators
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(10)- Sparse linear models and \(l_1\)-regularized 2SLS with high-dimensional endogenous regressors and instruments
- Regularization parameter selection for penalized empirical likelihood estimator
- Variable selection for structural equation with endogeneity
- On LASSO for predictive regression
- Sparse models and methods for optimal instruments with an application to eminent domain
- GMM estimation in partial linear models with endogenous covariates causing an over-identified problem
- Survey-Based Forecasting: To Average or Not to Average
- Model Selection and Shrinkage: An Overview
- Culling the Herd of Moments with Penalized Empirical Likelihood
- LASSO inference for high dimensional predictive regressions
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