Sparse linear models and \(l_1\)-regularized 2SLS with high-dimensional endogenous regressors and instruments
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Publication:1652952
DOI10.1016/j.jeconom.2017.10.002zbMath1394.62096OpenAlexW3123049865MaRDI QIDQ1652952
Publication date: 17 July 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.10.002
Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07)
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