Ill-posed estimation in high-dimensional models with instrumental variables
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Publication:2227078
Abstract: This paper is concerned with inference about low-dimensional components of a high-dimensional parameter vector which is identified through instrumental variables. We allow for eigenvalues of the expected outer product of included and excluded covariates, denoted by , to shrink to zero as the sample size increases. We propose a novel estimator based on desparsification of an instrumental variable Lasso estimator, which is a regularized version of 2SLS with an additional correction term. This estimator converges to at a rate depending on the mapping properties of captured by a sparse link condition. Linear combinations of our estimator of are shown to be asymptotically normally distributed. Based on consistent covariance estimation, our method allows for constructing confidence intervals and statistical tests for single or low-dimensional components of . In Monte-Carlo simulations we analyze the finite sample behavior of our estimator.
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Cited in
(7)- Endogenous treatment effect estimation using high-dimensional instruments and double selection
- Inference for high-dimensional instrumental variables regression
- Regularization methods for high-dimensional instrumental variables regression with an application to genetical genomics
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