Endogeneity in high dimensions

DOI10.1214/13-AOS1202zbMath1305.62113arXiv1204.5536OpenAlexW2037645235WikidataQ34867059 ScholiaQ34867059MaRDI QIDQ2510821

Yuan Liao, Jianqing Fan

Publication date: 4 August 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.5536

zbMATH Keywords

global minimizationestimating equationsemiparametric efficiencyoracle propertyconditional moment restrictionendogenous variablessparsity recoveryfocused GMMover identification

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Generalized linear models (logistic models) (62J12) General nonlinear regression (62J02)

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