Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain
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Publication:2859539
DOI10.3982/ECTA9626zbMath1274.62464arXiv1010.4345OpenAlexW2163162137MaRDI QIDQ2859539
Unnamed Author, Daniel L. Chen, Alexandre Belloni, Victor Chernozhukov
Publication date: 8 November 2013
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.4345
heteroscedasticityinstrumental variablesLassodata-driven penaltynon-Gaussian errorsimperfect model selectioninference on a low-dimensional parameter after model selectionmoderate deviations for self-normalized sumspost-Lasso
Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)
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