Complete subset averaging with many instruments

DOI10.1093/ECTJ/UTAA033OpenAlexW3121438093MaRDI QIDQ5083270FDOQ5083270

Seojeong Lee, Youngki Shin

Publication date: 22 June 2022

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.08083

zbMATH Keywords

endogeneitytwo-stage least squaresmodel averagingmany instrumentsequal weight

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (3)

• Model averaging for estimating treatment effects
• Complete subset averaging approach for high-dimensional generalized linear models
• COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS

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