Complete subset averaging with many instruments

DOI10.1093/ECTJ/UTAA033MaRDI QIDQ5083270OpenAlexFDO

Authors 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)

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

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