A regularization approach to the many instruments problem
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Publication:528055
DOI10.1016/J.JECONOM.2012.05.012zbMATH Open1443.62071OpenAlexW1982991166MaRDI QIDQ528055FDOQ528055
Authors: Marine Carrasco 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001248
Recommendations
- Regularized LIML for many instruments
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- Instrumental variable estimation in the presence of many moment conditions
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Nonparametric estimation (62G05) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
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Cited In (29)
- On the asymptotic efficiency of GMM
- Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments
- Efficient estimation with many weak instruments using regularization techniques
- A conditional linear combination test with many weak instruments
- Adaptive k-class estimation in high-dimensional linear models
- Minimum distance approach to inference with many instruments
- Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective
- Sparse models and methods for optimal instruments with an application to eminent domain
- Testing conditional independence via empirical likelihood
- Overcoming the Many Weak Instrument Problem Using Normalized Principal Components
- Editorial: High dimensional problems in econometrics
- Regularized LIML for many instruments
- High-Dimensional Mixed-Frequency IV Regression
- Instrumental variable model average with applications in Mendelian randomization
- On a generalization of the test of endogeneity in a two stage least squares estimation
- Exponential class of dynamic binary choice panel data models with fixed effects
- Testing firm conduct
- Structural VAR models in the frequency domain
- Kernel-weighted GMM estimators for linear time series models
- Dummy endogenous treatment effect estimation using high‐dimensional instrumental variables
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- Instrumental variable estimation in the presence of many moment conditions
- Conditional sparse boosting for high-dimensional instrumental variable estimation
- GMM estimation of a realized stochastic volatility model: a Monte Carlo study
- Regularized estimation of dynamic panel models
- Nonparametric instrumental variables estimation for efficiency frontier
- OPTIMAL INFERENCE WITH MANY INSTRUMENTS
- Instrumental variables estimation with many weak instruments using regularized JIVE
- OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
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