Selecting instrumental variables in a data rich environment
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Recommendations
- Choosing the Number of Instruments
- Instrumental variables estimation and inference in the presence of many exogenous regressors
- A Consistent Method for the Selection of Relevant Instruments
- Choosing the optimal set of instruments from large instrument sets
- Instrumental variable estimation in the presence of many moment conditions
Cited in
(13)- Choosing the optimal set of instruments from large instrument sets
- A comparative study of three data-based methods of instrument selection
- Instrument selection for estimation of a forward-looking Phillips curve
- High-dimensional linear models with many endogenous variables
- Ill-posed estimation in high-dimensional models with instrumental variables
- Instrumental variables estimation with many weak instruments using regularized JIVE
- Choosing instrumental variables in conditional moment restriction models
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
- Select the valid and relevant moments: an information-based Lasso for GMM with many moments
- Conditional sparse boosting for high-dimensional instrumental variable estimation
- Cross-Sectional Dependence in Panel Data Analysis
- Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
- Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments
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