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High-dimensional instrumental variables regression and confidence sets · Around

2011

High-dimensional instrumental variables regression and confidence sets

Gautier, Eric, Rose, Christiern

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This article considers inference in linear instrumental variables models with many regressors, all of which could be endogenous.

We propose the STIV estimator.
Identification robust confidence sets are derived by solving linear programs.
We present results on rates of convergence, variable selection, confidence sets which adapt to the sparsity, and analyze confidence bands for vectors of linear functions using bias correction.

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Zhang, D
1919
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Wilson, E.B
Original
1927
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Sargan, J
1958
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Pinelis, I
1994
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Tibshirani, R
1996
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Dufour, J.-M
1997
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Jing, B.-Y
2003
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Donoho, D. L
2006
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Andrews, D. W. K
2007
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Candès, E
2007
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Owen, A. B
2007
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Bertail, P
2008
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Hoffmann, M
2008
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Lounici, K
2008
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