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Here we present an expository, general analysis of valid post-selection or post-regularization inference about a low-dimensional target parameter, $\alpha$, in the presence of a very high-dimensional nuisance parameter, $\eta$, which is estimated using modern selection or regularization methods.
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in J. Neyman, ed., Proceedings of the Fifth Berkeley Symposium 1:221-223. Berkeley: University of California Press
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2007
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‘The Dantzig selector: statistical estimation when
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‘Sparse estimators and the oracle property, or the return of Hodges’ estimator’,
2007
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‘Recent developments in model selection and related areas’,
2008
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‘On sparse reconstruction from Fourier and Gaussian measurements’,
2008
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‘Recent developments in model selection and related areas’,
2008
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‘On sparse reconstruction from Fourier and Gaussian measurements’,
2008
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‘Least Squares After Model Selection in High-dimensional Sparse Models’,
2009
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‘Simultaneous analysis of Lasso and Dantzig selector’,
2009
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(Lecture notes) Stats in the Château, https://studies2.hec.fr/jahia/Jahia/statsinthechateau
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‘Lasso-type recovery of sparse representations for high-dimensional data’,
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‘Least Squares After Model Selection in High-dimensional Sparse Models’,
2009
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‘Simultaneous analysis of Lasso and Dantzig selector’,
2009
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‘Lasso-type recovery of sparse representations for high-dimensional data’,
2009
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‘Square-Root-LASSO: Pivotal Recovery of Sparse Signals via Conic Programming’,
2010
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‘Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain’,
2010
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2010
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‘A selective overview of variable selection in high dimensional feature space’,
2010
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‘Instrumental Variable Estimation in the Presence of Many Moment Conditions’,
2010
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‘Program Evaluation with High-Dimensional Data’,
2013
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2013
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‘Honest Confidence Regions for Logistic Regression with a Large Number of Controls’,
2013
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‘Valid post-selection inference’,
2013
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‘Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors’,
2013
Later among the works it cites.
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‘Square-Root-LASSO: Pivotal Recovery of Sparse Signals via Conic Programming’,
2010
Cited alongside, same era.
‘Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain’,
2010
Cited alongside, same era.
2010
Cited alongside, same era.
‘A selective overview of variable selection in high dimensional feature space’,
2010
Cited alongside, same era.
‘Instrumental Variable Estimation in the Presence of Many Moment Conditions’,
2010
Cited alongside, same era.
‘Inference for High-Dimensional Sparse Econometric Models’,
2011
Cited alongside, same era.
2013
Later among the works it cites.
‘Confidence Intervals and Hypothesis Testing for High-Dimensional Regression’,
2013
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‘Exact post-selection inference with the lasso’,
2013
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‘On Asymptotically Optimal Confidence Regions and Tests for High-Dimensional Models’,
2013
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‘Confidence sets in sparse regression’,
2013
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‘Inference in High Dimensional Panel Models with an Application to Gun Control’,
2014
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mimeo, MIT and Princeton
2014
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‘Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations’
2014
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‘Optimal Inference After Model Selection’,
2014
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‘Demand Estimation with High-Dimensional Product Charateristics’,
2014
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‘Instrumental variables estimation with many weak instruments using regularized JIVE’,
2014
Later among the works it cites.
working paper
2014
Later among the works it cites.
‘Exact post model selection inference for marginal screening’,
2014
Later among the works it cites.
‘A significance test for the lasso (with discussion)’,
2014
Later among the works it cites.
‘A significance test for forward stepwise model selection’,
2014
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‘SPARC: Optimal Estimation and Asymptotic Inference under Semiparametric Sparsity’,
2014
Later among the works it cites.
‘Post-selection adaptive inference for least angle regression and the lasso’,
2014
Later among the works it cites.
‘Inference in High Dimensions with the Penalized Score Test’,
2014
Later among the works it cites.
‘On Semiparametric Exponential Family Graphical Models’,
2014
Later among the works it cites.
‘Inference in High Dimensional Panel Models with an Application to Gun Control’,
2014
Later among the works it cites.
mimeo, MIT and Princeton
2014
Later among the works it cites.
‘Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations’
2014
Later among the works it cites.
‘Optimal Inference After Model Selection’,
2014
Later among the works it cites.
‘Demand Estimation with High-Dimensional Product Charateristics’,
2014
Later among the works it cites.
‘Instrumental variables estimation with many weak instruments using regularized JIVE’,
2014
Later among the works it cites.
working paper
2014
Later among the works it cites.
‘Exact post model selection inference for marginal screening’,
2014
Later among the works it cites.
‘A significance test for the lasso (with discussion)’,
2014
Later among the works it cites.
‘A significance test for forward stepwise model selection’,
2014
Later among the works it cites.
‘SPARC: Optimal Estimation and Asymptotic Inference under Semiparametric Sparsity’,
2014
Later among the works it cites.
‘Post-selection adaptive inference for least angle regression and the lasso’,
2014
Later among the works it cites.
‘Inference in High Dimensions with the Penalized Score Test’,
2014
Later among the works it cites.
‘On Semiparametric Exponential Family Graphical Models’,
2014
Later among the works it cites.