High-dimensional instrumental variables regression and confidence sets -- v2/2012

Understand

This was a revision of arXiv:1105.2454v1 from 2012.

• It considers a variation on the STIV estimator where, instead of one conic constraint, there are as many conic constraints as moments (instruments) allowing to use more directly moderate deviations for self-normalized sums.
• The idea first appeared in formula (6.5) in arXiv:1105.2454v1 when some instruments can be endogenous.
• For reference and to avoid confusion with the STIV estimator, this estimator should be called C-STIV.