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Endogenous treatment effect estimation using high-dimensional instruments and double selection

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  • Zhong, Wei
  • Gao, Yang
  • Zhou, Wei
  • Fan, Qingliang

Abstract

We propose a double selection instrumental variable estimator for the endogenous treatment effects using both high-dimensional control variables and instrumental variables. It deals with the endogeneity of the treatment variable and reduces omitted variable bias due to imperfect model selection.

Suggested Citation

  • Zhong, Wei & Gao, Yang & Zhou, Wei & Fan, Qingliang, 2021. "Endogenous treatment effect estimation using high-dimensional instruments and double selection," Statistics & Probability Letters, Elsevier, vol. 169(C).
    • Handle: RePEc:eee:stapro:v:169:y:2021:i:c:s0167715220302704
    DOI: 10.1016/j.spl.2020.108967
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    References listed on IDEAS

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