Efficient Estimation Using Regularized Jackknife IV Estimator
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- Breunig, Christoph & Mammen, Enno & Simoni, Anna, 2020.
"Ill-posed estimation in high-dimensional models with instrumental variables,"
Journal of Econometrics, Elsevier, vol. 219(1), pages 171-200.
- Christoph Breunig & Enno Mammen & Anna Simoni, 2018. "Ill-posed Estimation in High-Dimensional Models with Instrumental Variables," Papers 1806.00666, arXiv.org, revised Aug 2020.
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KeywordsMany Instruments; Mean Square Error; Jackknife; Regularization Methods.;
All these keywords.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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