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PDSLASSO: Stata module for post-selection and post-regularization OLS or IV estimation and inference

Author

Listed:
  • Achim Ahrens

    () (Economic and Social Research Institute, Republic of Ireland)

  • Christian B. Hansen

    () (University of Chicago)

  • Mark E Schaffer

    () (Heriot-Watt University)

Abstract

pdslasso and ivlasso are routines for estimating structural parameters in linear models with many controls and/or instruments. The routines use methods for estimating sparse high-dimensional models, specifically the lasso (Least Absolute Shrinkage and Selection Operator, Tibshirani 1996) and the square-root-lasso (Belloni et al. 2011, 2014). These estimators are used to select controls (pdslasso) and/or instruments (ivlasso) from a large set of variables (possibly numbering more than the number of observations), in a setting where the researcher is interested in estimating the causal impact of one or more (possibly endogenous) causal variables of interest. Two approaches are implemented in pdslasso and ivlasso: (1) The "post-double-selection" (PDS) methodology of Belloni et al. (2012, 2013, 2014, 2015, 2016). (2) The "post-regularization" (CHS) methodology of Chernozhukov, Hansen and Spindler (2015). For instrumental variable estimation, ivlasso implements weak-identification-robust hypothesis tests and confidence sets using the Chernozhukov et al. (2013) sup-score test. The implemention of these methods in pdslasso and ivlasso require the Stata program rlasso (available in the separate Stata module lassopack), which provides lasso and square root-lasso estimation with data-driven penalization.

Suggested Citation

  • Achim Ahrens & Christian B. Hansen & Mark E Schaffer, 2018. "PDSLASSO: Stata module for post-selection and post-regularization OLS or IV estimation and inference," Statistical Software Components S458459, Boston College Department of Economics, revised 19 Sep 2018.
  • Handle: RePEc:boc:bocode:s458459
    Note: This module should be installed from within Stata by typing "ssc install pdslasso". Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/p/pdslasso.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/p/pdslasso.sthlp
    File Function: help file
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/i/ivlasso.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/i/ivlasso_p.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/i/ivlasso.sthlp
    File Function: help file
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/i/ivlasso.ihlp
    File Function: help file
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_pdslasso.do
    File Function: certification script
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/b/BLP.dta
    File Function: sample data file
    Download Restriction: no

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