Regularized LIML for many instruments
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- Carrasco, Marine & Tchuente, Guy, 2015. "Regularized LIML for many instruments," Journal of Econometrics, Elsevier, vol. 186(2), pages 427-442.
- Marine Carrasco & Guy Tchuente, 2015. "Regularized LIML for many instruments," Studies in Economics 1515, School of Economics, University of Kent.
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More about this item
Keywords
High-dimensional models; LIML; many instruments; MSE; regularization methods;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-04-18 (Econometrics)
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