High-Dimensional Instrumental Variables Regression and Confidence Sets
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- Eric Gautier & Alexandre Tsybakov, 2014. "High-dimensional instrumental variables regression and confidence sets," Working Papers hal-00591732, HAL.
References listed on IDEAS
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More about this item
KeywordsInstrumental Variables; Sparsity; STIV Estimator; Endogeneity; High-Dimensional Regression; Conic Programming; Optimal Instruments; Hereroscedasticity; Confidence Intervals; Non-Gaussian Errors; Variable Selection; Unknown Variance; Sign Consistency;
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