High-dimensional instrumental variables regression and confidence sets
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- Eric Gautier & Alexandre Tsybakov, 2011. "High-Dimensional Instrumental Variables Regression and Confidence Sets," Working Papers 2011-13, Center for Research in Economics and Statistics.
- Gautier, Eric & Rose, Christiern & Tsybakov, Alexandre, 2018. "High-dimensional instrumental variables regression and confidence sets," TSE Working Papers 18-930, Toulouse School of Economics (TSE).
References listed on IDEAS
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More about this item
KeywordsSign consistency; Unknown variance; Variable selection; Non-Gaussian errors; Instrumental variables; Sparsity; STIV estimator; Endogeneity; High-dimensional regression; Conic programming; Optimal instruments; Hereroscedasticity; Confidence intervals;
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