Uniform post selection inference for LAD regression models
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- Alexandre Belloni & Victor Chernozhukov & Abhishek Kaul, 2017. "Confidence bands for coefficients in high dimensional linear models with error-in-variables," CeMMAP working papers CWP22/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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- Victor Chernozhukov & Mert Demirer & Esther Duflo & Iván Fernández-Val, 2018. "Generic Machine Learning Inference on Heterogenous Treatment Effects in Randomized Experiments," NBER Working Papers 24678, National Bureau of Economic Research, Inc.
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More about this item
Keywordsmedian regression; uniformly valid inference; instrumets; Neymanisation; optimality; sparsity; post selection inference;
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