Zhu, Ying (2015): Sparse Linear Models and l1−Regularized 2SLS with HighDimensional Endogenous Regressors and Instruments.
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Abstract
We explore the validity of the 2stage least squares estimator with l1−regularization in both stages, for linear models where the numbers of endogenous regressors in the main equation and instruments in the firststage equations can exceed the sample size, and the regression coefficients belong to lq−“balls” for q in [0, 1], covering both exact and approximate sparsity cases. Standard highlevel assumptions on the Gram matrix for l2−consistency require careful verifications in the twostage procedure, for which we provide detailed analysis. We establish finitesample bounds and conditions for our estimator to achieve l2−consistency and variable selection consistency. Practical guidance for choosing the regularization parameters is provided.
Item Type:  MPRA Paper 

Original Title:  Sparse Linear Models and l1−Regularized 2SLS with HighDimensional Endogenous Regressors and Instruments 
Language:  English 
Keywords:  Highdimensional statistics; Lasso; sparse linear models; endogeneity; twostage estimation 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C31  CrossSectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions ; Social Interaction Models C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C36  Instrumental Variables (IV) Estimation 
Item ID:  65703 
Depositing User:  Ms Ying Zhu 
Date Deposited:  23 Jul 2015 09:22 
Last Modified:  30 Sep 2019 04:46 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/65703 
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Sparse Linear Models and TwoStage Estimation in HighDimensional Settings with Possibly Many Endogenous Regressors. (deposited 18 Sep 2013 12:45)
 Sparse Linear Models and l1−Regularized 2SLS with HighDimensional Endogenous Regressors and Instruments. (deposited 23 Jul 2015 09:22) [Currently Displayed]