Zhu, Ying (2013): Sparse Linear Models and l1−Regularized 2SLS with HighDimensional Endogenous Regressors and Instruments. Forthcoming in: Journal of Econometrics
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Abstract
We explore the validity of the 2stage least squares estimator with l_{1}regularization in both stages, for linear triangular 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 are sufficiently sparse. For this l_{1}regularized 2stage least squares estimator, we first establish finitesample performance bounds and then provide a simple practical method (with asymptotic guarantees) for choosing the regularization parameter. We also sketch an inference strategy built upon this practical method.
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:  82184 
Depositing User:  Ms Ying Zhu 
Date Deposited:  25 Oct 2017 05:51 
Last Modified:  25 Oct 2017 05:52 
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(https://sites.google.com/site/yingzhu1215/home/HD2SLS_2013.pdf) 
URI:  https://mpra.ub.unimuenchen.de/id/eprint/82184 
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Sparse Linear Models and l1−Regularized 2SLS with HighDimensional Endogenous Regressors and Instruments. (deposited 10 Sep 2017 07:29)
 Sparse Linear Models and l1−Regularized 2SLS with HighDimensional Endogenous Regressors and Instruments. (deposited 25 Oct 2017 05:51) [Currently Displayed]