Ill-posed estimation in high-dimensional models with instrumental variables
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Publication:2227078
DOI10.1016/j.jeconom.2020.04.043zbMath1464.62346arXiv1806.00666OpenAlexW3048281013MaRDI QIDQ2227078
Anna Simoni, Christoph Breunig, Enno Mammen
Publication date: 9 February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.00666
linear modelcentral limit theoreminstrumental variablessparsityLassodesparsificationill-posed estimation problem
Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05)
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