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LASSO Methods for Gaussian Instrumental Variables Models
LASSO Methods Gaussian Instrumental Variables Models
2011/3/2
In this note, we propose the use of sparse methods (e.g. LASSO, Post-LASSO,p LASSO, and Post-
p LASSO) to form rst-stage predictions and estimate optimal instru-ments in linear instrumental variable...
LASSO Methods for Gaussian Instrumental Variables Models
Methodology (stat.ME) Statistics Theory (math.ST)
2010/12/17
In this note, we propose to use sparse methods (e.g. LASSO, Post-LASSO, sqrt-LASSO, and Post-sqrt-LASSO) to form first-stage predictions and estimate optimal instruments in linear instrumental variabl...
