High-Dimensional Instrumental Variables Regression and Confidence Sets
Year of publication: |
2011-05
|
---|---|
Authors: | Gautier, Eric ; Tsybakov, Alexandre |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
Subject: | Instrumental Variables | Sparsity | STIV Estimator | Endogeneity | High-Dimensional Regression | Conic Programming | Optimal Instruments | Hereroscedasticity | Confidence Intervals | Non-Gaussian Errors | Variable Selection | Unknown Variance | Sign Consistency |
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