Belloni, A.; Chen, D.; Chernozhukov, Victor; Hansen, … - 2010
economic effects of these decisions. Optimal instruments are conditional expectations; and in developing the IV results, we …We develop results for the use of LASSO and Post-LASSO methods to form first-stage predictions and estimate optimal … instruments in linear instrumental variables (IV) models with many instruments, p, that apply even when p is much larger than the …