Belloni, Alexandre; Chernozhukov, Victor; Hansen, Christian - Centre for Microdata Methods and Practice (CEMMAP) - 2013
-double-selection' method. Our results apply to Lasso-type methods used for covariate selection as well as to any other model selection method … large class of models. In contrast, standard post-model selection estimators fail to provide uniform inference even in … simple cases with a small, fixed number of controls. Thus our method resolves the problem of uniform inference after model …