Belloni, A.; Chen, D.; Chernozhukov, Victor; Hansen, … - Centre for Microdata Methods and Practice (CEMMAP) - 2010
<p><p>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 sample size, n. We rigorously develop asymptotic...</p></p>