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...

We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...

This paper examines a general class of inferential problems in semiparametric and nonparametric models defined by conditional moment restrictions. We construct tests for the hypothesis that at least one element of the identified set satisfies a conjectured (Banach space) "equality" and/or (a...

We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...

This article is about estimation and inference methods for high dimensional sparse (HDS) regression models in econometrics. High dimensional sparse models arise in situations where many regressors (or series terms) are available and the regression function is well-approximated by a parsimonious,...

We propose methods for inference on the average effect of a treatment on a scalar outcome in the presence of very many controls. Our setting is a partially linear regression model containing the treatment/policy variable and a large number p of controls or series terms, with p that is possibly...

We consider estimation of policy relevant treatment effects in a data-rich environ ment where there may be many more control variables available than there are observations. In addition to allowing many control variables, the setting we consider allows heterogeneous treatment effects, endogenous...