Chen, Jau-er; Huang, Chien-Hsun; Tien, Jia-Jyun - In: Econometrics : open access journal 9 (2021) 2, pp. 1-18
In this study, we investigate the estimation and inference on a low-dimensional causal parameter in the presence of high-dimensional controls in an instrumental variable quantile regression. Our proposed econometric procedure builds on the Neyman-type orthogonal moment conditions of a previous...
