Downloads
cwp021515.pdf
PDF | 352.69 KB
In this note, we offer an approach to estimating structural parameters in the presence of many instruments and controls based on methods for estimating sparse high-dimensional models. We use these high-dimensional methods to select both which instruments and which control variables to use. The approach we take extends Belloni et al. (2012), which covers selection of instruments for IV models with a small number of controls, and extends Belloni, Chernozhukov and Hansen (2014), which covers selection of controls in models where the variable of interest is exogenous conditional on observables, to accommodate both a large number of controls and a large number of instruments. We illustrate the approach with a simulation and an empirical example.
Technical supporting material is available in a supplementary appendix here.
Authors
Working Paper details
- DOI
- 10.1920/wp.cem.2015.0215
- Publisher
- IFS
Suggested citation
V, Chernozhukov and C, Hansen and M, Spindler. (2015). Post-selection and post-regularization inference in linear models with many controls and instruments. London: IFS. Available at: https://ifs.org.uk/publications/post-selection-and-post-regularization-inference-linear-models-many-controls-and (accessed: 23 April 2024).
More from IFS
Understand this issue
Gender norms, violence and adolescent girls’ trajectories: Evidence from India
24 October 2022
Raising revenue from closing inheritance tax loopholes
18 April 2024
Sure Start achieved its aims, then we threw it away
15 April 2024
Policy analysis
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps using so-called Approximate Bayesian Compu- tation which build likelihoods based on limited information.
12 August 2014
Assessing the economic benefits of education: reconciling microeconomic and macroeconomic approaches
This CAYT report discusses the strengths and limitations of several approaches to assessing the effect of education on productivity.
14 March 2013
Misreported schooling, multiple measures and returns to educational qualifications
We provide a number of contributions of policy, practical and methodological interest to the study of the returns to educational qualifications in the presence of misreporting.
1 February 2012
Academic research
Understanding Society: minimising selection biases in data collection using mobile apps
2 February 2024
Robust analysis of short panels
8 January 2024
A coefficient of variation for ordered categorical data: Analyzing relative health inequality and ageing in the UK and relative human resource inequality and gender in Canada
21 December 2023