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Ill-posed estimation in high-dimensional models with instrumental variables

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This paper is concerned with inference about low-dimensional components of a high-dimensional parameter vector beta(0) which is identified through instrumental variables. We allow for eigenvalues of the expected outer product of included and excluded covariates, denoted by M, to shrink to zero as th...

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Main Authors: Breunig, Christoph (Author) , Mammen, Enno (Author) , Simoni, Anna (Author)
Format: Article (Journal)
Language:English
Published: 10 August 2020
In: Journal of econometrics
Year: 2020, Volume: 219, Issue: 1, Pages: 171-200
DOI:10.1016/j.jeconom.2020.04.043
Online Access:Resolving-System, Volltext: https://doi.org/10.1016/j.jeconom.2020.04.043
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Author Notes:Christoph Breunig, Enno Mammen, Anna Simoni
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Ill-posed estimation in high-dimensional models with instrumental variables by Breunig, Christoph (Author) , Mammen, Enno (Author) , Simoni, Anna (Author) ,


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