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Register a new userHigh-dimensional instrumental variables regression and confidence sets -- v2/2012
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Added by
Eric Gautier
Publication date
2018
fields
Mathematical Statistics
and research's language is
English
Authors
Eric Gautier
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This was a revision of arXiv:1105.2454v1 from 2012. It considers a variation on the STIV estimator where, instead of one conic constraint, there are as many conic constraints as moments (instruments) allowing to use more directly moderate deviations for self-normalized sums. The idea first appeared in formula (6.5) in arXiv:1105.2454v1 when some instruments can be endogenous. For reference and to avoid confusion with the STIV estimator, this estimator should be called C-STIV.
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