High-dimensional instrumental variables regression and confidence sets -- v2/2012 (1812.11330v2)

Published 29 Dec 2018 in math.ST and stat.TH

Abstract: 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.

Summary

We haven't generated a summary for this paper yet.

Whiteboard

Generate a whiteboard explanation of this paper.

Sign Up to Generate

Paper to Video (Beta)

Generate a video overview of this paper.

Sign Up to Generate

Paper Prompts

Sign up for free to create and run prompts on this paper using GPT-5.

Top Community Prompts

Explain it Like I'm 14

Practical Applications

Conceptual Simplification

Sign Up to Activate View All Prompts

Open Problems

We haven't generated a list of open problems mentioned in this paper yet.

Continue Learning

We haven't generated follow-up questions for this paper yet.

Authors (2)

Collections

Sign up for free to add this paper to one or more collections.