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

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  • معلومة اضافية
    • Contributors:
      Toulouse School of Economics (TSE-R); Université Toulouse Capitole (UT Capitole); Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National de la Recherche Agronomique (INRA)-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS); Centre de Recherche en Économie et Statistique (CREST); Ecole Nationale de la Statistique et de l'Analyse de l'Information Bruz (ENSAI)-École polytechnique (X)-École Nationale de la Statistique et de l'Administration Économique (ENSAE Paris)-Centre National de la Recherche Scientifique (CNRS)
    • بيانات النشر:
      HAL CCSD
    • الموضوع:
      2012
    • Collection:
      GENES (Groupe des Écoles Nationales d'Économie et Statistique): HAL
    • نبذة مختصرة :
      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.
    • Relation:
      info:eu-repo/semantics/altIdentifier/arxiv/1812.11330; hal-01965975; https://hal.science/hal-01965975; https://hal.science/hal-01965975v2/document; https://hal.science/hal-01965975v2/file/STIV2012v2.pdf; ARXIV: 1812.11330
    • Rights:
      info:eu-repo/semantics/OpenAccess
    • الرقم المعرف:
      edsbas.88A61628