Estimation in high-dimensional linear regression: Post-Double-Autometrics as an alternative to Post-Double-Lasso
Econometrics
2025-11-27 v1 Machine Learning
Machine Learning
Abstract
Post-Double-Lasso is becoming the most popular method for estimating linear regression models with many covariates when the purpose is to obtain an accurate estimate of a parameter of interest, such as an average treatment effect. However, this method can suffer from substantial omitted variable bias in finite sample. We propose a new method called Post-Double-Autometrics, which is based on Autometrics, and show that this method outperforms Post-Double-Lasso. Its use in a standard application of economic growth sheds new light on the hypothesis of convergence from poor to rich economies.
Keywords
Cite
@article{arxiv.2511.21257,
title = {Estimation in high-dimensional linear regression: Post-Double-Autometrics as an alternative to Post-Double-Lasso},
author = {Sullivan Hué and Sébastien Laurent and Ulrich Aiounou and Emmanuel Flachaire},
journal= {arXiv preprint arXiv:2511.21257},
year = {2025}
}