High-dimensional instrumental variables regression and confidence sets -- v2/2012
Statistics Theory
2019-10-17 v2 Statistics Theory
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.
Cite
@article{arxiv.1812.11330,
title = {High-dimensional instrumental variables regression and confidence sets -- v2/2012},
author = {Eric Gautier and Alexandre B. Tsybakov},
journal= {arXiv preprint arXiv:1812.11330},
year = {2019}
}