Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain (ECTA 2012)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
A. Belloni, D. Chen, V. Chernozhukov, C. Hansen Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain ECTA 2012 6 2369–429 - Inference on a low-dimensional parameter after model selection, Imperfect model selection, Instrumental variables, Lasso, Post-Lasso, Data-driven penalty, Heteroscedasticity, Non-Gaussian errors, Moderate deviations for self-normalized sums

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
- - - Lasso and post-Lasso methods to form first-stage predictions and estimate optimal instruments in linear, Instrumental variable (IV), models with many instruments, Ordinary least squares (OLS), Two-stage least squares (2SLS) - - - -

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Martin Spindler Lasso for Instrumental Variable Selection: A Replication Study JAE 2016 2 450–54 - - - - - - -

References

DOI: 10.3982/ECTA9626 IDEAS: a/ecm/emetrp/v80y2012i6p2369-2429.html EconPapers: RePEc:ecm:emetrp:v:80:y:2012:i:6:p:2369-2429


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