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Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach

Author

Listed:
  • Victor Chernozhukov

    (Department of Economics, Massachusetts Institute of Technology, Cambridge, Massachusetts 02142)

  • Christian Hansen

    (University of Chicago Booth School of Business, Chicago, Illinois 60637)

  • Martin Spindler

    (Munich Center for the Economics of Aging, 80799 Munich, Germany)

Abstract

We present an expository, general analysis of valid post-selection or post-regularization inference about a low-dimensional target parameter in the presence of a very high-dimensional nuisance parameter that is estimated using selection or regularization methods. Our analysis provides a set of high-level conditions under which inference for the low-dimensional parameter based on testing or point estimation methods will be regular despite selection or regularization biases occurring in the estimation of the high-dimensional nuisance parameter. A key element is the use of so-called immunized or orthogonal estimating equations that are locally insensitive to small mistakes in the estimation of the high-dimensional nuisance parameter. As an illustration, we analyze affine-quadratic models and specialize these results to a linear instrumental variables model with many regressors and many instruments. We conclude with a review of other developments in post-selection inference and note that many can be viewed as special cases of the general encompassing framework of orthogonal estimating equations provided in this article.

Suggested Citation

  • Victor Chernozhukov & Christian Hansen & Martin Spindler, 2015. "Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach," Annual Review of Economics, Annual Reviews, vol. 7(1), pages 649-688, August.
  • Handle: RePEc:anr:reveco:v:7:y:2015:p:649-688
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    References listed on IDEAS

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    More about this item

    Keywords

    Neyman; orthogonalization; C (α) statistics; optimal instrument; optimal score; optimal moment; efficiency; optimality;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

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