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Estimation of treatment effects with high-dimensional controls

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  • Alexandre Belloni
  • Victor Chernozhukov
  • Christian Hansen

Abstract

We propose methods for inference on the average effect of a treatment on a scalar outcome in the presence of very many controls. Our setting is a partially linear regression model containing the treatment/policy variable and a large number p of controls or series terms, with p that is possibly much larger than the sample size n, but where only s

Suggested Citation

  • Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2011. "Estimation of treatment effects with high-dimensional controls," CeMMAP working papers 42/11, Institute for Fiscal Studies.
    • Handle: RePEc:azt:cemmap:42/11
    DOI: 10.1920/wp.cem.2011.4211
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    References listed on IDEAS

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    1. A. Belloni & V. Chernozhukov & L. Wang, 2011. "Square-root lasso: pivotal recovery of sparse signals via conic programming," Biometrika, Biometrika Trust, vol. 98(4), pages 791-806.
    2. Donald, Stephen G & Newey, Whitney K, 2001. "Choosing the Number of Instruments," Econometrica, Econometric Society, vol. 69(5), pages 1161-1191, September.
    3. A. Belloni & D. Chen & V. Chernozhukov & C. Hansen, 2012. "Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain," Econometrica, Econometric Society, vol. 80(6), pages 2369-2429, November.
    4. Koenker, Roger, 1988. "Asymptotic Theory and Econometric Practice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 139-147, April.
    5. Heckman, James J. & Lalonde, Robert J. & Smith, Jeffrey A., 1999. "The economics and econometrics of active labor market programs," Handbook of Labor Economics, in: O. Ashenfelter & D. Card (ed.), Handbook of Labor Economics, edition 1, volume 3, chapter 31, pages 1865-2097, Elsevier.
    6. Guido W. Imbens, 2004. "Nonparametric Estimation of Average Treatment Effects Under Exogeneity: A Review," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 4-29, February.
    7. Kane, John, 1997. "Myth and measurement: The new economics of the minimum wage : David Card and Alan B. Krueger, New Jersey: Princeton University Press, 1995, x + 422," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 219-222.
    8. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
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    Cited by:

    1. Chen, Daniel L., 2016. "Priming Ideology: Why Presidential Elections Affect U.S. Judges," IAST Working Papers 16-39, Institute for Advanced Study in Toulouse (IAST), revised Aug 2016.
    2. Chen, Daniel L. & Michaeli, Moti & Spiro, Daniel, 2016. "Ideological Perfectionism," IAST Working Papers 16-47, Institute for Advanced Study in Toulouse (IAST).
    3. Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.

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