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Instrumental variables estimation with many weak instruments using regularized JIVE

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Cited by:

  1. Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Christian Hansen & Kengo Kato, 2018. "High-dimensional econometrics and regularized GMM," CeMMAP working papers CWP35/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Dennis Lim & Wenjie Wang & Yichong Zhang, 2022. "A Conditional Linear Combination Test with Many Weak Instruments," Papers 2207.11137, arXiv.org, revised Apr 2023.
  3. Hsiao, Cheng & Zhou, Qiankun, 2018. "Jive For Panel Dynamic Simultaneous Equations Models," Econometric Theory, Cambridge University Press, vol. 34(6), pages 1325-1369, December.
  4. Xuemei Fan & Ziyue Nan & Yuanhang Ma & Yingdan Zhang & Fei Han, 2021. "Research on the Spatio-Temporal Impacts of Environmental Factors on the Fresh Agricultural Product Supply Chain and the Spatial Differentiation Issue—An Empirical Research on 31 Chinese Provinces," IJERPH, MDPI, vol. 18(22), pages 1-26, November.
  5. Eric Gautier & Christiern Rose, 2022. "Fast, Robust Inference for Linear Instrumental Variables Models using Self-Normalized Moments," Papers 2211.02249, arXiv.org, revised Nov 2022.
  6. Carrasco, Marine & Tchuente, Guy, 2015. "Regularized LIML for many instruments," Journal of Econometrics, Elsevier, vol. 186(2), pages 427-442.
  7. Christian Hansen & Damian Kozbur & Sanjog Misra, 2016. "Targeted undersmoothing," ECON - Working Papers 282, Department of Economics - University of Zurich, revised Apr 2018.
  8. Godzinski, Alexandre & Suarez Castillo, Milena, 2021. "Disentangling the effects of air pollutants with many instruments," Journal of Environmental Economics and Management, Elsevier, vol. 109(C).
  9. Achim Ahrens & Christian B. Hansen & Mark E. Schaffer, 2020. "lassopack: Model selection and prediction with regularized regression in Stata," Stata Journal, StataCorp LP, vol. 20(1), pages 176-235, March.
  10. Alexandre Belloni & Victor Chernozhukov & Christian Hansen & Damian Kozbur, 2016. "Inference in High-Dimensional Panel Models With an Application to Gun Control," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 590-605, October.
  11. Damian Kozbur, 2017. "Testing-Based Forward Model Selection," American Economic Review, American Economic Association, vol. 107(5), pages 266-269, May.
  12. Jinyuan Chang & Zhentao Shi & Jia Zhang, 2021. "Culling the herd of moments with penalized empirical likelihood," Papers 2108.03382, arXiv.org, revised May 2022.
  13. Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
  14. Qingliang Fan & Yaqian Wu, 2020. "Endogenous Treatment Effect Estimation with some Invalid and Irrelevant Instruments," Papers 2006.14998, arXiv.org.
  15. Victor Chernozhukov & Christian Hansen & Martin Spindler, 2015. "Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments," American Economic Review, American Economic Association, vol. 105(5), pages 486-490, May.
  16. 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.
  17. Callaway, Brantly & Karami, Sonia, 2023. "Treatment effects in interactive fixed effects models with a small number of time periods," Journal of Econometrics, Elsevier, vol. 233(1), pages 184-208.
  18. Lei Bill Wang, 2023. "Estimating overidentified linear models with heteroskedasticity and outliers," Papers 2305.17615, arXiv.org, revised Aug 2024.
  19. Lonjezo Sithole, 2024. "A Locally Robust Semiparametric Approach to Examiner IV Designs," Papers 2404.19144, arXiv.org.
  20. Matsushita, Yukitoshi & Otsu, Taisuke, 2024. "A jackknife Lagrange multiplier test with many weak instruments," LSE Research Online Documents on Economics 116392, London School of Economics and Political Science, LSE Library.
  21. Hoang, Daniel & Wiegratz, Kevin, 2022. "Machine learning methods in finance: Recent applications and prospects," Working Paper Series in Economics 158, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  22. Max-Sebastian Dov`i, 2021. "Inference on the New Keynesian Phillips Curve with Very Many Instrumental Variables," Papers 2101.09543, arXiv.org, revised Mar 2021.
  23. Max-Sebastian Dovì & Anders Bredahl Kock & Sophocles Mavroeidis, 2024. "A Ridge-Regularized Jackknifed Anderson-Rubin Test," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1083-1094, July.
  24. Breunig, Christoph & Mammen, Enno & Simoni, Anna, 2020. "Ill-posed estimation in high-dimensional models with instrumental variables," Journal of Econometrics, Elsevier, vol. 219(1), pages 171-200.
  25. Lee, Nayoung & Moon, Hyungsik Roger & Zhou, Qiankun, 2017. "Many IVs estimation of dynamic panel regression models with measurement error," Journal of Econometrics, Elsevier, vol. 200(2), pages 251-259.
  26. Anna Mikusheva & Liyang Sun, 2024. "Weak identification with many instruments," The Econometrics Journal, Royal Economic Society, vol. 27(2), pages -28.
  27. Gold, David & Lederer, Johannes & Tao, Jing, 2020. "Inference for high-dimensional instrumental variables regression," Journal of Econometrics, Elsevier, vol. 217(1), pages 79-111.
  28. Lim, Dennis & Wang, Wenjie & Zhang, Yichong, 2024. "A conditional linear combination test with many weak instruments," Journal of Econometrics, Elsevier, vol. 238(2).
  29. Qingliang Fan & Zijian Guo & Ziwei Mei, 2022. "A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates," Papers 2205.00171, arXiv.org, revised May 2024.
  30. Helmut Farbmacher & Rebecca Groh & Michael Muhlegger & Gabriel Vollert, 2024. "Revisiting the Many Instruments Problem using Random Matrix Theory," Papers 2408.08580, arXiv.org.
  31. Sølvsten, Mikkel, 2020. "Robust estimation with many instruments," Journal of Econometrics, Elsevier, vol. 214(2), pages 495-512.
  32. Emmanuel Selorm Tsyawo, 2023. "Feasible IV regression without excluded instruments," The Econometrics Journal, Royal Economic Society, vol. 26(2), pages 235-256.
  33. Guy Tchuente, 2016. "Estimation of social interaction models using regularization," Studies in Economics 1607, School of Economics, University of Kent.
  34. Kiyotaka Nakashima & Masahiko Shibamoto & Koji Takahashi, 2017. "Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending," Discussion Paper Series DP2017-24, Research Institute for Economics & Business Administration, Kobe University, revised Apr 2019.
  35. Joshua D. Angrist & Brigham Frandsen, 2022. "Machine Labor," Journal of Labor Economics, University of Chicago Press, vol. 40(S1), pages 97-140.
  36. Alena Skolkova, 2023. "Instrumental Variable Estimation with Many Instruments Using Elastic-Net IV," CERGE-EI Working Papers wp759, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  37. Marine Carrasco & Guy Tchuente, 2016. "Efficient Estimation with Many Weak Instruments Using Regularization Techniques," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1609-1637, December.
  38. Fan, Jianqing & Gong, Wenyan & Zhu, Ziwei, 2019. "Generalized high-dimensional trace regression via nuclear norm regularization," Journal of Econometrics, Elsevier, vol. 212(1), pages 177-202.
  39. Guy Tchuente, 2019. "Weak Identification and Estimation of Social Interaction Models," Papers 1902.06143, arXiv.org.
  40. Stephen Coussens & Jann Spiess, 2021. "Improving Inference from Simple Instruments through Compliance Estimation," Papers 2108.03726, arXiv.org.
  41. Abdul-Nasah Soale & Emmanuel Selorm Tsyawo, 2023. "Clustered Covariate Regression," Papers 2302.09255, arXiv.org, revised Dec 2024.
  42. Bohacek, Radim & Myck, Michal, 2017. "Economic Consequences of Political Persecution," IZA Discussion Papers 11136, Institute of Labor Economics (IZA).
  43. Dennis Lim & Wenjie Wang & Yichong Zhang, 2024. "A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions," Papers 2412.01603, arXiv.org.
  44. Yiqi Lin & Frank Windmeijer & Xinyuan Song & Qingliang Fan, 2022. "On the instrumental variable estimation with many weak and invalid instruments," Papers 2207.03035, arXiv.org, revised Dec 2023.
  45. Dakyung Seong, 2022. "Binary response model with many weak instruments," Papers 2201.04811, arXiv.org, revised Jun 2024.
  46. Alena Skolkova, 2023. "Model Averaging with Ridge Regularization," CERGE-EI Working Papers wp758, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  47. Jiafeng Chen & Daniel L. Chen & Greg Lewis, 2020. "Mostly Harmless Machine Learning: Learning Optimal Instruments in Linear IV Models," Papers 2011.06158, arXiv.org, revised Jun 2021.
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