Estimation and inference of treatment effects with L2-boosting in high-dimensional settings
高维环境下基于 L2 提升的处理效应估计与推断
Empirical researchers are increasingly faced with rich data sets containing many controls or instrumental variables, making it essential to choose an appropriate approach to variable selection. In this paper, we provide results for valid inference after post- or orthogonal L2-boosting is used for variable selection. We consider treatment effects after selecting among many control variables and instrumental variable models with potentially many instruments. To achieve this,…