Multi-Task Learning for High-Dimensional Regression with Many Weak Instruments
多弱工具变量高维回归的多任务学习
Many weak instrumental variables (IVs) are routinely used in the health and social sciences to improve identification and inference of the treatment effect of interest, along with a broad collection of data on potential confounding factors in the hope that the IV assumptions hold within each data stratum. We propose a new debiased continuous-updating generalized method of moments estimator with multi-task learning of the IV propensity scores to simultaneously address the…