High-dimensional Penalized Linear IV Estimation & Inference using BRIDGE and Adaptive LASSO
使用 BRIDGE 与自适应 LASSO 的高维线性工具变量估计与推断
This paper is an exposition of how BRIDGE and adaptive LASSO can be used in a two-stage least squares problem, to estimate the second-stage coefficients when the number of parameters p in both stages is growing with the sample size n. Facing a larger class of problems compared to the usual analysis in the literature, i.e., replacing the assumption of normal with sub-Gaussian errors, I prove that both methods ensure model selection consistency and oracle efficiency even when…