Endogeneity in high dimensions

Annals of Statistics

Volumn 42, Issue 3, 2014, Pages 872-917

  Fan, Jianqing ^a   Liao, Yuan ^a  

^a PRINCETON UNIVERSITY   (United States)

Author keywords

Conditional moment restriction; Endogenous variables; Estimating equation; Focused GMM; Global minimization; Oracle property; Over identification; Semiparametric efficiency; Sparsity recovery

Indexed keywords

EID: 84902466882     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/13-AOS1202     Document Type: Article

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