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Endogenous treatment effect estimation using high-dimensional instruments and double selection. (English) Zbl 1456.62032

Summary: We propose a double selection instrumental variable estimator for the endogenous treatment effects using both high-dimensional control variables and instrumental variables. It deals with the endogeneity of the treatment variable and reduces omitted variable bias due to imperfect model selection.

MSC:

62F07 Statistical ranking and selection procedures
62D20 Causal inference from observational studies
62P25 Applications of statistics to social sciences

Software:

naivereg
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References:

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