centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre


Keep in touch

Subscribe to cemmap news

Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments

Authors: Victor Chernozhukov , Christian Hansen and Martin Spindler
Date: 01 May 2015
Type: Journal article, American Economic Review, Vol. 105, No. 5, pp. 486-90
DOI: 10.1257/aer.p20151022


We consider estimation of and inference about coefficients on endogenous variables in a linear instrumental variables model where the number of instruments and exogenous control variables are each allowed to be larger than the sample size. We work within an approximately sparse framework that maintains that the signal available in the instruments and control variables may be effectively captured by a small number of the available variables. We provide a LASSO-based method for this setting which provides uniformly valid inference about the coefficients on endogenous variables. We illustrate the method through an application to demand estimation.

Download full version
Previous version:
Victor Chernozhukov, Christian Hansen and Martin Spindler January 2015, Post-selection and post-regularization inference in linear models with many controls and instruments, cemmap Working Paper, IFS

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us