Lasso for Instrumental Variable Selection: A Replication Study. (26th January 2015)

• Record Type: Journal Article
• Authors: Spindler, Martin
• Is Part Of: Journal of applied econometrics. Volume 31:Number 2(2016)
• Page Start: 450
• Page End: 454
• Publication Date: 2015-01-26
• Subjects: Econometrics -- Periodicals; 330.015195
• DOI: 10.1002/jae.2432
• Languages: English
• ISSNs: 0883-7252

Abstract

Summary: Recently, Lasso methods have been applied to economic questions. In a seminal paper, Belloni et al . ( Econometrica ;80 (6): 2369–2429) make use of (post‐)Lasso for instrumental variable selection in a setting where the number of instruments p is large or might even exceed the number of observations n —a situation which is prevalent in many current applications. We replicate their simulation study with the statistical package R (R Development Core Team (2008 )) and, moreover, analyze in more detail the importance of the choice of the penalization parameter, a crucial component in applications. Copyright © 2015 John Wiley & Sons, Ltd.