Stata新命令-pdslasso:众多控制变量和工具变量如何挑选?
(2020-10-31 23:24:34)
标签:
pdslassostata |
分类: Stata新命令 |
目录
Stata package: pdslasso
pdslasso
ivlasso
These
estimators are used to select controls (pdslasso
) and/or instruments (ivlasso
) from a large set of variables (possibly
numbering more than the number of observations), in a setting where
the researcher is interested in estimating the causal impact of one
or more (possibly endogenous) causal variables of interest.
Two
approaches are implemented in pdslasso
ivlasso
:
-
The
post-double-selection methodology of Belloni et al. (2012, 2013, 2014, 2015, 2016). -
The
post-regularization methodology of Chernozhukov, Hansen and Spindler (2015).
For
instrumental variable estimation, `ivlasso implements
weak-identification-robust hypothesis tests and confidence sets
using the
The
implemention of these methods in pdslasso
ivlasso
rlasso