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Source: Github - aahr1 / pdslasso
目录
pdslasso
and ivlasso
are routines for estimating structural parameters in linear models with many controls and/or instruments. The routines use methods for estimating sparse high-dimensional models, specifically the lasso (Least Absolute Shrinkage and Selection Operator, Tibshirani 1996) and the square-root-lasso (Belloni et al. 2011, 2014).
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
and ivlasso
:
For instrumental variable estimation, `ivlasso implements weak-identification-robust hypothesis tests and confidence sets using the Chernozhukov et al. (2013) sup-score test.
The implemention of these methods in pdslasso
and ivlasso
require the Stata program rlasso
(available in the separate Stata module lassopack), which provides lasso and square root-lasso estimation with data-driven penalization.
To install the latest version from SSC, type
ssc install lassopack, replace
ssc install pdslasso, replace
For further information on pdslasso
and ivlasso
, type
help pdslasso
The help files contain more information about the implemented routines and examples.
Thanks to Sergio Correia for advice on the use of the FTOOLS package.
pdslasso
and ivlasso
are not official Stata commands. They are free contributions to the research community, like a paper.
Please cite it as such:
Ahrens, A., Hansen, C.B., Schaffer, M.E. 2018. pdslasso and ivlasso: Progams for post-selection and post-regularization OLS or IV estimation and inference. http://ideas.repec.org/c/boc/bocode/s458459.html
Achim Ahrens, Economic and Social Research Institute, Ireland
Christian B. Hansen, University of Chicago, USA
Mark E Schaffer, Heriot-Watt University, UK
If you have encountered any issues with pdslasso, contact achim.ahrens(at)esri.ie and m.e.schaffer(at)hw.ac.uk. If you have questions about the use of pdslasso, contact us via Statalist.
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