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lasso for instrumental variable selection: a replication study (replication data)

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.

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Suggested Citation

Spindler, Martin (2016): Lasso for Instrumental Variable Selection: A Replication Study (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022326.0657454738