[Forum SIS] DSE Seminar Series (UNIVR) - February 15th, 2017 / A. SIMONI (CREST and CNRS-Paris)

[Catia Scricciolo]

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DSE SEMINAR SERIES - UNIVERSITY OF VERONA 
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The Department of Economics (DSE), University of Verona, cordially invites all interested to attend the following seminar: 

Speaker: ANNA SIMONI (CREST and CNRS-Paris) 
Title: INFERENCE IN HIGH-DIMENSIONAL INSTRUMENTAL VARIABLE MODELS 
Date: February 15th, 2017 
Time: 12:30 pm 
Venue: Polo Santa Marta, Via Cantarane 24, Room 1.59 

Abstract 
We consider inference for a linear regression model where the number of covariates is very large, 
possibly much larger than the sample size n , and where some covariates are allowed to be endogenous. 
The model is identified and estimated using instrumental variables. We are interested in developing a valid 
inference procedure that allows to construct confidence intervals and hypothesis tests for the low-dimensional 
subparameter of interest. We propose a three-step estimation procedure based on a LASSO type estimator, 
suitably modified to have a tractable limiting distribution. The estimator that we obtain is no longer sparse 
but is consistent and approximately Gaussian. We derive confidence intervals and hypothesis testing procedures. 
(Joint with Christoph Breunig and Enno Mammen) 

For more information on the DSE Seminar Series, please visit 
http://www.dse.univr.it/?ent=seminario&lang=en 

Best regards, 
Catia Scricciolo 



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