A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates *
Author:
Affiliation:
1. Department of Economics, The Chinese University of Hong Kong
2. Department of Statistics, Rutgers University
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2024.2388654
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3. Belloni A. Hansen C. and Newey W. (2022). High-dimensional linear models with many endogenous variables. Journal of Econometrics 228(1):4–26.
4. Bickel P. J. Ritov Y. and Tsybakov A. B. (2009). Simultaneous analysis of Lasso and Dantzig selector. The Annals of Statistics 37(4):1705–1732.
5. Cai T. T. and Guo Z. (2020). Semisupervised inference for explained variance in high dimensional linear regression and its applications. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 82(2):391–419.
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