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Endogeneity in High Dimensions

Most papers on high-dimensional statistics are based on the assumption that none of the regressors are correlated with the regression error, namely, they are exogenous. Yet, endogeneity can arise incidentally from a large pool of regressors in a high-dimensional regression. This causes the inconsist...

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Detalhes bibliográficos
Publicado no:Ann Stat
Main Authors: Fan, Jianqing, Liao, Yuan
Formato: Artigo
Idioma:Inglês
Publicado em: 2014
Assuntos:
Acesso em linha:https://ncbi.nlm.nih.gov/pmc/articles/PMC4286899/
https://ncbi.nlm.nih.gov/pubmed/25580040
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1214/13-AOS1202
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