Belloni, A.; Chen, D.; Chernozhukov, Victor; Hansen, … - 2010
instruments in linear instrumental variables (IV) models with many instruments, p, that apply even when p is much larger than the … sample size, n. We rigorously develop asymptotic distribution and inference theory for the resulting IV estimators and …-based IV estimator with a data-driven penalty performs well compared to recently advocated many-instrument-robust procedures …