Belloni, Alexandre; Chernozhukov, Victor; Hansen, Christian - Centre for Microdata Methods and Practice (CEMMAP) - 2013
novel estimation and uniformly valid inference method for the treatment effect in this setting, called the 'post-double-selection …' method. Our results apply to Lasso-type methods used for covariate selection as well as to any other model selection method … large class of models. In contrast, standard post-model selection estimators fail to provide uniform inference even in …