In the first part of the paper, we consider estimation and inference on policy relevant treatment effects, such as local average and local quantile treatment effects, in a data-rich environment where there may be many more control variables available than there are observations. In addition to...

We consider estimation of policy relevant treatment effects in a data-rich environ ment where there may be many more control variables available than there are observations. In addition to allowing many control variables, the setting we consider allows heterogeneous treatment effects, endogenous...

In this paper, we consider estimation of general modern moment-condition problems in econometrics in a data-rich environment where there may be many more control variables available than there are observations. The framework we consider allows for a continuum of target parameters and for...

"The NBER Bulletin on Aging and Health provides summaries of publications like this. You can sign up to receive the NBER Bulletin on Aging and Health by email. This paper develops a covariate-based approach to the external validity of instrumental variables (IV) estimates. Assuming that...

This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random coefficients and endogenous regressors. The quantities of interest - means, variances, and other moments of the random coefficients - are estimated by cross sectional sample moments...

In this note, we propose the use of sparse methods (e.g. LASSO, Post-LASSO, p LASSO, and Post-p LASSO) to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments in the canonical Gaussian case. The methods apply even when...