Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Bayesian variable selection in linear regression models with
  instrumental variables   Many papers on high-dimensional statistics have proposed methods for variable
selection and inference in linear regression models by relying explicitly or
implicitly on the assumption that all regressors are exogenous. However,
applications abound where endogeneity arises from selection biases, omitted
variables, measurement errors, unmeasured confounding and many other challenges
common to data collection Fan et al. (2014). The most common cure to
endogeneity issues consists in resorting to instrumental variable (IV)
inference. The objective of this paper is to present a Bayesian approach to
tackling endogeneity in high-dimensional linear IV models. Using a working
quasi-likelihood combined with an appropriate sparsity inducing spike-and-slab
prior distribution, we develop a semi-parametric method for variable selection
in high-dimensional linear models with endogeneous regressors within a
quasi-Bayesian framework. We derive some conditions under which the
quasi-posterior distribution is well defined and puts most of its probability
mass around the true value of the parameter as $p \rightarrow \infty$. We
demonstrate through empirical work the fine performance of the proposed
approach relative to some other alternatives. We also include include an
empirical application that assesses the return on education by revisiting the
work of Angrist and Keueger (1991).

21
The categories of this paper are: adap-org
13
The categories of this paper are: quant-ph
30
The categories of this paper are: q-alg
22
The categories of this paper are: chao-dyn
23
The categories of this paper are: solv-int
28
The categories of this paper are: alg-geom
0
The categories of this paper are: hep-ph
32
The categories of this paper are: atom-ph
18
The categories of this paper are: econ
6
The categories of this paper are: astro-ph
25
The categories of this paper are: patt-sol
29
The categories of this paper are: funct-an
24
The categories of this paper are: dg-ga
27
The categories of this paper are: comp-gas
9
The categories of this paper are: nlin
5
The categories of this paper are: gr-qc