Is completeness necessary? Estimation in nonidentified linear models
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Abstract (arXiv)
Modern data analysis depends increasingly on estimating models via flexible high-dimensional or nonparametric machine learning methods, where the identification of structural parameters is often challenging and untestable. In linear settings, this identification hinges on the completeness condition, which requires the nonsingularity of a high-dimensional matrix or operator and may fail for finite samples or even at the population level. Regularized estimators provide a solution by enabling consistent estimation of structural or average structural functions, sometimes even under identification failure. We show that the asymptotic distribution in these cases can be nonstandard. We develop a comprehensive theory of regularized estimators, which include methods such as high-dimensional ridge regularization, gradient descent, and principal component analysis (PCA). The results are illustrated for high-dimensional and nonparametric instrumental variable regressions and are supported through simulation experiments.
Key facts. Cited by 6 papers in the map (data through 7 Oct 2026). First posted on arXiv 11 Sep 2017.
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Citing papers per year: 2022: 1; 2023: 2; 2024: 3.
6 papers.
- 2023Minimax Instrumental Variable Regression and L2 Convergence Guarantees without Identification or Closednesscited by 13
- 2022Inference on Strongly Identified Functionals of Weakly Identified Functionscited by 12
- 2024Nonparametric Instrumental Regression via Kernel Methods is Minimax Optimalcited by 7
- 2024Stochastic Optimization Algorithms for Instrumental Variable Regression with Streaming Datacited by 4
- 2023Econometrics of Machine Learning Methods in Economic Forecastingcited by 1
- 2024Functional Partial Least-Squares: Adaptive Estimation and Inferencecited by 0
- 2024Nonparametric Instrumental Regression via Kernel Methods is Minimax Optimal29 Nov 2024
- 2024Stochastic Optimization Algorithms for Instrumental Variable Regression with Streaming Data29 May 2024
- 2024Functional Partial Least-Squares: Adaptive Estimation and Inference16 Feb 2024
- 2023Econometrics of Machine Learning Methods in Economic Forecasting21 Aug 2023
- 2023Minimax Instrumental Variable Regression and L2 Convergence Guarantees without Identification or Closedness10 Feb 2023
- 2022Inference on Strongly Identified Functionals of Weakly Identified Functions17 Aug 2022