{
  "abstract": "Estimating an instrumental variables (IV) first stage with the least absolute shrinkage and selection operator (LASSO) requires choosing a dictionary and penalty. Existing rules target first-stage objectives, although these choices affect structural estimation. We derive a feasible approximate mean squared error (AMSE) criterion for full-sample IV-LASSO with one endogenous regressor and homoskedastic Gaussian errors. For a prespecified list of dictionary-penalty pairs, the criterion trades off approximation of the optimal instrument against a complexity cost that depends on the first two moments of the LASSO effective dimension and on the degree of endogeneity. The selected pair attains the smallest candidate-specific AMSE component up to vanishing relative error. In simulations calibrated to Paravisini et al. (2015), the criterion improves substantially on the plug-in rule at low endogeneity and on cross-validation at high endogeneity, with nearly identical results under non-Gaussian errors. A supplementary appendix formally extends analysis to a class of non-Gaussian errors.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2609.07033",
  "author_total": 3,
  "authors": [
    {
      "name": "Yukun Ma"
    },
    {
      "name": "Manu Navjeevan"
    },
    {
      "name": "Bogdan Salahub"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/c0r2mptbpjjh5.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2609.07033",
  "fulltext_url": null,
  "id": "c0r2mptbpjjh5",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2609.07033",
  "language": null,
  "licence": "CC-BY-4.0",
  "licence_label": "CC BY 4.0",
  "licence_source": "article",
  "licence_url": "http://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "econ.EM"
    ],
    [
      "arxiv",
      "stat.AP"
    ],
    [
      "openalex",
      "2613|Statistical Methods and Inference"
    ]
  ],
  "openalex": "W7211998643",
  "pdf_url": "https://arxiv.org/pdf/2609.07033",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-27",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/c0r2mptbpjjh5.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:36:41Z",
      "native_id": "2609.07033",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2609.07033"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:stat.AP",
      "subfield": "statistics"
    }
  ],
  "title": "Choosing the Dictionary and Penalty for IV-LASSO",
  "title_text": "Choosing the Dictionary and Penalty for IV-LASSO",
  "type": "preprint",
  "updated_at": "2026-11-01T12:21:00Z",
  "url": "https://research.draconitic.com/paper/c0r2mptbpjjh5",
  "venue": "arXiv",
  "versions": []
}