Zhong, W., Gao, Y., Zhou, W., & Fan, Q. (2021). Endogenous treatment effect estimation using high-dimensional instruments and double selection. Statistics & Probability Letters, 169, 108967.

We propose a double selection instrumental variable estimator for the endogenous treat- ment effects using both high-dimensional control variables and instrumental variables. It deals with the endogeneity of the treatment variable and reduces omitted variable bias due to imperfect model selection.