This repository hosts functions that generate the simulation results in "Estimation of Sparse Structural Parameters with Many Endogenous Variables" (2016), Econometric Reviews, 35(8-10): 1582-1608.
- master_DGP1.R is the master file.
- estimation.R is the main function for the estimation and the calculation of the summary statistics such as the MSE, squared-bias and variance. It also has many small functions to do the background work.
- DGP.R only contains functions that generate the data.