Two Stage Hard Thresholding

  • Code in R is available here.
  • Description: This code implents Two Stage Hard Thresholding (TSHT) proposed in Guo, Kang, Cai and Small (2016) . TSHT is used to select valid instruments from a set of potential instruments and to construct confidence intervals for the treatment effect in the presence of invalid instruments and high-dimensional instruments and/or covariates.