论文标题
两阶段模型中的大P变量选择
Large-P Variable Selection in Two-Stage Models
论文作者
论文摘要
在两个阶段模型的框架中讨论了大P小N场景中的模型选择。考虑了两个特定模型，即涉及仪器变量（IVS）和中介模型的两个阶段最小二乘（TSL）。在这两种情况下，推定变量（例如仪器或调解器）的数量很大，但是在两个阶段模型中只能包含一个小子集。我们使用两种用于高维设置的变量选择方法，并在找到真正的IV或介体的能力方面比较了它们的性能。通过模拟和案例研究来证明我们的方法。
Model selection in the large-P small-N scenario is discussed in the framework of two-stage models. Two specific models are considered, namely, two-stage least squares (TSLS) involving instrumental variables (IVs), and mediation models. In both cases, the number of putative variables (e.g. instruments or mediators) is large, but only a small subset should be included in the two-stage model. We use two variable selection methods which are designed for high-dimensional settings, and compare their performance in terms of their ability to find the true IVs or mediators. Our approach is demonstrated via simulations and case studies.
