STATISTICS COLLOQUIUM
Haim Bar, Associate Professor
Department of Statistics
University of Connecticut
Large-P Variable Selection in Two-Stage Models
Abstract
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 (either 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.
DATE: Wednesday, March 11, 2020
TIME: 4:00 pm
PLACE: Philip E. Austin Bldg., Rm. 344
Coffee will be served at 3:30 pm in the Noether Lounge (AUST 326)
For more information, contact: Tracy Burke at tracy.burke@uconn.edu