Sullivan Hué, Sébastien Laurent, Ulrich Aiounou, Emmanuel Flachaire
arXiv 26 Nov 2025 · Econometrics
arXiv:2511.21257 · PDF · DOI · OpenAlex · Extracted main text
Post-Double-Lasso is becoming the most popular method for estimating linear regression models with many covariates when the purpose is to obtain an accurate estimate of a parameter of interest, such as an average treatment effect. However, this method can suffer from substantial omitted variable bias in finite sample. We propose a new method called Post-Double-Autometrics, which is based on Autometrics, and show that this method outperforms Post-Double-Lasso. Its use in a standard application of economic growth sheds new light on the hypothesis of convergence from poor to rich economies.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Wüthrich, K. and Y. Zhu (2023) Omitted variable bias of Lasso-based inference methods: A finite sample analysis | 0.928 | 4 | 3 | 100% |
| 2 | Belloni, A. and V. Chernozhukov (2011) L1-penalized quantile regression in high-dimensional sparse models | 0.811 | 4 | 2 | 100% |
| 3 | Belloni, A., V. Chernozhukov, and C. Hansen (2013) Inference for high-dimensional sparse econometric models | 0.737 | 3 | 2 | 100% |
| 4 | Hendry, D. F. and J. A. Doornik (2014) Empirical model discovery and theory evaluation: automatic selection methods in econometrics | 0.737 | 3 | 2 | 100% |
| 5 | Belloni, A., V. Chernozhukov, and C. Hansen (2014) Inference on treatment effects after selection among high-dimensional controls | 0.737 | 3 | 2 | 100% |
| 6 | Doornik, J. A (2009) Autometrics | 0.737 | 3 | 2 | 100% |
| 7 | Barro, R. J. and J.-W. Lee (1994) Data set for a panel of 138 countries | 0.644 | 2 | 2 | 100% |
| 8 | Hendry, D. F (1980) Econometrics: alchemy or science? | 0.644 | 2 | 2 | 100% |
| 9 | Barro, R. and X. Sala-i Martin (1995) Economic Growth | 0.511 | 2 | 1 | 100% |
| 10 | Hendry, D. F. and S. Johansen (2011) The properties of model selection when retaining theory variables | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 33 scored citations.