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High dimensionality, approximate factor model, unknown factors, principal components, sparse matrix, low-rank matrix, thresholding, cross-sectional correlation

sparse estimation, thresholding, cross-sectional correlation, common factors, idiosyncratic, seemingly unrelated regression

Focused GMM, Sparsity recovery, Endogenous variables, Oracle property, Conditional moment restriction, Estimating equation, Over identification, Global minimization, Semi-parametric efficiency

classification, consistency, partial identification, moment condition, EL-posterior

High dimensionality, unknown factors, principal components, sparse matrix, conditional sparse, thresholding, cross-sectional correlation, penalized maximum likelihood, adaptive lasso, heteroskedasticity

Identified Region, Limited Information Likelihood, Sieve Approximation, Nonparametric Instrumental Variable, Ill-Posed Problem, Partial Identification, Bayesian Inference

partial identification, posterior consistency, concentration rate, support function, two-sided Bayesian credible sets, identified set, coverage probability, moment inequality models

Identified region, limited information likelihood, consistent set estimation, maximum posterior, model and moment selection