Inserting nonlinear machine learning predictions into the first stage of 2SLS can produce larger second-stage bias than endogenous OLS, while linear selection methods like post-Lasso and PCA perform safely.
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Machine learning the first stage in 2SLS: Practical guidance from bias decomposition and simulation
Inserting nonlinear machine learning predictions into the first stage of 2SLS can produce larger second-stage bias than endogenous OLS, while linear selection methods like post-Lasso and PCA perform safely.