Algorithm 1. Coordinate descent for the 2SR estimator

Initialize: β, Γ ← 0 or warm starts, λ1, …, λp, μ > 0

for j = 1, …, p do

while γj not convergent do

for i = 1, …, q do

γij ← S(γ̃ij; λj)

Γ̂ ← (γ1, …, γp), X̂ ← ZΓ̂

while β not convergent do

for j = 1, …, p do

βj ← S(β̃j, μ)

β̂ ← β