69 citations · 92 across the 4 of their papers we have counts for
5 papers
ddml: Double/debiased machine learning in Stata
Achim Ahrens, Christian B. Hansen, Mark E. Schaffer +1
We introduce the package ddml for Double/Debiased Machine Learning (DDML) in Stata. Estimators of causal parameters for five different econometric models are supported, allowing fo…
lassopack: Model selection and prediction with regularized regression in Stata
Achim Ahrens, Christian B. Hansen, Mark E. Schaffer
This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso, square-root lasso, elastic net, ridge regression, adaptive l…
Inference for Heterogeneous Effects using Low-Rank Estimation of Factor Slopes
Victor Chernozhukov, Christian Hansen, Yuan Liao +1
We study a panel data model with general heterogeneous effects where slopes are allowed to vary across both individuals and over time. The key dimension reduction assumption we emp…
A lava attack on the recovery of sums of dense and sparse signals
Victor Chernozhukov, Christian Hansen, Yuan Liao
Common high-dimensional methods for prediction rely on having either a sparse signal model, a model in which most parameters are zero and there are a small number of non-zero param…
Quantile Models with Endogeneity
Victor Chernozhukov, Christian Hansen
In this article, we review quantile models with endogeneity. We focus on models that achieve identification through the use of instrumental variables and discuss conditions under w…