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High Dimensional Sparse Econometric Models: An Introduction
Alexandre Belloni, Victor Chernozhukov
In this chapter we discuss conceptually high dimensional sparse econometric models as well as estimation of these models using L1-penalization and post-L1-penalization methods. Foc…
Conditional Quantile Processes based on Series or Many Regressors
Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov +1
Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its f…
Local Identification of Nonparametric and Semiparametric Models
Xiaohong Chen, Victor Chernozhukov, Sokbae Lee +1
In parametric, nonlinear structural models a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditi…
Pivotal estimation via square-root Lasso in nonparametric regression
Alexandre Belloni, Victor Chernozhukov, Lie Wang
We propose a self-tuning method that simultaneously resolves three important practical problems in high-dimensional regression analysis, namely it handles…