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stat.ME2011★ 59 cited
Inference for High-Dimensional Sparse Econometric Models
Alexandre Belloni, Victor Chernozhukov, Christian Hansen
This article is about estimation and inference methods for high dimensional sparse (HDS) regression models in econometrics. High dimensional sparse models arise in situations where…
stat.ME2010★ 34 cited
LASSO Methods for Gaussian Instrumental Variables Models
Alexandre Belloni, Victor Chernozhukov, Christian Hansen
In this note, we propose to use sparse methods (e.g. LASSO, Post-LASSO, sqrt-LASSO, and Post-sqrt-LASSO) to form first-stage predictions and estimate optimal instruments in linear…