High Dimensional Sparse Econometric Models: An Introduction
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. Focusing on linear and nonparametric regression frameworks, we discuss various econometric examples, present basic theoreti...
| Main Authors: | , |
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| Format: | Working Paper |
| Language: | en_US |
| Published: |
Cambridge, MA: Department of Economics, Massachusetts Institute of Technology.
2011
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| Online Access: | http://hdl.handle.net/1721.1/65147 |
| Summary: | 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. Focusing on linear and nonparametric regression frameworks, we discuss various econometric examples, present basic theoretical results, and illustrate the concepts and methods withMonte Carlo simulations and an empirical application. In the application, we examine and confirm the empirical validity of the Solow-Swan model for international economic growth. |
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