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 |
| _version_ | 1826217092545773568 |
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| author | Belloni, Alexandre Chernozhukov, Victor |
| author_facet | Belloni, Alexandre Chernozhukov, Victor |
| author_sort | Belloni, Alexandre |
| collection | MIT |
| description | 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. |
| first_indexed | 2024-09-23T16:57:54Z |
| format | Working Paper |
| id | mit-1721.1/65147 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T16:57:54Z |
| publishDate | 2011 |
| publisher | Cambridge, MA: Department of Economics, Massachusetts Institute of Technology. |
| record_format | dspace |
| spelling | mit-1721.1/651472019-04-11T09:14:44Z High Dimensional Sparse Econometric Models: An Introduction Belloni, Alexandre Chernozhukov, Victor 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. 2011-08-15T17:54:56Z 2011-08-15T17:54:56Z 2011-06-26 Working Paper http://hdl.handle.net/1721.1/65147 en_US Working paper (Massachusetts Institute of Technology, Department of Economics);11-17 An error occurred on the license name. An error occurred getting the license - uri. application/pdf Cambridge, MA: Department of Economics, Massachusetts Institute of Technology. |
| spellingShingle | Belloni, Alexandre Chernozhukov, Victor High Dimensional Sparse Econometric Models: An Introduction |
| title | High Dimensional Sparse Econometric Models: An Introduction |
| title_full | High Dimensional Sparse Econometric Models: An Introduction |
| title_fullStr | High Dimensional Sparse Econometric Models: An Introduction |
| title_full_unstemmed | High Dimensional Sparse Econometric Models: An Introduction |
| title_short | High Dimensional Sparse Econometric Models: An Introduction |
| title_sort | high dimensional sparse econometric models an introduction |
| url | http://hdl.handle.net/1721.1/65147 |
| work_keys_str_mv | AT bellonialexandre highdimensionalsparseeconometricmodelsanintroduction AT chernozhukovvictor highdimensionalsparseeconometricmodelsanintroduction |