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 |