High Dimensional Sparse Econometric Models: An Introduction
arXiv: (Submitted on 26 Jun 2011 (v1), last revised 2 Sep 2011 (this version, v2))
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Springer Science + Business Media B.V.
2012
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| Online Access: | http://hdl.handle.net/1721.1/73908 https://orcid.org/0000-0002-3250-6714 |
| _version_ | 1826212744612806656 |
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| author | Belloni, Alexandre Chernozhukov, Victor V. |
| author2 | Massachusetts Institute of Technology. Department of Economics |
| author_facet | Massachusetts Institute of Technology. Department of Economics Belloni, Alexandre Chernozhukov, Victor V. |
| author_sort | Belloni, Alexandre |
| collection | MIT |
| description | arXiv: (Submitted on 26 Jun 2011 (v1), last revised 2 Sep 2011 (this version, v2)) |
| first_indexed | 2024-09-23T15:37:07Z |
| format | Article |
| id | mit-1721.1/73908 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T15:37:07Z |
| publishDate | 2012 |
| publisher | Springer Science + Business Media B.V. |
| record_format | dspace |
| spelling | mit-1721.1/739082022-10-02T02:57:30Z High Dimensional Sparse Econometric Models: An Introduction Belloni, Alexandre Chernozhukov, Victor V. Massachusetts Institute of Technology. Department of Economics Chernozhukov, Victor V. Chernozhukov, Victor V. arXiv: (Submitted on 26 Jun 2011 (v1), last revised 2 Sep 2011 (this version, v2)) 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. 2012-10-11T20:55:08Z 2012-10-11T20:55:08Z 2011 Article http://purl.org/eprint/type/BookItem 9783642199899 3642199895 978-3-642-19988-2 http://hdl.handle.net/1721.1/73908 Belloni, Alexandre and Victor Chernozhukov. "High Dimensional Sparse Econometric Models: An Introduction." Chapter 3 in Inverse Problems and High-Dimensional Estimation. Pierre Alquier, Eric Gautier, Gilles Stoltz, editors. (Lecture Notes in Statistics Volume 203), 2011, pp 121-156. © Springer-Verlag Berlin Heidelberg 2011. https://orcid.org/0000-0002-3250-6714 en_US http://rd.springer.com/chapter/10.1007/978-3-642-19989-9_3 Inverse Problems and High-Dimensional Estimation Creative Commons Attribution-Noncommercial-Share Alike 3.0 http://creativecommons.org/licenses/by-nc-sa/3.0/ application/pdf Springer Science + Business Media B.V. arXiv |
| spellingShingle | Belloni, Alexandre Chernozhukov, Victor V. 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/1721.1/73908 https://orcid.org/0000-0002-3250-6714 |
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