High-dimensional econometrics and regularized GMM
This chapter presents key concepts and theoretical results for analyzing estimation and inference in high-dimensional models. High-dimensional models are characterized by having a number of unknown parameters that is not vanishingly small relative to the sample size. We first present results in a framework where estimators of parameters of interest may be represented directly as approximate means. Within this context, we review fundamental results including high-dimensional central limit theorems, bootstrap approximation of high-dimensional limit distributions, and moderate deviation theory. We also review key concepts underlying inference when many parameters are of interest such as multiple testing with family-wise error rate or false discovery rate control. We then turn to a general high-dimensional minimum distance framework with a special focus on generalized method of moments problems where we present results for estimation and inference about model parameters. The presented results cover a wide array of econometric applications, and we discuss several leading special cases including high-dimensional linear regression and linear instrumental variables models to illustrate the general results.
Year of publication: |
2018
|
---|---|
Authors: | Belloni, Alexandre ; Chernozhukov, Victor ; Chetverikov, Denis ; Hansen, Christian Bailey ; Kato, Kengo |
Publisher: |
London : Centre for Microdata Methods and Practice (cemmap) |
Saved in:
freely available
Series: | cemmap working paper ; CWP35/18 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.1920/wp.cem.2018.3518 [DOI] 1025405471 [GVK] hdl:10419/189751 [Handle] RePEc:ifs:cemmap:35/18 [RePEc] |
Source: |
Persistent link: https://www.econbiz.de/10011941486
Saved in favorites
Similar items by person
-
High-dimensional econometrics and regularized GMM
Belloni, Alexandre, (2018)
-
On the asymptotic theory for least squares series: Pointwise and uniform results
Belloni, Alexandre, (2013)
-
Some new asymptotic theory for least squares series : pointwise and uniform results
Belloni, Alexandre, (2015)
- More ...