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Sparse models and methods for optimal instruments with an application to eminent domain

Belloni, A.; Chen, D.; Chernozhukov, Victor; Hansen, … - 2010

sample size, n. We rigorously develop asymptotic distribution and inference theory for the resulting IV estimators and … functions which are of independent theoretical and practical interest. Specifically, we develop the asymptotic theory for these … innovatively using moderate deviation theory for self-normalized sums, we provide convergence rates for these estimators that are …

Persistent link: https://www.econbiz.de/10008695561

Inference for high-dimensional sparse econometric models

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2011

This article is about estimation and inference methods for high dimensional sparse (HDS) regression models in econometrics. High dimensional sparse models arise in situations where many regressors (or series terms) are available and the regression function is well-approximated by a parsimonious,...

Persistent link: https://www.econbiz.de/10009419335

Estimation of treatment effects with high-dimensional controls

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2011

We propose methods for inference on the average effect of a treatment on a scalar outcome in the presence of very many controls. Our setting is a partially linear regression model containing the treatment/policy variable and a large number p of controls or series terms, with p that is possibly...

Persistent link: https://www.econbiz.de/10009419338

Intersection bounds : estimation and inference

Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M. - 2012

bounds as a by-product of our inferential procedures. We develop theory for large sample inference based on the strong …

Persistent link: https://www.econbiz.de/10009668003

Intersection bounds : estimation and inference

Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M. - 2011

inferential procedures. We develop theory for large sample inference based on the strong approximation of a sequence of series or …

Persistent link: https://www.econbiz.de/10009375645

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2013

We consider estimation of policy relevant treatment effects in a data-rich environ ment where there may be many more control variables available than there are observations. In addition to allowing many control variables, the setting we consider allows heterogeneous treatment effects, endogenous...

Persistent link: https://www.econbiz.de/10010200037

Quantile models with endogeneity

Chernozhukov, Victor; Hansen, Christian Bailey - 2013

In this article, we review quantile models with endogeneity. We focus on models that achieve indentification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We discuss key conditions, which include monotonicity and...

Persistent link: https://www.econbiz.de/10009747939

Inference on counterfactual distributions

Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - 2013

as no-effect, positive effect, or stochastic dominance. Our theory applies to general counterfactual changes and covers …

Persistent link: https://www.econbiz.de/10009741375

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2013

In the first part of the paper, we consider estimation and inference on policy relevant treatment effects, such as local average and local quantile treatment effects, in a data-rich environment where there may be many more control variables available than there are observations. In addition to...

Persistent link: https://www.econbiz.de/10010227452

Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2013

We derive a Gaussian approximation result for the maximum of a sum of high dimensional random vectors. Specifically, we establish conditions under which the distribution of the maximum is approximated by that of the maximum of a sum of the Gaussian random vectors with the same covariance...

Persistent link: https://www.econbiz.de/10010227470