Here we present an expository, general analysis of valid post-selection or post-regularization inference about a low-dimensional target parameter in the presence of a very high-dimensional nuisance parameter which is estimated using selection or regularization methods. Our analysis provides a...

The literature on treatment effects focuses on gross benefits from program participation. We extend this literature by developing conditions under which it is possible to identify parameters measuring the cost and net surplus from program participation. Using the generalized Roy model, we...

We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...

In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment,...