Similar Search Results

L1-Penalised quantile regression in high-dimensional sparse models

Belloni, Alexandre; Chernozhukov, Victor - 2009

We consider median regression and, more generally, quantile regression in high-dimensional sparse models. In these models the overall number of regressors p is very large, possibly larger than the sample size n, but only s of these regressors have non-zero impact on the conditional quantile of...

Persistent link: https://www.econbiz.de/10003838974

Set identification with Tobin regressors

Chernozhukov, Victor; Rigobón, Roberto; Stoker, Thomas … - 2009

We give semiparametric identification and estimation results for econometric models with a regressor that is endogenous, bound censored and selected, called a Tobin regressor. First, we show that true parameter value is set identified and characterize the identification sets. Second, we propose...

Persistent link: https://www.econbiz.de/10003838979

Quantile and average effects in nonseparable panel models

Chernozhukov, Victor; Fernández-Val, Iván; Newey, … - 2009

This paper gives identification and estimation results for quantile and average effects in nonseparable panel models, when the distribution of period specific disturbances does not vary over time. Bounds are given for interesting effects with discrete regressors that are strictly exogenous or...

Persistent link: https://www.econbiz.de/10003899091

Quantile and probability curves without crossing

Chernozhukov, Victor (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003454059

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

Post-l1-penalized estimators in high-dimensional linear regression models

Belloni, Alexandre; Chernozhukov, Victor - 2010

In this paper we study post-penalized estimators which apply ordinary, unpenalized linear regression to the model selected by first-step penalized estimators, typically LASSO. It is well known that LASSO can estimate the regression function at nearly the oracle rate, and is thus hard to improve...

Persistent link: https://www.econbiz.de/10003989968

Rearranging Edgeworth-Cornish-Fisher expansions

Chernozhukov, Victor (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003519177

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; … - 2015 - This version: September 20, 2015

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,...

Persistent link: https://www.econbiz.de/10011337681

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