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Quantile graphical models : prediction and conditional independence with applications to systemic risk

Belloni, Alexandre; Chen, Mingli; Chernozhukov, Victor - 2017 - This version December 4, 2017

The understanding of co-movements, dependence, and influence between variables of interest is key in many applications. Broadly speaking such understanding can lead to better predictions and decision making in many settings. We propose Quantile Graphical Models (QGMs) to characterize prediction...

Persistent link: https://www.econbiz.de/10011775380

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 … the LASSO-based model selection fails” in the sense of missing some components of the true” regression model. By the true …

Persistent link: https://www.econbiz.de/10010288394

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 … case the ordinary quantile regression is not consistent, we consider quantile regression penalized by the L1-norm of … that applies ordinary quantile regression to the selected model. Fifth, we evaluate the performance of L1-QR in a Monte …

Persistent link: https://www.econbiz.de/10010288402

Inference on counterfactual distributions

Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - 2009

In this paper we develop procedures for performing inference in regression models about how potential policy … on, and our theory covers, all main regression approaches for modeling and estimating conditional distributions, focusing …

Persistent link: https://www.econbiz.de/10010288406

Set identification with Tobin regressors

Chernozhukov, Victor; Rigobon, Roberto; Stoker, Thomas M. - 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/10010288415

Improving point and interval estimates of monotone functions by rearrangement

Chernozhukov, Victor; Fernández-Val, Iván; Galichon, … - 2008

Suppose that a target function f0 : Rd - R is monotonic, namely weakly increasing, and an original estimate f of this target function is available, which is not weakly increasing. Many common estimation methods used in statistics produce such estimates f. We show that these estimates can always...

Persistent link: https://www.econbiz.de/10010288431