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...

In this article the package High-dimensional Metrics (hdm) is introduced. It is a collection of statistical methods for estimation and quantification of uncertainty in high-dimensional approximately sparse models. It focuses on providing confidence intervals and significance testing for...

In this note, we offer an approach to estimating structural parameters in the presence of many instruments and controls based on methods for estimating sparse high-dimensional models. We use these high-dimensional methods to select both which instruments and which control variables to use. The...