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Chernozhukov, Victor; Hansen, Christian Bailey; … - 2016

. Efficient estimators and uniformly valid confidence intervals for regression coefficients on target variables (e.g., treatment … or policy variable) in a high-dimensional approximately sparse regression model, for average treatment effect (ATE) and … heteroscedastic and non-Gaussian errors are implemented. Moreover, joint/ simultaneous confidence intervals for regression …

Persistent link: https://www.econbiz.de/10011524715

Pre-event trends in the panel event-study design

Freyaldenhoven, Simon; Hansen, Christian Bailey; … - In: The American economic review 109 (2019) 9, pp. 3307-3338

Persistent link: https://www.econbiz.de/10012107126

Lasso for instrumental variable selection : a replication study

Spindler, Martin - In: Journal of applied econometrics 31 (2016) 2, pp. 450-454

Persistent link: https://www.econbiz.de/10011644350

Instrumental variables estimation with many weak instruments using regularized JIVE

Hansen, Christian Bailey; Kozbur, Damian - In: Journal of econometrics 182 (2014) 2, pp. 290-308

Persistent link: https://www.econbiz.de/10010497082

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2015 - This version: September 20, 2015

delta method, and (3) provide results for sparsity-based estimation of regression functions for function-valued outcomes. …

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

Inference in high dimensional panel models with an application to gun control

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2014 - This version is of November 24, 2014

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size. To make informative estimation and inference feasible,...

Persistent link: https://www.econbiz.de/10010459263

Inference in high-dimensional panel models with an application to gun control

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 590-605

Persistent link: https://www.econbiz.de/10011692431

Simultaneous confidence intervals for high-dimensional linear models with many endogenous variables

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2017 - Current Version: December 21, 2017

High-dimensional linear models with endogenous variables play an increasingly important role in recent econometric literature. In this work we allow for models with many endogenous variables and many instrument variables to achieve identification. Because of the high-dimensionality in the second...

Persistent link: https://www.econbiz.de/10011775296

Pre-event trends in the panel event-study design

Freyaldenhoven, Simon; Hansen, Christian Bailey; … - 2018

Persistent link: https://www.econbiz.de/10011862765

Iassopack : model selection and prediction with regularized regression in stata

Ahrens, Achim; Hansen, Christian Bailey; Schaffer, Mark E. - 2019

This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso …, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for the …

Persistent link: https://www.econbiz.de/10011972491