This article reviews the literature on sparse high-dimensional models and discusses some applications in economics and finance. Recent developments in theory, methods, and implementations in penalized least-squares and penalized likelihood methods are highlighted. These variable selection...

1. Cournot as economist : 200 years of relevance / Jean Magnan de Bornier -- 2. Cournot's probabilistic epistemology / Thierry Martin -- 3. The functions of economic models / Bernard Walliser -- 4. From Cournot's principle to market efficiency / Glenn Shafer -- 5. War and peace / Robert J....