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...

Heterogeneous effects are prevalent in many economic settings. As the functional form between outcomes and regressors is generally unknown a priori, a semiparametric negative binomial count data model is proposed which is based on the local likelihood approach and generalized product kernels....

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...