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Program evaluation with high-dimensional data
Belloni, Alexandre; Chernozhukov, Victor; … - 2013
continuum of target parameters is of interest and the Lasso-type or post-Lasso type methods are used to estimate a continuum of … establish rate and consistency results for continua of Lasso or post-Lasso type methods for estimating continua of the (nuisance …
Persistent link: https://www.econbiz.de/10010227452
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Program evaluation with high-dimensional data
Belloni, Alexandre; Chernozhukov, Victor; … - 2015
In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment,...
Persistent link: https://www.econbiz.de/10011445754
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Program evaluation with high-dimensional data
Belloni, Alexandre; Chernozhukov, Victor; … - 2014
for a continuum of target parameters and for Lasso-type or Post-Lasso type methods to be used as estimators of a continuum … continua of Lasso or Post-Lasso type estimators for continua of (nuisance) regression functions and provide practical …
Persistent link: https://www.econbiz.de/10011282653
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Program evaluation with high-dimensional data
Belloni, Alexandre; Chernozhukov, Victor; … - 2015 - This version: September 20, 2015
In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment effects including local average (LATE) and local quantile treatment effects (LQTE) in data-rich environments. We can handle very many control variables, endogenous receipt of treatment,...
Persistent link: https://www.econbiz.de/10011337681
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Program evaluation with high-dimensional data
Belloni, Alexandre; Chernozhukov, Victor; … - 2014 - This version: August 8, 2014
for a continuum of target parameters and for Lasso-type or Post-Lasso type methods to be used as estimators of a continuum … continua of Lasso or Post-Lasso type estimators for continua of (nuisance) regression functions and provide practical …
Persistent link: https://www.econbiz.de/10010388633
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Program evaluation and causal inference with high-dimensional data
Belloni, Alexandre; Chernozhukov, Victor; … - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 233-298
Persistent link: https://www.econbiz.de/10011738490
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Sparse linear models and l1-regularized 2SLS with high-dimensional endogenous regressors and instruments
Zhu, Ying - In: Journal of econometrics 202 (2018) 2, pp. 196-213
Persistent link: https://www.econbiz.de/10011974561
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Sparse Linear Models and Two-Stage Estimation in High-Dimensional Settings with Possibly Many Endogenous Regressors
Zhu, Ying - Volkswirtschaftliche Fakultät, … - 2013
the instruments in the first-stage equations can grow with and exceed the sample size n. The analysis concerns the exact … obtains the fitted regressors from the first-stage regression by a least square estimator with l_1-regularization (the Lasso … or Dantzig selector) when the first-stage regression concerns a large number of instruments relative to n, and then …
Persistent link: https://www.econbiz.de/10011109953
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Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
high dimensional by construction and sparse by assumption, is estimated using the Lasso. We apply this method to the …
Persistent link: https://www.econbiz.de/10011288409
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Composite quantile regression for the single-index model
Fan, Yan; Härdle, Wolfgang Karl; Wang, Weining; Zhu, Lixing - 2013
Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a...
Persistent link: https://www.econbiz.de/10010330967