Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its functionals. In this paper we develop the nonparametric QR-series framework, covering many regressors as a special...

We study high-dimensional linear models with error-in-variables. Such models are motivated by various applications in econometrics, finance and genetics. These models are challenging because of the need to account for measurement errors to avoid non-vanishing biases in addition to handle the...

The R package quantreg.nonpar implements nonparametric quantile regression methods to estimate and make inference on partially linear quantile models. quantreg.nonpar obtains point estimates of the conditional quantile function and its derivatives based on series approximations to the...

This chapter presents key concepts and theoretical results for analyzing estimation and inference in high-dimensional models. High-dimensional models are characterized by having a number of unknown parameters that is not vanishingly small relative to the sample size. We first present results in...

The understanding of co-movements, dependence, and influence between variables of interest is key in many applications. Broadly speaking such understanding can lead to better predictions and decision making in many settings. We propose Quantile Graphical Models (QGMs) to characterize prediction...

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...

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,...

We develop uniformly valid confidence regions for regression coefficients in a highdimensional sparse median regression model with homoscedastic errors. Our methods are based on a moment equation that is immunized against non-regular estimation of the nuisance part of the median regression...

This work proposes new inference methods for the estimation of a regression coefficient of interest in quantile regression models. We consider high-dimensional models where the number of regressors potentially exceeds the sample size but a subset of them suffice to construct a reasonable...

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,...