MIT Dept. of Economics Working Papers Series: Recent submissions

Now showing items 160-162 of 1293

    • High Dimensional Sparse Econometric Models: An Introduction 

      Belloni, Alexandre; Chernozhukov, Victor (Cambridge, MA: Department of Economics, Massachusetts Institute of Technology., 2011-06-26)
      In this chapter we discuss conceptually high dimensional sparse econometric models as well as estimation of these models using ℓ1-penalization and post-ℓ1-penalization methods. Focusing on linear and nonparametric regression ...

    • Square-Root Lasso: Pivotal Recovery of Sparse Signals via Conic Programming 

      Belloni, Alexandre; Chernozhukov, Victor; Wang, Lie (Cambridge, MA: Department of Economics; Massachusetts Institute of Technology, 2011-06-13)
      We propose a pivotal method for estimating high-dimensional sparse linear regression models, where the overall number of regressors p is large, possibly much larger than n, but only s regressors are significant. The method ...

    • Conditional Quantile Processes Based on Series or Many Regressors 

      Belloni, Alexandre; Chernozhukov, Victor; Fernandez-Val, Ivan (Cambridge, MA: Department of Economics; Massachusetts Institute of Technology, 2011-06-01)
      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 ...