EconPapers    
Economics at your fingertips  
 

High-Dimensional Econometrics and Regularized GMM

Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov, Christian Hansen and Kengo Kato

Papers from arXiv.org

Abstract: 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 a framework where estimators of parameters of interest may be represented directly as approximate means. Within this context, we review fundamental results including high-dimensional central limit theorems, bootstrap approximation of high-dimensional limit distributions, and moderate deviation theory. We also review key concepts underlying inference when many parameters are of interest such as multiple testing with family-wise error rate or false discovery rate control. We then turn to a general high-dimensional minimum distance framework with a special focus on generalized method of moments problems where we present results for estimation and inference about model parameters. The presented results cover a wide array of econometric applications, and we discuss several leading special cases including high-dimensional linear regression and linear instrumental variables models to illustrate the general results.

New Economics Papers: this item is included in nep-ecm
Date: 2018-06, Revised 2018-06
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1806.01888 Latest version (application/pdf)

Related works:
Working Paper: High-dimensional econometrics and regularized GMM (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1806.01888

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2018-12-08
Handle: RePEc:arx:papers:1806.01888