High-Dimensional Econometrics and Regularized GMM
Christian Hansen and
Papers from arXiv.org
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.
Date: 2018-06, Revised 2018-06
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Working Paper: High-dimensional econometrics and regularized GMM (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1806.01888
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