High dimensional problems in econometrics
Name
High dimensional problems in econometrics.pdf
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59.7 KB
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Checksum (MD5)
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Author(s)
Carrasco, Marine
Gonçalves, Silvia
Renault, Eric
Chernozhukov, Victor V
Date Issued
March 2015
Journal
Journal of Econometrics
Publisher
Elsevier
Citation
Carrasco, Marine et al.“High Dimensional Problems in Econometrics.” Journal of Econometrics 186, 2 (June 2015): 277–279 © 2015 Elsevier B.V.
Version
Author's final manuscript
Abstract
The technological innovations in information processing and the increased storage capability have made possible to collect very large data sets in various fields of economics and finance. Researchers, companies, and governments look for ways to exploit this rich information. This special issue collects 11 papers who present state-of-the-art techniques to deal with many predictors, many regressors or many instruments. It grew out of the CIREQ conference on high dimensional models in econometrics organized by Marine Carrasco and Sílvia Gonçalves in Montreal, Canada, on May 4–5, 2012.
MIT Department
Massachusetts Institute of Technology. Department of Economics
Terms of Use
Creative Commons Attribution-Noncommercial-NoDerivatives
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1016/J.JECONOM.2015.02.009
