High Dimensional Sparse Econometric Models: An Introduction
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Victor11-17.pdf
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273.9 KB
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Author(s)
Belloni, Alexandre
Chernozhukov, Victor
Date Issued
June 26, 2011
Publisher
Cambridge, MA: Department of Economics, Massachusetts Institute of Technology.
Series/Report no.
Working paper (Massachusetts Institute of Technology, Department of Economics);11-17
Abstract
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 frameworks, we discuss various econometric examples, present basic theoretical results, and illustrate the concepts and methods withMonte Carlo simulations and an empirical application. In the application, we examine and confirm the empirical validity of the Solow-Swan model for international economic growth.
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