NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Summer Institute 2013 Econometric Methods for High-Dimensional Data

July 15-16, 2013
Lecturers: Victor Chernozhukov, Matthew Gentzkow, Christian Hansen, Jesse Shapiro, Matthew Taddy

Matthew Taddy, University of Chicago
Prediction with high-dimensional data (1)


Matthew Taddy, University of Chicago
Prediction with high-dimensional data (2)


Matthew Taddy, University of Chicago
Prediction with high-dimensional data (3)


Matthew Gentzkow, University of Chicago and NBER
Jesse Shapiro, University of Chicago and NBER
Applications: Using text as data


Victor Chernozhukov, Massachusetts Institute of Technology
Estimating treatment effects with high-dimensional data (1): Selecting instruments


Victor Chernozhukov, Massachusetts Institute of Technology
Estimating treatment effects with high-dimensional data (2): Selecting instruments


Christian Hansen, University of Chicago
Applications: Estimating treatment effects with high-dimensional data


Matthew Gentzkow, University of Chicago and NBER
Jesse Shapiro, University of Chicago and NBER
Nuts and bolts: Computing with large data



REFERENCES

Prediction:
Hastie, Trevor, Robert Tibshirani and Jerome Friedman. 2009. Elements of Statistical Learning: Data Mining, Inference and Prediction. Second Edition.

Text Mining:
Taddy, Matthew. 2013. “Multinomial Inverse Regression for Text Analysis.” Journal of the American Statistical Association, forthcoming.
Blei, David M., and John D. Lafferty. 2007. “A Correlated Topic Model of Science.” The Annals of Applied Statistics 1 (1) (June 1): 17–35.

Treatment Effects:
Alexandre Belloni, Victor Chernozhukov, Christian Hansen, () "Inference for High-Dimensional Sparse Econometric Models", Advances in Economics and Econometrics, 10th World Congress of Econometric Society, 2010
Belloni, Alexandre, Daniel Chen, Victor Chernozhukov and Christian Hansen. 2012. “Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain.” Econometrica 80(6): 2369-2430.
Belloni, Alexandre, Victor Chernozhukov and Christian Hansen. 2013. “Inference on treatment effects after selection amongst high-dimensional controls.” CEMMAP
Leeb, Hannes and Benedikt M. Pötscher. 2008. “Can one estimate the unconditional distribution of post-model-selection estimators?” Econometric Theory 24(2): 338–376.

Code and Data
Gentzkow, Matthew and Jesse Shapiro. 2013. Code and Data for the Social Sciences: A Practitioner’s Guide.

LINKS TO CODE FOR EXAMPLES USED IN LECTURES
Prediction:
Semiconductor Examples
Class on Factor Analysis
Data and Code
Penalized Regression Software

Treatment Effects (MIT)
Treatment Effects (Chicago)

 
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