Summer Institute 2013 Econometric Methods
Victor Chernozhukov, Matthew Gentzkow, Christian Hansen, Jesse Shapiro, Matthew Taddy, Organizers
Complete Index of Summer Institute Econometric Lectures
Prediction with high-dimensional data (1)
Prediction with high-dimensional data (2)
Prediction with high-dimensional data (3)
Using text as data
Estimating treatment effects with high-dimensional data (1):
Estimating treatment effects with high-dimensional data (2):
Estimating treatment effects with high-dimensional data
Nuts and bolts: Computing with large data
Hastie, Trevor, Robert Tibshirani and Jerome Friedman. 2009. Elements of Statistical Learning: Data Mining, Inference and Prediction. Second Edition.
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): 1735.
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): 338376.
Code and Data
Gentzkow, Matthew and Jesse Shapiro. 2013. Code and Data for the Social Sciences: A Practitioners Guide.
LINKS TO CODE FOR EXAMPLES USED IN LECTURES
Class on Factor Analysis
Data and Code
Penalized Regression Software
Treatment Effects (MIT)
Treatment Effects (Chicago)