cemmap masterclass: High dimensional econometric modelling (Victor
Chernozhukov)
14 - 15 April 2011
Venue: G2 Lecture Theatre, SOAS (main building), School of Oriental and
African Studies, Thornhaugh Street, Russell Square, London WC1H 0XG
Description:
In this short course I will overview estimation and inference in
regression models of increasing parameter dimension, meaning that the
parameter dimension K grows with the sample size N. In the first part, I
will discuss basic and new results on least squares, quantile regression
processes, generalized method-of-moments, and Bayes-type estimators
under the condition that K/N tends to zero, including functional central
limit theorems, strong approximations, and uniform inference. I will
illustrate these results with econometric applications, such as
inference on intersections bounds, inference under shape constraints,
and instrumental regression. In the second part, I will discuss basic
and new results on L1 penalized least squares, quantile regression
processes, and m-estimators under the condition that K/N tends to
infinity. I will illustrate these results with econometric applications,
including instrument selection and growth regressions.
Full details: http://www.cemmap.ac.uk/masterclasses.php?event_id=559
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+44 (0) 20 7291 4818
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