NATIONAL BUREAU OF ECONOMIC RESEARCH, INC. |
SI 2013 Econometrics Lectures: Econometric Methods for High-Dimensional Data |
Victor Chernozhukov, Matthew Gentzkow, Christian Hansen, Jesse Shapiro, Matthew Taddy |
July 15-16, 2013 |
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Hotel Marlowe |
25 Edwin H. Land Boulevard |
Cambridge, Massachusetts |
PROGRAM
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8:15 am |
Coffee and pastries |
10:15 am |
Break |
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12:15 pm |
Lunch |
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2:45 pm |
Matthew Gentzkow, University of
Chicago and NBER |
4:45 pm |
Adjourn |
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Tuesday, July
16: |
|
8:15 am |
Coffee and pastries |
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10:30 am |
Victor Chernozhukov,
Massachusetts Institute of Technology |
12:00 pm |
Lunch |
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5:15 pm |
Adjourn |
REFERENCES
Prediction:
Hastie, Trevor, Robert Tibshirani and Jerome
Friedman. 2009. Elements of Statistical
Learning: Data Mining, Inference and Prediction. Second Edition. http://www-stat.stanford.edu/~tibs/ElemStatLearn/
Text Mining:
Taddy, Matthew. 2013. “Multinomial Inverse Regression
for Text Analysis.” Journal of the
American Statistical Association, forthcoming. http://arxiv.org/abs/1012.2098
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. http://www.jstor.org/stable/4537420
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 (http://arxiv.org/pdf/1201.0220v1.pdf)
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. http://onlinelibrary.wiley.com/doi/10.3982/ECTA9626/pdf
Belloni, Alexandre, Victor Chernozhukov and Christian Hansen. 2013. “Inference on
treatment effects after selection amongst high-dimensional controls.” CEMMAP, http://www.cemmap.ac.uk/wps/cwp261313.pdf
Leeb, Hannes and Benedikt M. Pötscher. 2008. “Can one estimate the unconditional
distribution of post-model-selection estimators?” Econometric Theory 24(2): 338–376. http://dx.doi.org/10.1017/S0266466608080158
Code
and Data
Gentzkow, Matthew and Jesse Shapiro. 2013. Code and
Data for the Social Sciences: A Practitioner’s Guide. http://faculty.chicagobooth.edu/jesse.shapiro/research/CodeAndData.pdf
LINKS TO CODE FOR EXAMPLES USED IN
LECTURES
Prediction
semiconductor examples: http://faculty.chicagobooth.edu/matt.taddy/teaching/scripts/semiconductors.R
class on factor analysis: http://faculty.chicagobooth.edu/matt.taddy/teaching/scripts/07Factors.R
In general, all data and code is on my teaching page: http://faculty.chicagobooth.edu/matt.taddy/teaching
And the penalized regression software is here: http://www.cran.r-project.org/web/packages/gamlr
Treatment Effects
http://www.mit.edu/~vchern/#veryhigh
http://faculty.chicagobooth.edu/christian.hansen/research/#Code