Implementation of selected high-dimensional statistical and econometric methods for estimation and inference. Efficient estimators and uniformly valid confidence intervals for various low-dimensional causal/ structural parameters are provided which appear in high-dimensional approximately sparse models. Including functions for fitting heteroscedastic robust Lasso regressions with non-Gaussian errors and for instrumental variable (IV) and treatment effect estimation in a high-dimensional setting. Moreover, the methods enable valid post-selection inference and rely on a theoretically grounded, data-driven choice of the penalty. Chernozhukov, Hansen, Spindler (2016) <arXiv:1603.01700>.
- Permutation testing in high-dimensional linear models: an empirical investigation
- dmlalg
- A marriage matching function with flexible spillover and substitution patterns
- High-dimensional simultaneous inference with the bootstrap
- Statistical inference via conditional Bayesian posteriors in high-dimensional linear regression
- Regularized projection score estimation of treatment effects in high-dimensional quantile regression
- Combining data envelopment analysis and stochastic frontiers via a LASSO prior
- The costs and benefits of uniformly valid causal inference with high-dimensional nuisance parameters
- hdi
- CorrT
- ui
- GeneralisedCovarianceMeasure
- causalweight
- lassopack
- svmachines
- hdcate
- tsapp
- Regularizing double machine learning in partially linear endogenous models
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