hdm

High-Dimensional Metrics

Victor Chernozhukov, Christian Hansen, Martin Spindler

Last update: 14 February 2024

Copyright license: MIT license, File License

Software version identifier: 0.3.1, 0.1.0, 0.2.0, 0.2.3, 0.3.2

Source code repository: https://github.com/cran/hdm

Description

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>.

Cites work

High-Dimensional Metrics in R

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