hdm: High-dimensional metrics

Research, Preprint English OPEN
Chernozhukov, Victor; Hansen, Chris; Spindler, Martin;
(2016)
  • Publisher: London: Centre for Microdata Methods and Practice (cemmap)
  • Subject: Statistics - Machine Learning | Economics - Econometrics | Statistics - Methodology
    • ddc: ddc:330

In this article the package High-dimensional Metrics (\texttt{hdm}) is introduced. It is a collection of statistical methods for estimation and quantification of uncertainty in high-dimensional approximately sparse models. It focuses on providing confidence intervals an... View more
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