高维数据计量经济学是什么? 未来研究大趋势

凡是搞计量经济的，都关注这个号了

邮箱：econometrics666@sina.cn

所有计量经济圈方法论丛的code程序, 宏微观数据库和各种软件都放在社群里.欢迎到计量经济圈社群交流访问.

下面四位做高维数据计量经济学研究的大咖，在2013年的NBER暑期学校讲解与高维数据相关的计量经济学内容。

长按以上二维码可以听讲座

参考读物

Prediction:
Hastie, Trevor, Robert Tibshirani and Jerome Friedman. 2009. Elements of Statistical Learning: Data Mining, Inference and Prediction. Second Edition. 

Text Mining:
Taddy, Matthew. 2013. “Multinomial Inverse Regression for Text Analysis.” Journal of the American Statistical Association, forthcoming.

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. 

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

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. 

Belloni, Alexandre, Victor Chernozhukov and Christian Hansen. 2013. “Inference on treatment effects after selection amongst high-dimensional controls.” CEMMAP

Leeb, Hannes and Benedikt M. Pötscher. 2008. “Can one estimate the unconditional distribution of post-model-selection estimators?” Econometric Theory 24(2): 338–376. 

下面这些短链接文章属于合集，可以收藏起来阅读，不然以后都找不到了。