Victor Chernozhukov

Massachusetts Institute of Technology (MIT) - Department of Economics

Professor of Economics

50 Memorial Drive

Room E52-262f

Cambridge, MA 02142

United States

http://www.mit.edu/~vchern/

  • Massachusetts Institute of Technology (MIT) - Department of Economics

    • Email
    • Tel: 617-253-4767
    • Fax: 617-253-1330
SCHOLARLY PAPERS

54

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Scholarly Papers (54)

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1.

Conditional Value-at-Risk: Aspects of Modeling and Estimation

Number of pages: 28 Posted: 07 Jun 2001
Victor Chernozhukov and Len Umantsev
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Department of Management Science & Engineering
Downloads 3,248 (8,145)
Citation 10

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Conditional Quantiles, Quantile Regression, Extreme Quantiles, Extreme Value Theory, Extreme Risk

2.

An MCMC Approach to Classical Estimation

Number of pages: 55 Posted: 15 Jul 2003
Victor Chernozhukov and Han Hong
Massachusetts Institute of Technology (MIT) - Department of Economics and Independent
Downloads 2,236 (14,740)
Citation 133

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Laplace, Bayes, Markov Chain Monte Carlo, GMM, Instrumental Regression, Censored Quantile Regression, Instrumental Quantile Regression, Empirical Likelihood, Value-at-Risk

3.

Extremal Quantiles and Value-at-Risk

MIT Department of Economics Working Paper No. 07-01
Number of pages: 19 Posted: 12 Jan 2007
Victor Chernozhukov and Songzi Du
Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 1,469 (28,397)
Citation 11

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Extremes, Quantiles, Regression, Value-at-risk, Extremal Bootstrap

4.

Using Double-Lasso Regression for Principled Variable Selection

Number of pages: 70 Posted: 18 Feb 2016
Oleg Urminsky, Christian Hansen and Victor Chernozhukov
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business - Econometrics and Statistics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 1,330 (32,872)
Citation 8

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research methods, covariate, regression, variable selection, confound, omitted variable bias

5.

The Reduced Form: A Simple Approach to Inference with Weak Instruments

Number of pages: 36 Posted: 17 Oct 2006
Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 874 (59,776)
Citation 37

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6.

Inference on Quantile Regression Process, an Alternative

Number of pages: 19 Posted: 19 Mar 2002
Victor Chernozhukov
Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 699 (80,368)
Citation 9

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bootstrap, subsampling, quantile regression, quantile regression process, Kolmogorov-Smirnov test, unemployment duration

7.

Finite Sample Inference for Quantile Regression Models

MIT Department of Economics Working Paper No. 06-03
Number of pages: 39 Posted: 03 Feb 2006
Victor Chernozhukov, Christian Hansen and Michael Jansson
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and University of California, Berkeley - Department of Economics
Downloads 676 (83,873)
Citation 2

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Quantile Regression, Extremal Quantile Regression, Instrumental Quantile Regression

8.

Quantile Regression Under Misspecification, with an Application to the U.S. Wage Structure

Downloads 596 (98,486)
Citation 17

Quantile Regression Under Misspecification, with an Application to the U.S. Wage Structure

Number of pages: 55 Posted: 20 May 2004
Joshua D. Angrist, Victor Chernozhukov and Iván Fernández‐Val
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Boston University - Department of Economics
Downloads 505 (119,580)

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residual inequality, income distribution, conditional quantiles

Quantile Regression Under Misspecification, with an Application to the U.S. Wage Structure

NBER Working Paper No. w10428
Number of pages: 54 Posted: 26 Apr 2004 Last Revised: 31 Dec 2022
Joshua D. Angrist, Victor Chernozhukov and Iván Fernández‐Val
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Boston University - Department of Economics
Downloads 91 (618,288)
Citation 17

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9.

Single Market Nonparametric Identification of Multi-Attribute Hedonic Equilibrium Models

Number of pages: 28 Posted: 09 Feb 2014 Last Revised: 27 Jan 2015
Victor Chernozhukov, Alfred Galichon, Marc Henry and Brendan Pass
Massachusetts Institute of Technology (MIT) - Department of Economics, NYU, Department of Economics and Courant Institute, Pennsylvania State University and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 585 (100,910)
Citation 4

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Hedonic equilibrium, nonparametric identification, multidimensional unobserved heterogeneity, optimal transport

10.

Learning and Disagreement in an Uncertain World

Downloads 585 (100,910)
Citation 3

Learning and Disagreement in an Uncertain World

MIT Department of Economics Working Paper No. 06-28
Number of pages: 53 Posted: 21 Oct 2006
Daron Acemoglu, Victor Chernozhukov and Muhamet Yildiz
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 452 (136,896)
Citation 1

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asymptotic disagreement, Bayesian learning, merging of opinions

Learning and Disagreement in an Uncertain World

NBER Working Paper No. w12648
Number of pages: 53 Posted: 20 Nov 2006 Last Revised: 23 Jan 2022
Daron Acemoglu, Victor Chernozhukov and Muhamet Yildiz
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 133 (465,162)
Citation 2

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11.

Conditional Extremes and Near-Extremes

MIT Dept. of Economics Working Paper No. 01-21
Number of pages: 46 Posted: 08 Jun 2001
Victor Chernozhukov
Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 526 (115,279)
Citation 9

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Quantile regression, extreme value theory, tail analysis, (S,s) models, auctions, price search, Extreme Risk

12.

Likelihood Inference in a Class of Nonregular Econometric Models

Number of pages: 42 Posted: 22 Feb 2002
Victor Chernozhukov and Han Hong
Massachusetts Institute of Technology (MIT) - Department of Economics and Independent
Downloads 525 (115,551)
Citation 4

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Extreme Value Theory, Structural Econometric Model, Auctions, Job Search, Highway Procurement Auction, Likelihood, Point Process, Stochastic Equisemicontinuity

13.

Inference on Counterfactual Distributions

MIT Department of Economics Working Paper No. 08-16
Number of pages: 70 Posted: 26 Aug 2008 Last Revised: 08 Apr 2009
Victor Chernozhukov, Iván Fernández‐Val and Blaise Melly
Massachusetts Institute of Technology (MIT) - Department of Economics, Boston University - Department of Economics and Brown University - Department of Economics
Downloads 515 (118,321)
Citation 73

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Policy effects, counterfactual distribution, quantile regression, duration regression, distribution regression

14.

Instrumental Variable Quantile Regression

MIT Department of Economics Working Paper No. 06-19
Number of pages: 31 Posted: 19 Jun 2006
Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 425 (148,723)
Citation 12

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Set estimator, contour sets, moment inequalities, moment equalities

15.

LASSO-Driven Inference in Time and Space

Number of pages: 76 Posted: 15 Jun 2018 Last Revised: 15 May 2020
Victor Chernozhukov, Wolfgang Karl Härdle, Chen Huang, Weining Wang and Weining Wang
Massachusetts Institute of Technology (MIT) - Department of Economics, Blockchain Research Center Humboldt-Universität zu Berlin, Aarhus University - Department of Economics and Business Economics and University of Yorkaffiliation not provided to SSRN
Downloads 396 (161,228)
Citation 20

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LASSO, Time Series, Simultaneous Inference, System of Equations, Z-estimation, Bahadur Representation, Martingale Decomposition

16.

Lasso Methods for Gaussian Instrumental Variables Models

MIT Department of Economics Working Paper No. 11-14
Number of pages: 35 Posted: 12 Aug 2011
Alexandre Belloni, Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Operations Research Center, Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 380 (168,831)
Citation 21

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17.

Fragility of Asymptotic Agreement Under Bayesian Learning

MIT Department of Economics Working Paper No. 08-09
Number of pages: 44 Posted: 27 Mar 2008 Last Revised: 28 Aug 2008
Daron Acemoglu, Victor Chernozhukov and Muhamet Yildiz
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 373 (172,885)
Citation 70

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asymptotic disagreement, Bayesian learning, merging of opinions

18.

Simple 3-Step Censored Quantile Regression and Extramarital Affairs

Number of pages: 30 Posted: 13 Jun 2001
Victor Chernozhukov and Han Hong
Massachusetts Institute of Technology (MIT) - Department of Economics and Independent
Downloads 367 (175,545)
Citation 19

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Quantile regression, median regression, censoring, duration, survival, classification, discriminant analysis

19.

Inference for Distributional Effects Using Instrumental Quantile Regression

Number of pages: 38 Posted: 24 May 2002
Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 354 (182,702)

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Quantile Regression, Instrumental Quantile Regression, Treatment Effects, Endogeneity, Stochastic Dominance, Hausman Test, Supply-Demand Equations, Returns to Education

20.

Rearranging Edgeworth-Cornish-Fisher Expansions

Economic Theory, Vol. 42, No. 2, pp. 419-435, 2010, MIT Department of Economics Working Paper No. 07-20
Number of pages: 23 Posted: 15 Aug 2007 Last Revised: 09 Apr 2011
Victor Chernozhukov, Iván Fernández‐Val and Alfred Galichon
Massachusetts Institute of Technology (MIT) - Department of Economics, Boston University - Department of Economics and NYU, Department of Economics and Courant Institute
Downloads 275 (239,229)
Citation 1

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Edgeworth expansion, Cornish-Fisher expansion, rearrangement

21.

Inference on Treatment Effects after Selection Amongst High-Dimensional Controls

MIT Department of Economics Working Paper No. 12-13
Number of pages: 67 Posted: 05 May 2012
Alexandre Belloni, Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Operations Research Center, Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 274 (240,125)
Citation 109

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treatment effects, partially linear model, high-dimensional-sparse regression, inference under imperfect model selection, uniformly valid inference after model selection

22.

Least Squares After Model Selection in High-Dimensional Sparse Models

MIT Department of Economics Working Paper No. 10-5
Number of pages: 36 Posted: 04 Apr 2010 Last Revised: 18 Aug 2011
Alexandre Belloni and Victor Chernozhukov
Massachusetts Institute of Technology (MIT) - Operations Research Center and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 264 (249,309)
Citation 101

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lasso, ols post lasso, post-model-selection estimators

23.

Nonparametric Instrumental Variable Estimators of Structural Quantile Effects

Swiss Finance Institute Research Paper No. 08-03
Number of pages: 32 Posted: 04 Feb 2008 Last Revised: 23 Feb 2018
Victor Chernozhukov, O. Scaillet and Patrick Gagliardini
Massachusetts Institute of Technology (MIT) - Department of Economics, Swiss Finance Institute - University of Geneva and University of Lugano
Downloads 250 (263,335)
Citation 8

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Nonparametric Quantile Regression, Instrumental Variable, Ill-Posed Inverse Problems, Tikhonov Regularization, Nonlinear Pricing Curve.

24.

L1-Penalized Quantile Regression in High Dimensional Sparse Models

MIT Department of Economics Working Paper No. 09-11
Number of pages: 61 Posted: 30 Apr 2009
Victor Chernozhukov and Alexandre Belloni
Massachusetts Institute of Technology (MIT) - Department of Economics and Duke University - Fuqua School of Business
Downloads 241 (273,080)
Citation 20

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median regression, quantile regression, sparse models

25.

Local Identification of Nonparametric and Semiparametric Models

Downloads 235 (279,951)
Citation 14

Local Identification of Nonparametric and Semiparametric Models

Cowles Foundation Discussion Paper No. 1795R
Number of pages: 46 Posted: 15 Nov 2012
Xiaohong Chen, Victor Chernozhukov, Sokbae Lee and Whitney K. Newey
Yale University - Cowles Foundation, Massachusetts Institute of Technology (MIT) - Department of Economics, Seoul National University and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 135 (459,430)
Citation 14

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Identification, Local identification, Nonparametric models, Asset pricing

Local Identification of Nonparametric and Semiparametric Models

Cowles Foundation Discussion Paper No. 1795
Number of pages: 31 Posted: 25 Apr 2011
Xiaohong Chen, Victor Chernozhukov, Sokbae Lee and Whitney K. Newey
Yale University - Cowles Foundation, Massachusetts Institute of Technology (MIT) - Department of Economics, University College London and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 100 (580,892)

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Identification, Local identification, Nonparametric models, Asset pricing

26.

Likelihood Estimation and Inference in a Class of Nonregular Econometric Models

Number of pages: 60 Posted: 12 Mar 2003
Victor Chernozhukov and Han Hong
Massachusetts Institute of Technology (MIT) - Department of Economics and Independent
Downloads 222 (295,789)
Citation 11

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Likelihood Principle, Point Process, Frequentist Validity, Posterior, Structural Econometric Model, Auctions, Equilibrium Search, Production Frontier

27.

Quantile and Probability Curves without Crossing

Econometrica, Vol. 78, No. 3, pp. 1093-1125, May 2010, MIT Department of Economics, Research Paper No. 07-15
Number of pages: 37 Posted: 30 Apr 2007 Last Revised: 09 Apr 2011
Victor Chernozhukov, Iván Fernández‐Val and Alfred Galichon
Massachusetts Institute of Technology (MIT) - Department of Economics, Boston University - Department of Economics and NYU, Department of Economics and Courant Institute
Downloads 221 (297,095)
Citation 39

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Quantile regression, Monotonicity, Rearrangement, Approximation, Functional Delta Method, Hadamard Differentiability of Rearrangement Operators

28.

Admissible Invariant Similar Tests for Instrumental Variables Regression

MIT Department of Economics Working Paper No. 07-09
Number of pages: 21 Posted: 03 Apr 2007
Victor Chernozhukov, Christian Hansen and Michael Jansson
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and University of California, Berkeley - Department of Economics
Downloads 204 (320,628)
Citation 6

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Instrumental Variables, Regression, Inference

29.

Posterior Inference in Curved Exponential Families Under Increasing Dimensions

MIT Department of Economics Working Paper No. 07-10
Number of pages: 20 Posted: 13 Mar 2007
Alexandre Belloni and Victor Chernozhukov
Massachusetts Institute of Technology (MIT) - Operations Research Center and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 202 (323,517)

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Bayesian Infrence, Frequentist Properties

30.

The Impact of Big Data on Firm Performance: An Empirical Investigation

NBER Working Paper No. w24334
Number of pages: 72 Posted: 21 Feb 2018 Last Revised: 29 Jun 2023
Patrick Bajari, Victor Chernozhukov, Ali Hortacsu and Junichi Suzuki
University of Michigan at Ann Arbor - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Department of Economics and University of Toronto - Department of Economics
Downloads 177 (364,925)
Citation 16

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31.

Double/Debiased Machine Learning for Treatment and Structural Parameters

NBER Working Paper No. w23564
Number of pages: 73 Posted: 10 Jul 2017 Last Revised: 12 Dec 2022
Victor Chernozhukov, Denis Chetverikov, Mert Demirer, Esther Duflo, Christian Hansen, Whitney K. Newey and James Robins
Massachusetts Institute of Technology (MIT) - Department of Economics, University of California, Los Angeles (UCLA) - Department of Economics, Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics, Massachusetts Institute of Technology (MIT) - Department of Economics and Harvard University - T.H. Chan School of Public Health
Downloads 175 (370,540)
Citation 135

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32.

Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain

MIT Department of Economics Working Paper No. 11-19
Number of pages: 63 Posted: 15 Aug 2011
Alexandre Belloni, Daniel Chen, Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Operations Research Center, affiliation not provided to SSRN, Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 173 (372,474)
Citation 149

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Instrumental Variables, Optimal Instruments, LASSO, Post-LASSO, Sparsity, Eminent Domain, Data-Driven Penalty, Heteroscedasticity, Non-Gaussian Errors, Moderate Deviations for Self-Normalized Sums

33.

Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach

Downloads 172 (374,397)
Citation 8

Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach

MIT Department of Economics Working Paper No. 15-03
Number of pages: 35 Posted: 19 Feb 2015
Victor Chernozhukov, Christian Hansen and Martin Spindler
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and Max Planck Institute for Social Law and Social Policy
Downloads 172 (373,835)
Citation 8

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Neyman, orthogonalization, C(α) statistics, post-selection and post-regularization inference, general framework

Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach

Annual Review of Economics, Vol. 7, pp. 649-688, 2015
Posted: 07 Aug 2015
Victor Chernozhukov, Christian Hansen and Martin Spindler
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and Max Planck Institute for Social Law and Social Policy

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34.

Improving Point and Interval Estimates of Monotone Functions by Rearrangement

MIT Department of Economics Working Paper No. 08-13
Number of pages: 31 Posted: 16 Jul 2008
Victor Chernozhukov, Iván Fernández‐Val and Alfred Galichon
Massachusetts Institute of Technology (MIT) - Department of Economics, Boston University - Department of Economics and NYU, Department of Economics and Courant Institute
Downloads 172 (374,397)
Citation 11

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Monotone function, improved estimation, improved inference, multivariate rearrangement, univariate rearrangement, Lorentz inequalities, growth chart, quantile regression, mean regression, series, locally linear, kernel methods

35.

Fisher-Schultz Lecture: Linear Estimation of Structural and Causal Effects for Nonseparable Panel Data

NBER Working Paper No. w33325
Number of pages: 43 Posted: 07 Jan 2025
Victor Chernozhukov, Ben Deaner, Ying Gao, Jerry A. Hausman and Whitney K. Newey
Massachusetts Institute of Technology (MIT) - Department of Economics, University College London, University of British Columbia (UBC), Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 164 (390,304)
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36.

The Association of Opening K-12 Schools and Colleges with the Spread of COVID-19 in the United States: County-Level Panel Data Analysis

CESifo Working Paper No. 8929
Number of pages: 41 Posted: 16 Mar 2021
Victor Chernozhukov, Hiroyuki Kasahara and Paul Schrimpf
Massachusetts Institute of Technology (MIT) - Department of Economics, University of British Columbia, Vancouver School of Economics and University of British Columbia (UBC) - Vancouver School of Economics
Downloads 160 (398,736)

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37.

High Dimensional Sparse Econometric Models: An Introduction

MIT Department of Economics Working Paper No. 11-17
Number of pages: 38 Posted: 15 Aug 2011
Alexandre Belloni and Victor Chernozhukov
Massachusetts Institute of Technology (MIT) - Operations Research Center and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 148 (425,450)
Citation 27

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38.

Optimal Targeted Lockdowns in a Multi-Group Sir Model

NBER Working Paper No. w27102
Number of pages: 57 Posted: 05 May 2020 Last Revised: 22 Jul 2023
Daron Acemoglu, Victor Chernozhukov, Iván Werning and Michael D. Whinston
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Sloan School of Management and Department of Economics
Downloads 134 (460,964)
Citation 74

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39.

On the Computational Complexity of MCMC-Based Estimators in Large Samples

MIT Department of Economics Working Paper No. 07-08
Number of pages: 38 Posted: 01 Mar 2007
Alexandre Belloni and Victor Chernozhukov
Massachusetts Institute of Technology (MIT) - Operations Research Center and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 131 (469,512)
Citation 2

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Computational Complexity, Metropolis, Large Samples, Sampling, Integration, Exponential family, Moment restrictions

40.

Quantile Regression with Censoring and Endogeneity

Downloads 127 (481,175)
Citation 6

Quantile Regression with Censoring and Endogeneity

Cowles Foundation Discussion Paper No. 1797
Number of pages: 51 Posted: 26 Apr 2011
Victor Chernozhukov, Iván Fernández‐Val and Amanda Kowalski
Massachusetts Institute of Technology (MIT) - Department of Economics, Boston University - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Downloads 71 (717,938)
Citation 5

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Censored, Quantile, Instrumental variable, Censoring, Endogeneity, Engel curve, Alcohol

Quantile Regression with Censoring and Endogeneity

NBER Working Paper No. w16997
Number of pages: 51 Posted: 02 May 2011 Last Revised: 12 Jun 2022
Victor Chernozhukov, Iván Fernández‐Val and Amanda Kowalski
Massachusetts Institute of Technology (MIT) - Department of Economics, Boston University - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Downloads 56 (815,497)
Citation 1

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41.

Conditional Quantile Processes Based on Series or Many Regressors

MIT Department of Economics Working Paper No. 11-15
Number of pages: 71 Posted: 11 Aug 2011
Alexandre Belloni, Victor Chernozhukov and Iván Fernández‐Val
Massachusetts Institute of Technology (MIT) - Operations Research Center, Massachusetts Institute of Technology (MIT) - Department of Economics and Boston University - Department of Economics
Downloads 126 (484,152)
Citation 13

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quantile regression series processes, uniform inference

42.

Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments

MIT Department of Economics Working Paper No. 15-02
Number of pages: 9 Posted: 20 Feb 2015
Victor Chernozhukov, Christian Hansen and Martin Spindler
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and Max Planck Institute for Social Law and Social Policy
Downloads 113 (526,201)
Citation 45

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43.

Square-Root Lasso: Pivotal Recovery of Sparse Signals via Conic Programming

MIT Department of Economics Working Paper No. 11-16
Number of pages: 36 Posted: 17 Aug 2011 Last Revised: 09 Oct 2011
Alexandre Belloni, Victor Chernozhukov and Lie Wang
Massachusetts Institute of Technology (MIT) - Operations Research Center, Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT), Department of Mathematics
Downloads 111 (533,309)
Citation 13

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44.

Generic Machine Learning Inference on Heterogeneous Treatment Effects in Randomized Experiments, with an Application to Immunization in India

NBER Working Paper No. w24678
Number of pages: 70 Posted: 13 Jun 2018 Last Revised: 07 Jun 2023
Victor Chernozhukov, Mert Demirer, Esther Duflo and Iván Fernández‐Val
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Department of Economics and Boston University - Department of Economics
Downloads 109 (540,485)
Citation 8

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45.

Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks

MIT Department of Economics Working Paper No. 11-18
Number of pages: 42 Posted: 16 Aug 2011
Victor Chernozhukov and Iván Fernández‐Val
Massachusetts Institute of Technology (MIT) - Department of Economics and Boston University - Department of Economics
Downloads 103 (563,698)
Citation 11

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Quantile Regression, Feasible Inference, Extreme Value Theory

46.

A Lava Attack on the Recovery of Sums of Dense and Sparse Signals

Number of pages: 34 Posted: 13 Feb 2015 Last Revised: 25 Mar 2015
Victor Chernozhukov, Christian Hansen and Yuan Liao
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 90 (615,790)
Citation 3

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high-dimensional models, penalization, shrinkage, non-sparse signal recovery

47.

Identification and Efficient Semiparametric Estimation of a Dynamic Discrete Game

NBER Working Paper No. w21125
Number of pages: 80 Posted: 04 May 2015 Last Revised: 23 Mar 2023
Patrick Bajari, Victor Chernozhukov, Han Hong and Denis Nekipelov
University of Michigan at Ann Arbor - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Stanford University and University of Virginia
Downloads 81 (656,098)

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48.

Demand Analysis with Many Prices

NBER Working Paper No. w26424
Number of pages: 39 Posted: 06 Nov 2019 Last Revised: 15 Mar 2023
Victor Chernozhukov, Jerry A. Hausman and Whitney K. Newey
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 66 (735,295)

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49.

Long Story Short: Omitted Variable Bias in Causal Machine Learning

NBER Working Paper No. w30302
Number of pages: 48 Posted: 01 Aug 2022 Last Revised: 19 Apr 2023
Victor Chernozhukov, Carlos Cinelli, Whitney K. Newey, Amit Shamar and Vasilis Syrgkanis
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Washington, Massachusetts Institute of Technology (MIT) - Department of Economics, Microsoft Research Lab and Microsoft Research
Downloads 58 (785,719)

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50.

Censored Quantile Instrumental Variable Estimation with Stata

NBER Working Paper No. w24232
Number of pages: 12 Posted: 22 Jan 2018 Last Revised: 19 Mar 2023
Victor Chernozhukov, Iván Fernández‐Val, Sukjin Han and Amanda Kowalski
Massachusetts Institute of Technology (MIT) - Department of Economics, Boston University - Department of Economics, University of Texas at Austin - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Downloads 44 (894,167)
Citation 1

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51.

Best Linear Approximations to Set Identified Functions: With an Application to the Gender Wage Gap

NBER Working Paper No. w25593
Number of pages: 62 Posted: 26 Feb 2019 Last Revised: 07 Jun 2023
Arun G. Chandrasekhar, Victor Chernozhukov, Francesca Molinari and Paul Schrimpf
Stanford University - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Cornell University - Department of Economics and University of British Columbia (UBC) - Vancouver School of Economics
Downloads 16 (1,203,189)

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52.

High-Dimensional Data Bootstrap

Annual Review of Statistics and Its Application, Vol. 10, Issue 1, pp. 427-449, 2023
Posted: 16 Mar 2023
Victor Chernozhukov, Denis Chetverikov, Kengo Kato and Yuta Koike
Massachusetts Institute of Technology (MIT) - Department of Economics, University of California, Los Angeles (UCLA) - Department of Economics, Cornell University and Tokyo Metropolitan University

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53.

Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain

Econometrica, Vol. 80, No. 6, p. 2369–2429, November 2012
Posted: 05 Jun 2017
Alexandre Belloni, Daniel L. Chen, Victor Chernozhukov and Christian Hansen
Duke University - Fuqua School of Business, Directeur de Recherche, Centre National de la Recherche Scientifique, Toulouse School of Economics, Institute for Advanced Study in Toulouse, University of Toulouse Capitole, Toulouse, France, Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics

Abstract:

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Inference on a Low-Dimensional Parameter after Model Selection, Imperfect Model Selection, Instrumental Variables, Lasso, Post-Lasso, Data-Driven Penalty, Heteroscedasticity, Non-Gaussian Errors, Moderate Deviations for Self-Normalized Sums

54.

Quantile Models with Endogeneity

Annual Review of Economics, Vol. 5, pp. 57-81, 2013
Posted: 07 Aug 2013
Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics

Abstract:

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