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Double/Debiased Machine Learning for Treatment and Structural Parameters

- V. Chernozhukov, D. Chetverikov, +4 authors J. Robins
- Mathematics
- 1 June 2017

We revisit the classic semiparametric problem of inference on a low dimensional parameter θ_0 in the presence of high-dimensional nuisance parameters η_0. We depart from the classical setting by… Expand

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

- A. Belloni, Daniel L. Chen, V. Chernozhukov, Christian Hansen
- Mathematics, Economics
- 20 October 2010

We develop results for the use of LASSO and Post-LASSO methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p,… Expand

An MCMC Approach to Classical Estimation

- V. Chernozhukov, H. Hong
- Mathematics
- 1 December 2002

This paper studies computationally and theoretically attractive estimators referred here as to the Laplace type estimators (LTE). The LTE include means and quantiles of Quasi-posterior distributions… Expand

An IV Model of Quantile Treatment Effects

- V. Chernozhukov, Christian Hansen
- Mathematics
- 2002

The ability of quantile regression models to characterize the heterogeneous impact of variables on different points of an outcome distribution makes them appealing in many economic applications.… Expand

Instrumental quantile regression inference for structural and treatment effect models

- V. Chernozhukov, Christian Hansen
- Mathematics
- 1 June 2006

We introduce a class of instrumental quantile regression methods for heterogeneous treatment effect models and simultaneous equations models with nonadditive errors and offer computable methods for… Expand

Inference on Treatment Effects after Selection Amongst High-Dimensional Controls

- A. Belloni, V. Chernozhukov, C. Hansen
- Computer Science
- 31 December 2011

TLDR

BAYESIAN ECONOMETRICS

- V. Chernozhukov
- 2007

Suppose a data vector X = (X1, ..., Xn) follows a distribution with a density function pn(x|θ) which is fully characterized by some parameter vector θ = (θ1, ..., θd)′. Suppose that the prior belief… Expand

Estimation and Confidence Regions for Parameter Sets in Econometric Models

- V. Chernozhukov, H. Hong, E. Tamer
- Mathematics
- 1 September 2007

This paper develops a framework for performing estimation and inference in econometric models with partial identification, focusing particularly on models characterized by moment inequalities and… Expand

L1-Penalized Quantile Regression in High Dimensional Sparse Models

- V. Chernozhukov, A. Belloni
- Mathematics, Economics
- 19 April 2009

We consider median regression and, more generally, quantile regression in high-dimensional sparse models. In these models the overall number of regressors p is very large, possibly larger than the… Expand

SUPPLEMENT TO \GAUSSIAN APPROXIMATIONS AND MULTIPLIER BOOTSTRAP FOR MAXIMA OF SUMS OF HIGH-DIMENSIONAL RANDOM VECTORS"

- V. Chernozhukov, D. Chetverikov, Kengo Kato
- Mathematics, Economics
- 31 December 2012

We derive a Gaussian approximation result for the maximum of a sum of high-dimensional random vectors. Specifically, we establish conditions under which the distribution of the maximum is… Expand

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