HIGH-DIMENSIONAL ECONOMETRICS AND IDENTIFICATION

In many applications of econometrics and economics, a large proportion of the questions of interest are identification. An economist may be interested in uncovering the true signal when the data could be very noisy, such as time-series spurious regression and weak instruments problems, to name a few. In this book, High-Dimensional Econometrics and Identification, we illustrate the true signal and, hence, identification can be recovered even with noisy data in high-dimensional data, e.g., la...