HD-Metrics

2025 University Extension Course - High Dimensional Econometrics

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GitHub Repository: https://github.com/DTJCML/HD-Metrics

Description

This repository corresponds to David Tomás Jacho-Chávez' module on 'High Dimensional Econometrics' for the 2025 University Extension Course in Advanced Economics at the Banco Central de Reserva del Perú.

Disclaimer

All the materials in this repository are taken from these sources and the original authors hold all text, figures, and computer code copyrights:

1. Jeffrey M. Wooldridge's 'Introductory Econometrics: A Modern Approach' textbook.
2. Bruce Hansen's 'Econometrics' online textbook.
3. Sergio Correia's various Stata packages.
4. Fernando Rios-Avila's various Stata packages.
5. Asjad Naqvi's stata-schemepack package.
6. Mingze Gao's specurve package
7. Various chapters of 'An Introduction to Statistical Learning: With Applications in R' book by Gareth James, Daniela Witten, Trevor Hastie and Rob Tibshirani.
8. David Drukker and Di Lu's 'An introduction to the lasso in Stata.'
9. StataCorp. 2021. 'Stata Statistical Software: Release 17.' College Station, TX: StataCorp LLC.

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