2025 University Extension Course - High Dimensional Econometrics
GitHub Repository: https://github.com/DTJCML/HD-Metrics
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.
All the materials in this repository are taken from these sources and the original authors hold all text, figures, and computer code copyrights:
- Jeffrey M. Wooldridge's 'Introductory Econometrics: A Modern Approach' textbook.
- Bruce Hansen's 'Econometrics' online textbook.
- Sergio Correia's 'reghdfe: Linear Models with Many Levels of Fixed Effects' stata package.
- Various chapters of 'An Introduction to Statistical Learning: With Applications in R' book by Gareth James, Daniela Witten, Trevor Hastie and Rob Tibshirani.
- David Drukker and Di Lu's 'An introduction to the lasso in Stata.'
- StataCorp. 2021. 'Stata Statistical Software: Release 17.' College Station, TX: StataCorp LLC.