Victor Chernozhukov

• Professor, Department of Economics + Center for Statistics, MIT, USA
• International Fellow, UCL CEMMAP, United Kingdom
• Professor by Courtesy, New Economic School, Russian Federation
• Ph.D. 2000, Stanford, Economics
• M.S. 1997, University of Illinois at Urbana-Champaign, Statistics

• Curriculum Vitae

Research

• Central Limit Theorems with p>>n
• Big Data: Post-Selection Inference for Causal Effects
• Big Data: Prediction Methods
• High-Dimensional Models
• Policy Analysis
• Shape Restrictions
• Partial Identification and Set Inference
• Laplacian and Bayesian Inference
• Quantiles
• Endogeneity
• Extremes and Nonregular Models

I would like to gratefully acknowledge the generous research support via the National Science Foundation for the term 2001-present, the Castle-Krob Career Development Chair for the term 2004-2007, the Alfred P. Sloan Research Fellowship for the term 2005-2007, and the Alfred P. Sloan Dissertation Fellowship for the term 1999-2000. Any opinions, findings and conclusions or recommendations expressed in these materials are those of the authors and do not necessarily reflect the views of the National Science Foundation.

Recent Presentations

• 1. Uniform Post-Selection Inference for LAD Regression and Other Z-Estimation Problems (Slides) Invited Session at the Joint Statistical Meeting, 2015, Seattle, USA. The talk is based mainly on the following papers:
  • "Uniform Post Selection Inference for LAD regression and Other Z-estimation Problems", Oberwolfach 2012, ArXiv 2013, Biometrika 2014, with A. Belloni and K. Kato
  • "Post-Selection and Post-Regularization Inference: An Elementary, General Approach," Annual Review of Economics 2015, with C. Hansen and M. Spindler
  • "Robust Inference in Approximately Sparse Quantile Regression Models (with an Application to Malnutrition)," ArXiv 2014, with A. Belloni and K. Kato
  • "Inference on Treatment Effects After Selection Amongst High-Dimensional Controls (with an Application to Abortion and Crime)," ArXiv 2011, The Review of Economic Studies 2013, with A. Belloni and C. Hansen. Stata and Matlab programs are here; replication files here.

• 2. Mostly Dangerous Econometrics: How to Do Model Selection with Inference in Mind? (Slides) Plenary talk at the IAAE meeting, 2015, Thessaloniki, Greece. The talk is based mainly on the following papers:
  • "High-Dimensional Methods and Inference on Treatment and Structural Effects in Economics, "J. Economic Perspectives 2014, with A. Belloni and C. Hansen Stata and Matlab programs are here; and Stata replication code is here
  • "Inference on Treatment Effects After Selection Amongst High-Dimensional Controls (with an Application to Abortion and Crime)," ArXiv 2011, The Review of Economic Studies, 2013, with A. Belloni and C. Hansen. Stata and Matlab programs are here; replication files here.
  • "Program Evaluation with High-Dimensional Data," ArXiv 2013, with A. Belloni, C. Hansen, and I. Fernandez-Val

• 3. Central Limit Theorems and Bootstrap in High Dimensions (Slides). Invited Presentation at the Institute of Mathematical Sciences, Workshop on New Directions in Stein's Methods, National Singapore University. The talk is based mainly on the following papers:
  • "Central Limit Theorems and Bootstrap in High Dimensions", ArXiv 2014, Annals of Probability 2016+, with D. Chetverikov and K. Kato
  • "Gaussian Approximations and Multiplier Bootstrap for Maxima of Sums of High-Dimensional Random Vectors," ArXiv 2012, Annals of Statistics 2013, with D. Chetverikov and K. Kato
  • "Comparison and Anti-Concentration Bounds for Maxima of Gaussian Random Vectors", ArXiv 2013, Prob. Theory Rel. Fields 2015, with D Chetverikov and K. Kato

• 4. Program Evaluation with High-Dimensional Data (Slides). Invited Presentation at the Causal Inference Meeting 2015, Bristol, UK. The talk is based on the following papers:
  • "Program Evaluation with High-Dimensional Data," ArXiv 2013, with A. Belloni, C. Hansen, and I. Fernandez-Val
  • "Inference on Treatment Effects After Selection Amongst High-Dimensional Controls (with an Application to Abortion and Crime)," ArXiv 2011, The Review of Economic Studies 2013, with A. Belloni and C. Hansen. Stata and Matlab programs are here; replication files here.

List of Papers by Themes

Most papers appear in a single theme, while several appear in at most two themes, as the numbering indicates; a higher number indicates a more recent paper. For a simple ordered list of papers see Curriculum Vitae.

Central Limit Theorems and Bootstrap with p>>n

• 74. "Central Limit Theorems and Bootstrap in High Dimensions", ArXiv 2015, Annals of Probability 2016+, with D. Chetverikov and K. Kato
• 50. "Gaussian Approximations and Multiplier Bootstrap for Maxima of Sums of High-Dimensional Random Vectors," ArXiv 2012, Annals of Statistics 2013, with D. Chetverikov and K. Kato
• 57. "Comparison and Anti-Concentration Bounds for Maxima of Gaussian Random Vectors", ArXiv 2013, Probability Theory and Related Fields 2015, with D Chetverikov and K. Kato
• 49. "Gaussian Approximation to Suprema of Empirical Processes," Annals of Statistics 2014, with D. Chetverikov and K. Kato
• 53. "Testing (Very) Many Moment Inequalities", ArXiv 2013, with D. Chetverikov and K. Kato
• 69. "Empirical and Multiplier Bootstrap for Suprema of Empirical Processes of Increasing Complexity, and Related Gaussian Couplings,"Stochastic Processes and Their Applications 2016, Special issue in memory of Evarist Gine, 2016, with D. Chetverikov and K. Kato
• 45. "Anti-Concentration and Adaptive Honest Confidence Bands," ArXiv 2013, Annals of Statistics 2014, with D. Chetverikov and K. Kato

Big Data: Post-Selection Inference for Causal Effects

• 38. "Sparse Models and Methods for Instrumental Regression, with an Application to Eminent Domain", Arxiv 2010, Econometrica 2012, with A. Belloni, D. Chen, and C. Hansen
  • Matlab programs are available via Econometrica
• 36. "LASSO Methods for Gaussian Instrumental Variables Models", Permanent ArXiv 2010, with A. Belloni and C. Hansen
• 46. "Inference Methods for High-Dimensional Sparse Econometric Models", Advances in Economics and Econometrics, ES World Congress 2010, ArXiv 2011, with A. Belloni and C. Hansen
  • Stata code for IV example and Matlab code for the growth example.
• 47. "Inference on Treatment Effects After Selection Amongst High-Dimensional Controls (with an Application to Abortion and Crime)," ArXiv 2011, The Review of Economic Studies 2013, with A. Belloni and C. Hansen
  • Stata and Matlab programs are here; replication files here.
• 44. "Pivotal Estimation of Nonparametric Functions via Square-root Lasso," ArXiv 2010, Annals of Statistics 2014, with A. Belloni and L. Wang
  • Matlab programs are available here.
• 54. "High-Dimensional Methods and Inference on Treatment and Structural Effects in Economics, " J. Economic Perspectives 2014, with A. Belloni and C. Hansen
  • Stata and Matlab programs are here; and Stata replication code is here
• 52. "High-Dimensional Sparse Econometrics," NBER Lectures 2013,
  • Stata code for IV example and Matlab code for the growth example
  • Video of the lectures is here.
• 50. "Gaussian Approximations and Multiplier Bootstrap for Maxima of Sums of High-Dimensional Random Vectors," ArXiv 2012, Annals of Statistics 2013, with D. Chetverikov and K. Kato
• 65. "Program Evaluation with High-Dimensional Data," ArXiv 2013, Econometrica 2016+, with A. Belloni, C. Hansen, and I. Fernandez-Val
  • Matlab code available on request.
• 56. "Uniform Post Selection Inference for LAD regression and Other Z-estimation Problems", Oberwolfach 2012, ArXiv 2013, Biometrika 2014, with A. Belloni and K. Kato
  • Matlab code available on request.
• 60. "Robust Inference in Approximately Sparse Quantile Regression Models (with an Application to Malnutrition) ArXiv 2014, with A. Belloni and K. Kato
  • Matlab programs are available on request.
• 55. "Honest Confidence Regions for Generalized Linear Models with a Large Number of Controls", ArXiv 2013, Journal of Business and Economic Statistics 2016+, with A. Belloni and Y. Wei
  • Matlab code available on request.
• 66. "Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments", American Economic Review PandP, 2015, with C. Hansen and M. Spindler
• 67. "Post-Selection and Post-Regularization Inference: An Elementary, General Approach," Annual Review of Economics 2015, with C. Hansen and M. Spindler
• 70. "Inference in High-Dimensional Panels with an Application to Gun Control," ArXiv 2014, Journal of Business and Economic Statistics 2016+, with C. Hansen, D. Kozbur
• 71. Uniformly Valid Post-Regularization Confidence Regions for Many Functional Parameters in Z-Estimation Framework, ArXiv 2015, with D. Chetverikov, A. Belloni, and Y. Wei

Big Data: Prediction Methods

• 27. "High-Dimensional Sparse Econometric Models, an Introduction,"Springer Lecture Notes 2009, with A. Belloni
  • Matlab programs are available on request
• 26. "L1-Penalized Quantile Regression in High-Dimensional Sparse Models," Arxiv 2009, Annals of Statistics 2011, with A. Belloni
  • R program is here and Matlab program is here
• 30. "Least Squares after Model Selection in High-Dimensional Sparse Models," ArXiv 2009, Bernoulli 2013, with A. Belloni
  • Matlab programs are here
• 29. "Square-root Lasso: Pivotal Recovery of Sparse Signals via Conic Programming," Arxiv 2010, Biometrika 2011, with A. Belloni and L. Wang
  • Matlab programs are available here
• 68. "A Lava Attack on the Recovery of Sums of Sparse and Dense Signals," ArXiv 2015, Annals of Statistics 2016+, with C. Hansen and Y. Liao
  • Matlab programs are available on request

High-Dimensional Models

• 35. "Intersection Bounds: Estimation and Inference,"Econometrica 2013, with S. Lee and A. Rosen
  • Stata programs are here
• 39. "Conditional Quantile Processes Based on Series and Many Regressors (with an Application to Gasoline Demand)," 2009, under revision for Econometrica, with A. Belloni and I. Fernandez-Val
  • R programs available on request
• 41. "Computational Complexity of MCMC-Based Estimators in Large Samples", Annals of Statistics 2009, with A. Belloni
• 49. "Gaussian Approximation to Suprema of Empirical Processes", Annals of Statistics 2014, with D. Chetverikov and K. Kato
• 69. "Empirical and Multiplier Bootstrap for Suprema of Empirical Processes, and Related Gaussian Couplings," Stochastic Processes and Their Applications 2016, Special issue in memory of Evarist Gine, with D. Chetverikov and K. Kato
• 45. "Anti-Concentration and Adaptive Honest Confidence Bands," Arxiv 2013, Annals of Statistics 2014, with D. Chetverikov and K. Kato
• 59. "(Some) New Asymptotics for Least Squares Series Estimators", ArXiv 2013, Journal of Econometrics 2015, with A. Belloni, D. Chetverikov, and K. Kato

Policy Analysis

• 65. "Program Evaluation with High-Dimensional Data," ArXiv 2013, Econometrica 2016+, with A. Belloni, C. Hansen, and I. Fernandez-Val
  • Matlab codes available on request
• 72. "The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Their Averages", ArXiv 2015, with I. Fernandez-Val and Y. Luo
• 47. "Inference on Treatment Effects After Selection Amongst High-Dimensional Controls (with an Application to Abortion and Crime)," 2011, The Review of Economic Studies 2013, with A. Belloni and C. Hansen
  • Stata and Matlab programs are available here
• 54. "High-Dimensional Methods and Inference on Treatment and Structural Effects in Economics "J. Economic Perspectives 2014, with A. Belloni and C. Hansen
  • Stata and Matlab programs are here, and Stata replication code at JEP is here
• 34. "Inference on Counterfactual Distributions," Econometrica 2013, with I. Fernandez-Val and B. Melly
  • Stata programs are available here
• 11. "Subsampling Inference on Quantile Regression Processes (with an Application to Reemployment Experiment)," Sankhya 2005, with I. Fernandez-Val
  • R programs are available here
• 6. "The Impact of 401K on Savings: an IV-QR Analysis," Review of Economics and Statistics 2004, with C. Hansen

Shape Restrictions

• 23. "Quantile and Probability Curves without Crossing," with I. Fernandez-Val and A. Galichon; Econometrica 2010, previous version
  • R programs are available here
• 21. "Improving Point and Interval Estimates of Monotone Functions by Rearrangement," Biometrika 2009, with I. Fernandez-Val and A. Galichon.
  • R programs are available here
• 22."Rearranging Edgeworth-Cornish-Fisher Expansions," Economic Theory 2010, with I. Fernandez-Val and A. Galichon
• 72. "The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Averages", ArXiv 2015, with I. Fernandez-Val and Y. Luo
• 73. "Constrained Moment Condition Models," ArXiv 2015, with A. Santos and W. Newey, ArXiv 2015.

Partial Identification and Inference on Sets

• 16. "Estimation and Inference on Identified Parameter Sets," Econometrica 2007, with H. Hong and E. Tamer
• 73. "Constraind Moment Condition Models," ArXiv 2015, with A. Santos and W. Newey, ArXiv 2015.
• 42. "Inference on Sets in Finance," Quantitative Economics 2015, with E. Kocatulum and K. Menzel
  • Matlab programs are available on request
• 43. "Best Linear Approximations to Set-Identified Functions (with an Application to Gender Wage Gap)", 2012, with A. Chandraksekhar, F. Molinari, and P. Schrimpf
  • Matlab programs are available here
• 53. "Testing (Very) Many Moment Inequalities", 2013,with D. Chetverikov and K. Kato
• 35. "Intersection Bounds: Estimation and Inference," Econometrica 2013, with S. Lee and A. Rosen
  • Stata programs are here
• 58. "Implementing Intersection Bounds in Stata", Stata Journal 2013, with W. Kim, S. Lee and A. Rosen
  • Stata programs are here
• 31. "Average and Quantile Effects in Non separable Panel Data Models,"Econometrica 2013, with I. Fernandez-Val and J. Hahn and W. Newey
  • R programs are available via Econometrica
• 17.  "Instrumental Quantile Regression: A Robust Inference Approach " J. Econometrics 2007, with C. Hansen
  • Matlab programs are available here
• 18. "Finite Sample Inference for Quantile Regression Models," J. Econometrics 2008, with C. Hansen and M. Jansson
  • Matlab programs are available here
• 33. "Fragility of Agreement under Bayesian Learning,"Theoretical Economics 2016, with D. Acemoglu and M. Yildiz
• 32. "Learning and Disagreement in an Uncertain World," Permanent SSRN, 2006,with D. Acemoglu and M. Yildiz
• 24. "Sensitivity Analysis and Set Identification with Tobin Regressors",Quantitative Economics 2010, with T. Stoker and R. Rigobon
  • Stata program is here

Laplacian and Bayesian Inference

• 4. "An MCMC Approach to Classical Estimation," Journal of Econometrics 2003, with H. Hong
  • Received Zellner Award in 2005.
  • Stata implementation is provided in M. Baker's package;
  • C++ implementation is provided in R. Galant and G. Tauchen's EMM package
• 5. "Likelihood Estimation and Inference in Non-regular Econometric Models," Econometrica 2004, with H. Hong
• 20. "Computational Complexity of MCMC-Based Estimators in Large Samples",Annals of Statistics 2009, with A. Belloni
• 28. "Posterior Inference for Curved Exponential Families under Increasing Dimension", Econometrics J. 2014, with A. Belloni
• 14. "Bayesian Econometrics", International Encyclopedia of Social Sciences 2008

Quantiles and Multivariate Quantiles

• 10. "Quantile Regression under Misspecification and the U.S. Wage Structure," Econometrica 2006, with J. Angrist and I. Fernandez-Val
  • R programs are available here
• 3. "3-step Censored Quantile Regression and Extramarital Affairs,"J. American Statistical Association 2002, with H. Hong
  • Stata programs are available here
• 11. "Subsampling Inference on Quantile Regression Processes (with an Application to Reemployment Experiment)," Sankhya 2005, with I. Fernandez-Val
  • R programs are available here
• 23. "Quantile and Probability Curves without Crossing," Econometrica 2010, with I. Fernandez-Val and A. Galichon
  • R programs are available here
• 26. "l1-Penalized Quantile Regression in High-Dimensional Sparse Models,"Annals of Statistics 2010, with A. Belloni
  • R and Matlab programs are available on request.
• 39. "Conditional Quantile Processes Based on Series and Many Regressors (with an Application to Gasoline Demand)," Arxiv 2011, revised for Econometrica, with A. Belloni and I. Fernandez-Val
  • R programs are available on request
• 61. "Nonparametric Identification in Panels Using Quantiles," J. Econometrics 2015, with I. Fernandez-val, W. Newey, H. Holzmann, S. Hoderlein
• 62. "Vector/Multivariate Quantile Regression," ArXiv 2015, with G. Carlier and A. Galichon, Annals of Statistics 2016+.
• 63. "Identifying Multi-Attributed Hedonic Models," 2014, with A. Galichon and M. Henry
• 64. "Monge-Kantorovich Depth, Ranks, Quantiles, and Signs," ArXiv 2014, Annals of Statistics 2016+, with A. Galichon, M. Hallin, M. Henry

Endogeneity

• 7.  "An IV Model of Quantile Treatment Effects," Econometrica 2005; with C. Hansen
  • Matlab and Stata programs are available here
• 51. "Quantile Models with Endogeneity", Annual Review of Economics 2013, with C. Hansen
  • Matlab and Stata programs are available here
• 6. "The Impact of 401K on Savings: an IV-QR Analysis," Review of Economics and Statistics 2004, with C. Hansen
  • Matlab and Stata programs are available here
• 37. "Local Identification for Semi-Parametric and Non-parametric Models", Econometrica 2014, with X. Chen, S. Lee, W. Newey
• 17.  "Instrumental Quantile Regression: A Robust Inference Approach " J. Econometrics 2007, with C. Hansen
  • Matlab and Stata programs are available here
  9. "Inference on the Instrumental Quantile Regression Process for Structural and Treatment Effect Models,"  J. Econometrics 2003, with C. Hansen
  • Matlab and Stata programs are available here
• 19. "Admissible Invariant Tests for Instrumental Regression," Econometric Theory 2009, with M. Jansson and C. Hansen
• 13. "Inference Approaches for IV Quantile Regression," Economics Letters 2007, with M. Jansson and C. Hansen
• 15. "The Reduced Form: A Simple Approach to Inference with Weak Instruments," Economics Letters 2008, with C. Hansen
  • Stata programs are available here
• 40. "Quantile Regression with Censoring and Endogeneity ", J. Econometrics 2014, with A. Kowalski and I. Fernandez-Val
  • Stata programs are available here

Extremes and Non-Regular Models

• 25. "Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks," The Review of Economic Studies 2011, with I. Fernandez-Val  
  • R programs are available here 
• 5. "Likelihood Estimation and Inference in Non-regular Econometric Models," Econometrica 2004, with H. Hong
• 8. " Extremal Quantile Regression," Annals of Statistics 2005,
  • R programs are available here 
• 12. "Extremal Quantiles and Value-at-Risk," New Palgrave 2007, with S. Du
  • R programs are available  here
• 2. "Conditional Value-at-Risk: Aspects of Modeling and Estimation,"Empirical Economics 2001, with L. Umantzev
• 1. "Conditional Extremes and Near-Extremes: Concepts, Estimation, and Economic Applications," Standord Ph.D. Disseration 2000.