hdm: High-Dimensional Metrics

In this article the package High-dimensional Metrics hdm is introduced. It is a collection of statistical methods for estimation and quantification of uncertainty in high-dimensional approximately sparse models. It focuses on providing confidence intervals and significance testing for (possibly many) low-dimensional subcomponents of the high-dimensional parameter vector. Efficient estimators and uniformly valid confidence intervals for regression coefficients on target variables (e.g., treatment or policy variable) in a high-dimensional approximately sparse regression model, for average treatment effect (ATE) and average treatment effect for the treated (ATET), as well for extensions of these param eters to the endogenous setting are provided. Theory grounded, data-driven methods for selecting the penalization parameter in Lasso regressions under heteroscedastic and non-Gaussian errors are implemented. Moreover, joint/ simultaneous confidence intervals for regression coefficients of a high-dimensional sparse regression are implemented. Data sets which have been used in the literature and might be useful for classroom demonstration and for testing new estimators are included.

Victor Chernozhukov , Chris Hansen , Martin Spindler

CRAN packages used

glmnet, lars, hdm

CRAN Task Views implied by cited packages

MachineLearning, Survival


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For attribution, please cite this work as

Chernozhukov, et al., "The R Journal: hdm: High-Dimensional Metrics", The R Journal, 2016

BibTeX citation

  author = {Chernozhukov, Victor and Hansen, Chris and Spindler, Martin},
  title = {The R Journal: hdm: High-Dimensional Metrics},
  journal = {The R Journal},
  year = {2016},
  note = {https://doi.org/10.32614/RJ-2016-040},
  doi = {10.32614/RJ-2016-040},
  volume = {8},
  issue = {2},
  issn = {2073-4859},
  pages = {185-199}