International Fellows

Victor Chernozhukov

MIT

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Selected Publications

Working Paper
Implementing intersection bounds in Stata

We present the clrbound, clr2bound, clr3bound, and clrtest commands for estimation and inference on intersection bounds […]

Victor Chernozhukov, Wooyoung Kim, Sokbae (Simon) Lee, Adam Rosen
16 March 2015 | Journal Article

Previous version

Implementing intersection bounds in Stata
Victor Chernozhukov, Wooyoung Kim, Sokbae (Simon) Lee, Adam Rosen
28 May 2014 | CWP25/14
A lava attack on the recovery of sums of dense and sparse signals

Common high-dimensional methods for prediction rely on having either a sparse signal model, a model in […]

Victor Chernozhukov, Christian Hansen, Yuan Liao
13 February 2015 | CWP05/15

Latest version

A lava attack on the recovery of sums of dense and sparse signals
Victor Chernozhukov, Christian Hansen, Yuan Liao
22 September 2015 | CWP56/15
Monge-Kantorovich depth, quantiles, ranks and signs

We propose new concepts of statistical depth, multivariate quantiles, ranks and signs, based on canonical transportation […]

Victor Chernozhukov, Alfred Galichon, Marc Hallin, Marc Henry
28 January 2015 | CWP04/15

Latest version

Monge-Kantorovich depth, quantiles, ranks and signs
Victor Chernozhukov, Alfred Galichon, Marc Hallin, Marc Henry
22 September 2015 | CWP57/15
Post-selection and post-regularization inference in linear models with many controls and instruments

In this note, we offer an approach to estimating structural parameters in the presence of many […]

Victor Chernozhukov, Christian Hansen, Martin Spindler
14 January 2015 | CWP02/15

Latest version

Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments
Victor Chernozhukov, Christian Hansen, Martin Spindler
1 May 2015 | Journal Article
Vector quantile regression

We propose a notion of conditional vector quantile function and a vector quantile regression. A conditional […]

Guillaume Carlier, Victor Chernozhukov, Alfred Galichon
31 December 2014 | CWP48/14

Latest version

Vector quantile regression: an optimal transport approach
Guillaume Carlier, Victor Chernozhukov, Alfred Galichon
22 September 2015 | CWP58/15
Central limit theorems and bootstrap in high dimensions

In this paper, we derive central limit and bootstrap theorems for probabilities that centered high-dimensional vector […]

Victor Chernozhukov, Denis Chetverikov, Kengo Kato
31 December 2014 | CWP49/14

Latest version

Central limit theorems and bootstrap in high dimensions
Victor Chernozhukov, Denis Chetverikov, Kengo Kato
26 August 2016 | CWP39/16
Inference in high dimensional panel models with an application to gun control

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in […]

Alexandre Belloni, Victor Chernozhukov, Christian Hansen, Damian Kozbur
31 December 2014 | CWP50/14

Latest version

Inference in high dimensional panel models with an application to gun control
Alexandre Belloni, Victor Chernozhukov, Christian Hansen, Damian Kozbur
15 September 2016 | Journal Article
Uniform post selection inference for LAD regression and other Z-estimation problems

We develop uniformly valid confidence regions for regression coefficients in a high-dimensional sparse median regression model […]

Alexandre Belloni, Victor Chernozhukov, Kengo Kato
31 December 2014 | CWP51/14

Latest version

Uniform post-selection inference for least absolute deviation regression and other Z-estimation problems
Alexandre Belloni, Victor Chernozhukov, Kengo Kato
1 June 2015 | Journal Article

Previous version

Uniform post selection inference for LAD regression and other z-estimation problems
Alexandre Belloni, Victor Chernozhukov, Kengo Kato
30 December 2013 | CWP74/13
Testing many moment inequalities

This paper considers the problem of testing many moment inequalities where the number of moment inequalities, […]

Victor Chernozhukov, Denis Chetverikov, Kengo Kato
31 December 2014 | CWP52/14

Latest version

Testing many moment inequalities
Victor Chernozhukov, Denis Chetverikov, Kengo Kato
26 August 2016 | CWP42/16

Previous version

Testing Many Moment Inequalities
Victor Chernozhukov, Denis Chetverikov, Kengo Kato
30 December 2013 | CWP65/13
Valid post-selection inference in high-dimensional approximately sparse quantile regression models

This work proposes new inference methods for the estimation of a regression coefficient of interest in […]

Alexandre Belloni, Victor Chernozhukov, Kengo Kato
31 December 2014 | CWP53/14

Previous version

Robust inference in high-dimensional approximately sparse quantile regression models
Alexandre Belloni, Victor Chernozhukov, Kengo Kato
30 December 2013 | CWP70/13
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