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Microeconometrics

Estimation in High-Dimensional Linear Models

A course designed for those who deal with large, complex data sets

17.5h (5 days)

€775 - €1,375

Face to Face

English

Program date: July 7 - 11, 2025

Early bird deadline: April 15, 2025

Learn more

Estimation in High-Dimensional Linear Models

Applications for 2025 Summer School programs are now open!

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Summer school

Microeconometrics

Estimation in High-Dimensional Linear Models

This course explores high-dimensional models, focusing on challenges and opportunities. Key topics include limitations of classic estimators, shrinkage estimators, the Lasso, oracle inequalities, post-Lasso methods, and data-driven tuning.

Teaching Faculty

High-dimensional datasets are common, we focus on estimating models with many explanatory variables

At the end of the course, you will:

Grasp the opportunities and challenges associated with high-dimensional data in statistical modeling.
Identify the limitations of traditional estimators like OLS and variable selection procedures in high-dimensional contexts.
Learn how to utilize shrinkage estimators for effective variable screening and selection.
Understand the Lasso method, including its theory and oracle inequalities, for variable selection in high-dimensional settings.
Evaluate post-Lasso methods to address shrinkage bias and improve estimation accuracy.
Develop skills in data-driven tuning parameter selection to optimize the performance of the Lasso.

Program Syllabus for Estimation in High-Dimensional Linear Models

The course will explore the following topics:

High-dimensional models: Opportunities and challenges

Problems with classic estimators (e.g., OLS) and variable selection procedures

Shrinkage estimators: Variable screening and selection

The sparsity assumption

The Lasso and theory for it. The focus will be on oracle inequalities

The adaptive Lasso and the oracle property*
Variable selection via thresholding*
Leeb+Pötscher critique on superefficiency and the return of Hodges’ estimator*

*If time allows, we will also cover

Post-Lasso to alleviate shrinkage bias. Theory of post-Lasso (oracle inequalities)

Data-driven tuning parameter selection for the Lasso

If time allows: Square-root Lasso and oracle inequalities for this

If time allows: Applications in time series

List of References

There are no specific references for this course.

It is enough to follow the lecture slides, which will be a (largely) self-contained coverage of the material to be covered.

Software / Hardware

Participants must bring their own portable laptop to participate fully in this course
STATA

Why join our Summer School?

All BSE Summer courses are taught to the same high standard as our Master’s programs. Join us to:

1

Network with like-minded peers.

2

Study in vibrant Barcelona.

3

Learn from world-renowned faculty.

Admissions and requirements

All BSE Summer School applicants must ensure that they meet the basic entry requirements.

Program date: July 7 - 11, 2025

Early bird deadline: April 15, 2025

Requirements

Summer School applicants normally demonstrate one or more of the following:

A strong background in Economics or a field closely related to the course topic (Statistics, Law, etc.).
Postgraduate degree or current Master’s/PhD studies related to the course topic.
Relevant professional experience.

Requirements for Estimation in High-Dimensional Linear Models

Participants should have a good background in linear algebra probability.
For practical exercises a little experience with R is recommended.

Apply now

Schedule

Here is your schedule for this edition of BSE Microeconometrics Summer School, Estimation in High-Dimensional Models course.

Time

7

mon

8

tue

9

wed

10

thu

11

fri

11:30 - 13:30

Lecture

16:15 - 17:45

Practical

Credit transfers (ECTS)

To be eligible for credit transfer, students must complete a final project. Students will deliver a short final project one week after the summer school finishes.

It will consist of completing an assignment that will include the practical and empirical issues worked on in class.

Consult the Summer School Admissions page for more information about this option.

Certificate of Attendance

Participants not interested in credit transfer will instead receive a Certificate of Attendance free of charge. These Participants will not be graded or assessed during the course.

Fees for 2025

Multiple course discounts are available, see more information about available discounts. Fees for courses in other Summer School programs may vary

Course

Panel Data and Spatial Panels

Econometrics of Cross-section Data with Applications

Dynamic Structural Models for Policy Evaluation

Quantitative Methods for Public Policy Evaluation

Estimation in High-Dimensional Models

Difference-in-Differences with Panel Data

Dynamic and Non-linear Panel Data Models

Modality

Face to Face

Total Hours

17.5

ECTS

1

Regular Fee

1,375€

Reduced Fee*

775€

FAQ’s

Here are some commonly asked questions by participants. Any further queries, please contact our Admissions Team.

Is accommodation included in the course fee?

Unfortunately, accommodation is not included in the course fee. Participants are responsible for finding accommodation.

Are the sessions recorded?

Sessions will be recorded and videos will be available for a month once the course has finished.

How much does each Summer School course cost?

Fees for each course may vary. Please consult each course page for accurate information.

Are there any discounts available?

Yes, BSE offers a variety of discounts on its Summer School courses. See more information about available discounts or request a personalized discount quote by email.