This article reviews the literature on sparse high-dimensional models and discusses some applications in economics and finance. Recent developments in theory, methods, and implementations in penalized least-squares and penalized likelihood methods are highlighted. These variable selection...

This paper reviews the literature on sparse high dimensional models and discusses some applications in economics and finance. Recent developments of theory, methods, and implementations in penalized least squares and penalized likelihood methods are highlighted. These variable selection methods...

Heterogeneity is often natural in many contemporary applications involving massive data. While posing new challenges to effective learning, it can play a crucial role in powering meaningful scientific discoveries through the understanding of important differences among subpopulations of...