We propose a pivotal method for estimating high-dimensional sparse linear regression models, where the overall number of regressors p is large, possibly much larger than n, but only s regressors are significant. The method is a modification of the lasso, called the square-root lasso. The method...

In this article, we review quantile models with endogeneity. We focus on models that achieve identification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We discuss key conditions, which include monotonicity and...

The Interstate Oil and Gas Compact Commission and its member states have become increasingly concerned about environmental compliance costs for the petroleum exploration and production industry with estimated costs for 1990 at about $2 billion. Over the last decade, these costs have increased at...