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This is the accompanying repository for "Two Examples of Convex-Programming-Based High-Dimensional Econometric Estimators"
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README.md

Two Examples of Convex-Programming-Based High-Dimensional Econometric Estimators

This repository host code for methods mentioned in the paper Two Examples of Convex-Programming-Based High-Dimensional Econometric Estimators by Zhan Gao and Zhentao Shi and replication of the simulation results.

One can easily use the gao-shi-rmosek.R file to replicate the simulation studies.

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