  In this chapter we discuss conceptually high dimensional sparse econometric
models as well as estimation of these models using L1-penalization and
post-L1-penalization methods. Focusing on linear and nonparametric regression
frameworks, we discuss various econometric examples, present basic theoretical
results, and illustrate the concepts and methods with Monte Carlo simulations
and an empirical application. In the application, we examine and confirm the
empirical validity of the Solow-Swan model for international economic growth.
