The technological innovations in information processing and the increased storage capability have made possible to collect very large data sets in various fields of economics and finance. Researchers, companies, and governments look for ways to exploit this rich information. This special issue collects 11 papers who present state-of-the-art techniques to deal with many predictors, many regressors or many instruments. It grew out of the CIREQ conference on high dimensional models in econometrics organized by Marine Carrasco and Sílvia Gonçalves in Montreal, Canada, on May 4–5, 2012.