Related papers: Local Projection Inference in High Dimensions
We propose a clustered local projection (clustered LP) method to estimate impulse response functions in a class of time-varying models where parameter variation is linked to a low-dimensional matrix of observables. We show that the…
We provide evidence that many narrative shocks used by prominent literature are persistent. We show that the two leading methods to estimate impulse responses to an independently identified shock (local projections and distributed lag…
We study random designs that minimize the asymptotic variance of a de-biased lasso estimator when a large pool of unlabeled data is available but measuring the corresponding responses is costly. The optimal sampling distribution arises as…
This paper proposes a bootstrap-assisted procedure to conduct simultaneous inference for high dimensional sparse linear models based on the recent de-sparsifying Lasso estimator (van de Geer et al. 2014). Our procedure allows the dimension…
State-dependent local projections (LPs) are widely used to estimate how impulse responses to exogenous aggregate shocks vary as a function of observable state variables, yet their causal interpretation remains unclear. We show that LPs…
Dimensionality reduction is a fundamental task in modern data science. Several projection methods specifically tailored to take into account the non-linearity of the data via local embeddings have been proposed. Such methods are often based…
In this paper we develop inference for high dimensional linear models, with serially correlated errors. We examine Lasso under the assumption of strong mixing in the covariates and error process, allowing for fatter tails in their…
In this paper, we propose a new method for estimation and constructing confidence intervals for low-dimensional components in a high-dimensional model. The proposed estimator, called Constrained Lasso (CLasso) estimator, is obtained by…
Impulse response estimation in high noise and in-the-wild settings, with minimal control of the underlying data distributions, is a challenging problem. We propose a novel framework for parameterizing and estimating impulse responses based…
We develop a uniform inference theory for high-dimensional slope parameters in threshold regression models, allowing for either cross-sectional or time series data. We first establish oracle inequalities for prediction errors, and L1…
LASSO inflicts shrinkage bias on estimated coefficients, which undermines asymptotic normality and invalidates standard inferential procedures based on the t-statistic. Given cross sectional data, the desparsified LASSO has emerged as a…
Debiasing group graphical lasso estimates enables statistical inference when multiple Gaussian graphical models share a common sparsity pattern. We analyze the estimation properties of group graphical lasso, establishing convergence rates…
This paper studies high-dimensional regression models with lasso when data is sampled under multi-way clustering. First, we establish convergence rates for the lasso and post-lasso estimators. Second, we propose a novel inference method…
We review recent results for high-dimensional sparse linear regression in the practical case of unknown variance. Different sparsity settings are covered, including coordinate-sparsity, group-sparsity and variation-sparsity. The emphasis is…
High-dimensional time series forecasting suffers from severe overfitting when the number of predictors exceeds available observations, making standard local projection methods unstable and unreliable. We propose an enhanced Random Subspace…
We consider random sample splitting for estimation and inference in high dimensional generalized linear models, where we first apply the lasso to select a submodel using one subsample and then apply the debiased lasso to fit the selected…
We address the problem of estimating the alignment pose between two models using structure-specific local descriptors. Our descriptors are generated using a combination of 2D image data and 3D contextual shape data, resulting in a set of…
High-dimensional statistical settings ($p \gg n$) pose fundamental challenges for classical inference, largely due to bias introduced by regularized estimators such as the LASSO. To address this, Javanmard and Montanari (2014) propose a…
For high-dimensional omics data, sparsity-inducing regularization methods such as the Lasso are widely used and often yield strong predictive performance, even in settings when the assumption of sparsity is likely violated. We demonstrate…
In this paper we develop valid inference for high-dimensional time series. We extend the desparsified lasso to a time series setting under Near-Epoch Dependence (NED) assumptions allowing for non-Gaussian, serially correlated and…