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Found 5 papers, 3 papers with code
Uniform Inference for Nonlinear Endogenous Treatment Effects with High-Dimensional Covariates
In this paper, we propose new estimation and inference procedures for nonparametric treatment effect functions with endogeneity and potentially high-dimensional covariates.
Nickell Bias in Panel Local Projection: Financial Crises Are Worse Than You Think
Local Projection is widely used for impulse response estimation, with the Fixed Effect (FE) estimator being the default for panel data.
On LASSO for High Dimensional Predictive Regression
This paper examines LASSO, a widely-used $L_{1}$-penalized regression method, in high dimensional linear predictive regressions, particularly when the number of potential predictors exceeds the sample size and numerous unit root regressors are present.
The boosted HP filter is more general than you might think
The global financial crisis and Covid recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular HP filter to a modern machine learning device suited to data-rich and rapid computational environments.
A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates
The theoretical power based on the maximum norm is shown to be higher than that in the modified Cragg-Donald test (Koles\'{a}r, 2018), which is the only existing test allowing for large-dimensional covariates.
