High-Dimensional Mixed-Frequency IV Regression

Author:

Babii Andrii1

Affiliation:

1. Department of Economics, University of North Carolina at Chapel Hill – Gardner Hall, CB 3305 Chapel Hill, NC 27599-3305.

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Reference44 articles.

1. Andreou, E., E. Ghysels, and A. Kourtellos (2010): “Regression models with mixed sampling frequencies,” Journal of Econometrics, 158(2), 246–261.

2. Babii, A. (2020): “Honest confidence sets in nonparametric IV regression and other ill-posed models,” Econometric Theory, 36(4), 658–706.

3. Babii, A. and J.P. Florens (2020a): “Are unobservables separable?” arXiv:1705.01654v3.

4. _________ (2020b): “Is completeness necessary? Estimation in nonidentified linear models,” arXiv:1709.03473v3.

5. Babii, A., E. Ghysels, and J. Striaukas (2021a): “High-dimensional Granger causality tests with an application to VIX and news,” arXiv:1912.06307.

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