LASSO-driven inference in time and space-Reference-Cited by-同舟云学术

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LASSO-driven inference in time and space

Published:2021-06-01 Issue:3 Volume:49 Page:
ISSN:0090-5364
Container-title:The Annals of Statistics
language:
Short-container-title:Ann. Statist.

Author:

Chernozhukov Victor¹,Karl Härdle Wolfgang²,Huang Chen³,Wang Weining⁴

Affiliation:

1. Department of Economics and Operations Research Center, Massachusetts Institute of Technology

2. IRTG1792, Humboldt–Universität zu Berlin

3. Department of Economics and Business Economics and CREATES, Aarhus University

4. Department of Economics and Related Studies, University of York

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Cited by 13 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. An Interpretable and Efficient Infinite-Order Vector Autoregressive Model for High-Dimensional Time Series;Journal of the American Statistical Association;2024-03-11

2. Fast, effective, and coherent time series modelling using the sparsity-ranked lasso;Statistical Modelling;2024-03-08

3. Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns;Economics Letters;2024-02

4. Robust Estimation for Dynamic Spatial Autoregression Models with Nearly Optimal Rates;2024

5. Robust Inference for High-Dimensional Panel Data Models;SSRN Electronic Journal;2024

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