desla (Q95762)
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Desparsified Lasso Inference for Time Series
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | desla |
Desparsified Lasso Inference for Time Series |
Statements
29 June 2023
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Calculates the desparsified lasso as originally introduced in van de Geer et al. (2014) <doi:10.1214/14-AOS1221>, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) <arXiv:2007.10952>. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) <arXiv:2209.03218>.
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expanded from: GPL (≥ 2) (English)
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