Machine learning panel data regressions with heavy-tailed dependent data: theory and application

DOI10.1016/J.JECONOM.2022.07.001arXiv2008.03600OpenAlexW4287691449WikidataQ114161715 ScholiaQ114161715MaRDI QIDQ6090578

Jonas Striaukas, Ryan T. Ball, Eric Ghysels, Andrii Babii

Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.03600

zbMATH Keywords

fat tailsmixed-frequency datalarge \(N\) and \(T\) panelshigh-dimensional panelssparse-group LASSO

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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