High-Dimensional Mixed-Frequency IV Regression

Cites Work

Consistent model specification tests
MIDAS Regressions: Further Results and New Directions
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Gaussian approximation of suprema of empirical processes
Instrumental variable estimation in functional linear models
Robust inference on average treatment effects with possibly more covariates than observations
A regularization approach to the many instruments problem
Regression models with mixed sampling frequencies
Tikhonov regularization for nonparametric instrumental variable estimators
Functional linear regression with functional response
Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit
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Generalization of GMM to a continuum of moment conditions
Sparse models and methods for optimal instruments with an application to eminent domain
The Oxford handbook of applied nonparametric and semiparametric econometrics and statistics
CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
Continuous Auctions and Insider Trading
Root-N-Consistent Semiparametric Regression
Temporal Aggregation in the Multiple Regression Model
Inference on Treatment Effects after Selection among High-Dimensional Controls
Double/debiased machine learning for treatment and structural parameters
HONEST CONFIDENCE SETS IN NONPARAMETRIC IV REGRESSION AND OTHER ILL-POSED MODELS
A simple method to construct confidence bands in functional linear regression
Dependent Wild Bootstrap for the Empirical Process
Consistent Estimation of Models Defined by Conditional Moment Restrictions
Discrete Approximations to Continuous Time Distributed Lags in Econometrics
Brownian Motion
The practice of non‐parametric estimation by solving inverse problems: the example of transformation models
Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials

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