Local projection inference in high dimensions
Copyright policy )Local projection inference in high dimensions
Summary In this paper, we estimate impulse responses by local projections in high-dimensional settings. We use the desparsified (de-biased) lasso to estimate the high-dimensional local projections, while leaving the impulse response parameter of interest unpenalized. We establish the uniform asymptotic normality of the proposed estimator under general conditions. Finally, we demonstrate small sample performance through a simulation study and consider two canonical applications in macroeconomic research on monetary policy and government spending.
SELECTION, FOS: Computer and information sciences, Hypothesis Testing: General, Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models, Econometrics (econ.EM), c12 - Hypothesis Testing: General, Mathematics - Statistics Theory, LASSO, Statistics Theory (math.ST), Statistics - Applications, Methodology (stat.ME), FOS: Economics and business, honest inference, FOS: Mathematics, impulse response analysis, Applications (stat.AP), lasso, Statistics - Methodology, Economics - Econometrics, MACROECONOMICS, impuls responses, Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models, high-dimensional data, Local projections, c32 - "Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models", time series, c22 - "Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models"
SELECTION, FOS: Computer and information sciences, Hypothesis Testing: General, Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models, Econometrics (econ.EM), c12 - Hypothesis Testing: General, Mathematics - Statistics Theory, LASSO, Statistics Theory (math.ST), Statistics - Applications, Methodology (stat.ME), FOS: Economics and business, honest inference, FOS: Mathematics, impulse response analysis, Applications (stat.AP), lasso, Statistics - Methodology, Economics - Econometrics, MACROECONOMICS, impuls responses, Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models, high-dimensional data, Local projections, c32 - "Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models", time series, c22 - "Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models"
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