UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS-MedSci.cn

UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS

Kock, AB; Tang, HH

Kock, AB (reprint author), Aarhus Univ, Aarhus, Denmark.; Kock, AB (reprint author), CREATES, Manor Rd, Oxford OX1 3UQ, England.; Kock, AB (reprint author), Univ Oxford, Dept Econ, Oxford, England.; Tang, HH (reprint author), Fudan Univ, Fanhai Int Sch Fi

Abstract

We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effects dynamic panel data models. The inequalities are valid fo......

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UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS

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