Local Projection Inference in High Dimensions

• Tác giả: Robert Adamek, Stephan Smeekes, Ines Wilms
• Ngôn ngữ: eng
• Ký hiệu phân loại: 516.5 Projective geometry
• Thông tin xuất bản: 2022
• Bộ sưu tập: Metadata
• ID: 195705

Tóm tắt

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.