Statistical inference for linear mediation models with high-dimensional mediators and application to studying stock reaction to COVID-19 pandemic

DOI10.1016/j.jeconom.2022.03.001arXiv2108.12329OpenAlexW3198165868MaRDI QIDQ6163274

Mudong Zeng, Jingyuan Liu, Run-Ze Li, Xu Guo

Publication date: 9 June 2023

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

Full work available at URL: https://arxiv.org/abs/2108.12329

zbMATH Keywords

Wald testsparsitypenalized least squaresmediation analysis

Mathematics Subject Classification ID

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

Related Items (1)

Data science in economics and finance: introduction

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