Uniform inference in high-dimensional dynamic panel data models with approximately sparse fixed effects
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Publication:5378498
DOI10.1017/S0266466618000087zbMATH Open1418.62491arXiv1501.00478OpenAlexW2804733207WikidataQ129778941 ScholiaQ129778941MaRDI QIDQ5378498FDOQ5378498
Authors: Anders Bredahl Kock, Haihan Tang 
Publication date: 31 May 2019
Published in: Econometric Theory (Search for Journal in Brave)
Abstract: We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effects dynamic panel data models. The inequalities are valid for the coefficients of the dynamic and exogenous regressors. Separate oracle inequalities are derived for the fixed effects. Next, we show how one can conduct uniformly valid simultaneous inference on the parameters of the model and construct a uniformly valid estimator of the asymptotic covariance matrix which is robust to conditional heteroskedasticity in the error terms. Allowing for conditional heteroskedasticity is important in dynamic models as the conditional error variance may be non-constant over time and depend on the covariates. Furthermore, our procedure allows for inference on high-dimensional subsets of the parameter vector of an increasing cardinality. We show that the confidence bands resulting from our procedure are asymptotically honest and contract at the optimal rate. This rate is different for the fixed effects than for the remaining parts of the parameter vector.
Full work available at URL: https://arxiv.org/abs/1501.00478
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Applications of statistics to economics (62P20) Statistics of extreme values; tail inference (62G32) Ridge regression; shrinkage estimators (Lasso) (62J07) Analysis of variance and covariance (ANOVA) (62J10) Order statistics; empirical distribution functions (62G30)
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Cited In (12)
- Detecting homogenous predictors in high-dimensional panel model with an MCMC algorithm
- Uniform post-selection inference for least absolute deviation regression and other Z-estimation problems
- Generalized linear models with structured sparsity estimators
- Wild bootstrap inference for penalized quantile regression for longitudinal data
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- POST-SELECTION INFERENCE IN THREE-DIMENSIONAL PANEL DATA
- Unequal spacing in dynamic panel data: identification and estimation
- Indirect inference approach to estimating dynamic panel data models with irregular spacing
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