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CRANdeslaMaRDI QIDQ95762FDOQ95762

Desparsified Lasso Inference for Time Series

Ines Wilms, Robert Adamek, Stephan Smeekes

Last update: 29 June 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.2.0, 0.1.0, 0.3.0

Description

Calculates the desparsified lasso as originally introduced in van de Geer et al. (2014) <doi:10.1214/14-AOS1221>, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) <arXiv:2007.10952>. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) <arXiv:2209.03218>.

Cites work

• On asymptotically optimal confidence regions and tests for high-dimensional models
• Lasso Inference for High-Dimensional Time Series
• Local Projection Inference in High Dimensions

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