Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced by these priors can still have appreciable...

This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for the high-dimensional setting where the number of...

Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced by these priors can still have appreciable...

We consider estimation and inference about the effects of a policy in the absence of a control group. We obtain unbiased estimators of individual (heterogeneous) treatment effects and a consistent and asymptotically normal estimator of the average treatment effects, based on forecasting...

We propose a method for forecasting individual outcomes and estimating random effects in linear panel data models and value-added models when the panel has a short time dimension. The method is robust, trivial to implement and requires minimal assumptions. The idea is to take a weighted average...

We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...

The problem of constructing standardized maximin D-optimal designs for weighted polynomial regression models is addressed. In particular it is shown that, by following the broad approach to the construction of maximin designs introduced recently by Dette, Haines and Imhof (2003), such designs...