Li, Chenchuan (Mark); Müller, Ulrich K. - In: Quantitative Economics 12 (2021) 2, pp. 405-442
We consider inference about a scalar coefficient in a linear regression model. One previously considered approach to dealing with many controls imposes sparsity, that is, it is assumed known that nearly all control coefficients are (very nearly) zero. We instead impose a bound on the quadratic...
