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We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of large-scale regressions with LASSO is applied to...
Persistent link: https://www.econbiz.de/10011941488
We develop inference tools in a semiparametric partially linear regression model with missing response data. A class of estimators is defined that includes as special cases: a semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted...
Persistent link: https://www.econbiz.de/10010318520
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of regressions with many regressors using LASSO...
Persistent link: https://www.econbiz.de/10012146373