The S&P500 or DAX30 are important benchmarks for the financial industry. The first mimics the performance of the major US on the NYSE, AMEX and NASDAQ, while the second does the same for the German Prime Share sector. These and other indices describe different compositions of certain segments of...

This paper considers inference in logistic regression models with high dimensional data. We propose new methods for estimating and constructing confidence regions for a regression parameter of primary interest α0, a parameter in front of the regressor of interest, such as the treatment variable...

Model specification and selection are recurring themes in econometric analysis. Both topics become considerably more complicated in the case of large-dimensional data sets where the set of specification possibilities can become quite large. In the context of linear regression models, penalised...