US firm cash holdings have become increasingly concentrated over time withering shareholder returns and heightening agency problems associated with free cash flows. Our use of a robust regression technique (LAD) and a state-of-the-art variable selection procedure (LASSO) to identify the...

This paper considers estimation and inference for heterogeneous counterfactual effects with high‐dimensional data. We propose a novel robust score for debiased estimation of the unconditional quantile regression (Firpo, Fortin, and Lemieux (2009)) as a measure of heterogeneous counterfactual...

We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are developed for additive models with both symmetric error...