We provide a new theory for nodewise regression when the residuals from a fitted factor model are used to apply our results to the analysis of maximum Sharpe ratio when the number of assets in a portfolio is larger than its time span. We introduce a new hybrid model where factor models are...

It is widely known that Google Trends has become one of the most popular free tools used by forecasters both in academics and in the private and public sectors. There are many papers, from several different fields, concluding that Google Trends improve forecasts' accuracy. However, what seems to...

The literature on excess return prediction has considered a wide array of estimation schemes, among them unrestricted and restricted regression coefficients. We consider bootstrap aggregation (bagging) to smooth parameter restrictions. Two types of restrictions are considered: positivity of the...

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume both the number of covariates in the model and candidate variables can increase with the number of observations and the number of candidate variables is,...

The measurement of treatment (intervention) effects on a single (or just a few) treated unit(s) based on counterfactuals constructed from artificial controls has become a popular practice in applied statistics and economics since the proposal of the synthetic control method. In high-dimensional...

We adopt an artificial counterfactual approach to assess the impact of lockdowns on the short-run evolution of the number of cases and deaths in some US states. To do so, we explore the different timing in which US states adopted lockdown policies, and divide them among treated and control...

Bandit problems are pervasive in various fields of research and are also present in several practical applications. Examples, including dynamic pricing and assortment and the design of auctions and incentives, permeate a large number of sequential treatment experiments. Different applications...