Confidence sets based on sparse estimators are shown to be large compared to more standard confidence sets, demonstrating that sparsity of an estimator comes at a substantial price in terms of the quality of the estimator. The results are set in a general parametric or semiparametric framework.

This Special Issue was organized in relation to the fifth Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, which took place at the Institute for Advanced Studies in Vienna on 9 June and 10 June 2022 [...]