The factor-lasso and k-step bootstrap approach for inference in high-dimensional economic applications
We consider inference about coefficients on a small number of variables of interest in a linear panel data model with additive unobserved individual and time specific effects and a large number of additional time-varying confounding variables. We suppose that, in addition to unrestricted time and in...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Cambridge University Press
2019
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| Online Access: | View Fulltext in Publisher |