Uniform inference in high-dimensional dynamic panel data models with approximately sparse fixed effects
We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effects dynamic panel data models. The inequalities are valid for the coefficients of the dynamic and exogenous regressors. Separate oracle inequalities are derived for the fixed effects. Next, we show how one can...
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| Format: | Journal article |
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Cambridge University Press
2018
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