Local projection inference in high dimensions

Robert Adamek, Stephan Smeekes and Ines Wilms

The Econometrics Journal, 2024, vol. 27, issue 3, 323-342

Abstract: SummaryIn this paper, we estimate impulse responses by local projections in high-dimensional settings. We use the desparsified (de-biased) lasso to estimate the high-dimensional local projections, while leaving the impulse response parameter of interest unpenalized. We establish the uniform asymptotic normality of the proposed estimator under general conditions. Finally, we demonstrate small sample performance through a simulation study and consider two canonical applications in macroeconomic research on monetary policy and government spending.

Keywords: Local projections; impulse response analysis; high-dimensional data; honest inference; lasso (search for similar items in EconPapers)
Date: 2024
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Working Paper: Local Projection Inference in High Dimensions (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:oup:emjrnl:v:27:y:2024:i:3:p:323-342.

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