论文标题
高维度的本地投影推断
Local Projection Inference in High Dimensions
论文作者
论文摘要
在本文中，我们估计了在高维环境中当地预测的冲动反应。我们使用DeSparsed（De偏见）套索来估计高维的局部预测，同时使脉冲响应响应不足的响应参数未得到解释。我们在一般条件下建立了所提出的估计量的均匀正态性。最后，我们通过仿真研究证明了较小的样本性能，并考虑了有关货币政策和政府支出的宏观经济研究中的两个规范应用。
In 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.
