• Corpus ID: 252111151

Local Projection Inference in High Dimensions

@inproceedings{Admek2022LocalPI,
  title={Local Projection Inference in High Dimensions},
  author={Robert Ad{\'a}mek and Stephan Smeekes and Ines Wilms},
  year={2022}
}
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… 

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