Desparsified Lasso Inference for Time Series
Extract coefficients
Confidence intervals for desla objects
Create State Dummies from Matrix
Create State Dummies from Vector
Create State Dummies
Desparsified lasso
State Dependent High-Dimensional Local Projection
Plot Impulse Responses obtained from HDLP.
Print desla output
Print desla summary output
Summary of desla output
Calculates the desparsified lasso as originally introduced in van de Geer et al. (2014) <doi:10.1214/14-AOS1221>, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) <doi:10.48550/arXiv.2007.10952>. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) <doi:10.48550/arXiv.2209.03218>.