Inference for High-Dimensional Sparse Econometric Models
Inference for High-Dimensional Sparse Econometric Models
We consider linear, high-dimensional sparse (HDS) regression models in econometrics. The HDS regression model allows for a large number of regressors, p, which is possibly much larger than the sample size, n, but imposes that the model is sparse. That is, we assume that only s ≪ n of these …