Local projection inference in high dimensions
在高维数据下用去偏Lasso估计局部投影，得到脉冲响应的均匀渐近正态性，并通过模拟和货币政策、政府支出两个宏观应用验证效果。
Summary 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.