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Found 11 papers, 6 papers with code
Economic Forecasts Using Many Noises
This paper addresses a key question in economic forecasting: does pure noise truly lack predictive power?
Nickell Bias in Panel Local Projection: Financial Crises Are Worse Than You Think
Local Projection is widely used for impulse response estimation, with the Fixed Effect (FE) estimator being the default for panel data.
On LASSO for High Dimensional Predictive Regression
This paper examines LASSO, a widely-used $L_{1}$-penalized regression method, in high dimensional linear predictive regressions, particularly when the number of potential predictors exceeds the sample size and numerous unit root regressors are present.
The boosted HP filter is more general than you might think
The global financial crisis and Covid recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular HP filter to a modern machine learning device suited to data-rich and rapid computational environments.
Culling the herd of moments with penalized empirical likelihood
Models defined by moment conditions are at the center of structural econometric estimation, but economic theory is mostly agnostic about moment selection.
L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis
This paper tackles forecast combination with many forecasts or minimum variance portfolio selection with many assets.
Forward-Selected Panel Data Approach for Program Evaluation
Policy evaluation is central to economic data analysis, but economists mostly work with observational data in view of limited opportunities to carry out controlled experiments.
Boosting: Why You Can Use the HP Filter
The Hodrick-Prescott (HP) filter is one of the most widely used econometric methods in applied macroeconomic research.
On LASSO for Predictive Regression
This new finding motivates a novel post-selection adaptive LASSO, which we call the twin adaptive LASSO (TAlasso), to restore variable selection consistency.
Implementing Convex Optimization in R: Two Econometric Examples
Economists specify high-dimensional models to address heterogeneity in empirical studies with complex big data.
Computation Econometrics
Structural Estimation of Behavioral Heterogeneity
We develop a behavioral asset pricing model in which agents trade in a market with information friction.
Trading and Market Microstructure Econometrics
