Selected Publications
Conditional nonparametric variable screening by neural factor regression
High-dimensional covariates often admit linear factor structure. To effectively screen correlated covariates in high-dimension, we propose […]
Arellano-bond lasso estimator for dynamic linear panel models
The Arellano-Bond estimator is a fundamental method for dynamic panel data models, widely used in practice. […]
Beta-sorted portfolios
Beta-sorted portfolios — portfolios comprised of assets with similar covariation to selected risk factors — are […]
Policy choice in time series by empirical welfare maximization
This paper develops a novel method for policy choice in a dynamic setting where the available […]
LASSO-Driven Inference in Time and Space
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal […]
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LASSO-driven inference in time and space
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal […]