Centre for microdata methods and practice
High-dimensional covariates often admit linear factor structure. To effectively screen correlated covariates in high-dimension, we propose… Continue reading.
The Arellano-Bond estimator is a fundamental method for dynamic panel data models, widely used in practice…. Continue reading.
Beta-sorted portfolios — portfolios comprised of assets with similar covariation to selected risk factors — are… Continue reading.
This paper develops a novel method for policy choice in a dynamic setting where the available… Continue reading.
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal… Continue reading.
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal… Continue reading.