arXiv 30 Mar 2020 · Econometrics · publishedJournal of Business and Economic Statistics (2020) · 1 citations (OpenAlex)
arXiv:2003.13478 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a high-dimensional linear IV regression for the data sampled at mixed frequencies. We show that the high-dimensional slope parameter of a high-frequency covariate can be identified and accurately estimated leveraging on a low-frequency instrumental variable. The distinguishing feature of the model is that it allows handing high-dimensional datasets without imposing the approximate sparsity restrictions. We propose a Tikhonov-regularized estimator and derive the convergence rate of its mean-integrated squared error for time series data. The estimator has a closed-form expression that is easy to compute and demonstrates excellent performance in our Monte Carlo experiments. We estimate the real-time price elasticity of supply on the Australian electricity spot market. Our estimates suggest that the supply is relatively inelastic and that its elasticity is heterogeneous throughout the day.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Marine Carrasco, Jean-Pierre Florens, and Eric Renault (2007) Linear inverse problems in structural econometrics estimation based on spectral decomposition and regularization | 1.000 | 8 | 4 | 100% |
| 2 | David Benatia, Marine Carrasco, and Jean-Pierre Florens (2017) Functional linear regression with functional response | 0.843 | 3 | 3 | 100% |
| 3 | Andrii Babii and Jean-Pierre Florens (2018) Is completeness necessary? Estimation and inference in non-identified models self | 0.644 | 2 | 2 | 100% |
| 4 | Andrii Babii, Eric Ghysels, and Jonas Striaukas (2019) Estimation and HAC-based inference for machine learning time series regressions self | 0.644 | 2 | 2 | 100% |
| 5 | Andrii Babii (2020) Honest confidence sets in nonparametric iv regression and other ill-posed models self | 0.644 | 2 | 2 | 100% |
| 6 | Herman J Bierens (1982) Consistent model specification tests | 0.644 | 2 | 2 | 100% |
| 7 | Marine Carrasco, Jean-Pierre Florens, and Eric Renault (2014) Asymptotic normal inference in linear inverse problems | 0.644 | 2 | 2 | 100% |
| 8 | Jean-Pierre Florens and Sébastien Van Bellegem (2015) Instrumental variable estimation in functional linear models | 0.644 | 2 | 2 | 100% |
| 9 | Maxwell B. Stinchcombe and Halbert White (1998) Consistent specification testing with nuisance parameters present only under the alternative | 0.644 | 2 | 2 | 100% |
| 10 | Philip G. Wright (1928) Tariff on animal and vegetable oils | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 42 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.