Robert Adamek, Stephan Smeekes, Ines Wilms
arXiv 7 Sep 2022 · Econometrics · publishedEconometrics Journal (2024) · 3 citations (OpenAlex)
arXiv:2209.03218 · PDF · DOI · OpenAlex · Extracted main text
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.
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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 | Ramey, V. A. and S. Zubairy (2018) Government spending multipliers in good times and in bad: evidence from US historical data | 1.000 | 13 | 3 | 100% |
| 2 | Plagborg-Møller, M. and C. K. Wolf (2021) Local projections and VARs estimate the same impulse responses | 1.000 | 7 | 3 | 100% |
| 3 | Bernanke, B. S., J. Boivin, and P. Eliasz (2005) Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach | 0.937 | 17 | 4 | 82% |
| 4 | Adamek, R., S. Smeekes, and I. Wilms (2022) Lasso inference for high-dimensional time series self | 0.758 | 23 | 4 | 43% |
| 5 | Stock, J. and M. Watson (2016) Dynamic factor models, factor-augmented vector autoregressions, and structural vector autoregressions in macroeconomics | 0.737 | 3 | 2 | 100% |
| 6 | McCracken, M. W. and S. Ng (2016) FRED-MD: A monthly database for macroeconomic research | 0.644 | 3 | 2 | 67% |
| 7 | Blanchard, O. and R. Perotti (2002) An empirical characterization of the dynamic effects of changes in government spending and taxes on output | 0.644 | 2 | 2 | 100% |
| 8 | Adamek, R., S. Smeekes, and I. Wilms (2022) desla: Desparsified Lasso Inference for Time Series self | 0.644 | 2 | 2 | 100% |
| 9 | Masini, R. P., M. C. Medeiros, and E. F. Mendes (2022) Regularized estimation of high-dimensional vector autoregressions with weakly dependent innovations | 0.644 | 2 | 2 | 100% |
| 10 | Romer, C. D. and D. H. Romer (2004) A new measure of monetary shocks: derivation and implications | 0.644 | 2 | 2 | 100% |
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