Andrii Babii, Luca Barbaglia, Eric Ghysels, Jonas Striaukas
arXiv 7 Jul 2026 · Econometrics
arXiv:2607.06368 · PDF · DOI · OpenAlex · Extracted main text
This paper develops the asymptotic theory for high-dimensional panel data regressions in settings with cross-sectionally dependent errors driven by common shocks. We consider a factor-augmented sparse-group LASSO estimator that combines MIDAS aggregation with latent factors. The estimator can take advantage of the mixed-frequency group structure in the time-series dimension. Theory shows that it can outperform the standard LASSO estimator both for prediction and estimation while allowing for cross-sectional dependence.
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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 | Babii, Andrii and Ghysels, Eric and Striaukas, Jonas (2022) Machine learning time series regressions with an application to nowcasting self | 0.811 | 4 | 2 | 100% |
| 2 | Beyhum, Jad and Striaukas, Jonas (2026) Factor-augmented sparse MIDAS regressions with an application to nowcasting self | 0.811 | 4 | 2 | 100% |
| 3 | Babii, Andrii and Ball, Ryan T and Ghysels, Eric and Striaukas, Jonas (2023) Machine learning panel data regressions with heavy-tailed dependent data: Theory and application self | 0.644 | 2 | 2 | 100% |
| 4 | Cai, T Tony and Zhang, Anru R and Zhou, Yuchen (2022) Sparse group LASSO: Optimal sample complexity, convergence rate, and statistical inference | 0.644 | 2 | 2 | 100% |
| 5 | Babii, Andrii and Ghysels, Eric and Pan, Junsu (2025) Tensor PCA for factor models self | 0.511 | 2 | 1 | 100% |
| 6 | Andreou, Elena and Ghysels, Eric and Kourtellos, Andros (2010) Regression Models with Mixed Sampling Frequencies self | 0.405 | 1 | 1 | 100% |
| 7 | Bai, Jushan (2003) Inferential theory for factor models of large dimensions | 0.405 | 1 | 1 | 100% |
| 8 | Bellec, Pierre C and Lecué, Guillaume and Tsybakov, Alexandre B (2018) Slope meets LASSO: improved oracle bounds and optimality | 0.405 | 1 | 1 | 100% |
| 9 | Belloni, Alexandre and Chernozhukov, Victor and Hansen, Christian (2014) Inference on Treatment Effects after Selection among High-Dimensional Controls | 0.405 | 1 | 1 | 100% |
| 10 | Beyhum, Jad and Gautier, Eric (2023) Factor and factor loading augmented estimators for panel regression with possibly nonstrong factors | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 24 scored citations.