Maximilian Ruecker, Michael Vogt, Oliver Linton
arXiv 3 Aug 2026 · Econometrics
arXiv:2608.02055 · PDF · Extracted main text
Modern economic panel data sets are often high-dimensional: they contain information on a wide variety of control variables whose number may even exceed the sample size. Nevertheless, the literature on econometric methods for high-dimensional panels is quite limited. In this paper, we study high-dimensional panel models with interactive fixed effects where the regression function has an additive structure, i.e., each covariate enters the model via an unknown nonlinear component function. We develop estimation methodology and theory in this additive framework which substantially extends previous work on the high-dimensional linear case by Ruecker et al. (2025). In the theoretical part of the paper, we derive the convergence rate of our estimator for both the small-T and the large-T panel case. The theory is complemented by comprehensive Monte Carlo experiments and an empirical application.
appendix boundary found by none_found · 100% of the source is main text. Read the extracted text to check this.
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 | Maximilian Rücker AND Michael Vogt AND Oliver Linton AND Christopher… (2025) Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects | 1.000 | 31 | 9 | 100% |
| 2 | Jian Huang and Joel L. Horowitz and Fengrong Wei (2010) Variable selection in nonparametric additive models | 0.928 | 4 | 3 | 100% |
| 3 | Scheidegger, Cyrill and Guo, Zijian and Bühlmann, Peter (2025) Spectral Deconfounding for High-Dimensional Sparse Additive Models | 0.874 | 5 | 2 | 100% |
| 4 | Lukas Meier and Sara van de Geer and Peter Bühlmann (2009) High-dimensional additive modeling | 0.737 | 3 | 2 | 100% |
| 5 | Whitney K. Newey (1997) Convergence rates and asymptotic normality for series estimators | 0.737 | 3 | 2 | 100% |
| 6 | Rudelson, Mark and Zhou, Shuheng Reconstruction from Anisotropic Random Measurements | 0.644 | 2 | 2 | 100% |
| 7 | B\ (2011) Statistics for high-dimensional data: methods, theory and applications | 0.644 | 2 | 2 | 100% |
| 8 | Zijian Guo and Cun-Hui Zhang (2022) Extreme eigenvalues of nonlinear correlation matrices with applications to additive models | 0.644 | 2 | 2 | 100% |
| 9 | Charles J. Stone (1985) Additive Regression and Other Nonparametric Models | 0.644 | 2 | 2 | 100% |
| 10 | Alexandre Belloni and Victor Chernozhukov and Christian Hansen and D… (2016) Inference in High-Dimensional Panel Models With an Application to Gun Control | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 44 scored citations.