High-Dimensional Econometrics: Inference and Dependence

ESEM

Presenter(s)	Type			Length	Chair
Harold Chiang Jesper Riis-Vestergaard Sørensen Jonas Striaukas Jean-Yves Pitarakis Ruoxuan Xiong	Contributed	26/08	09:00 UTC	120 mins	Kirill Evdokimov

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Papers

(Listed in order of presenters above)

Inference for high-dimensional exchangeable arrays

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Analytic and Bootstrap-after-Cross-Validation Methods for Selecting Penalty Parameters of High-Dimensional M-Estimators

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High-Dimensional Granger Causality Tests with an Application to VIX and News

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Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates

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Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

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