Mikusheva, Anna; Sølvsten, Mikkel - In: Quantitative economics : QE ; journal of the … 16 (2025) 2, pp. 367-403
time‐series regressions with many controls may produce substantial biases and render the least squares (OLS) estimator … that yields a new estimator with improved properties relative to OLS. We establish consistency and conditional asymptotic … Gaussianity of this new estimator and provide a method for inference. …