Cong, Lin William; Feng, Guanhao; He, Jingyu; Li, Junye - National Bureau of Economic Research - 2023
Sparse models, though long preferred and pursued by social scientists, can be ineffective or unstable relative to large models, for example, in economic predictions (Giannone et al., 2021). To achieve sparsity for economic interpretation while exploiting big data for superior empirical...
