We study a panel data model with general heterogeneous effects, where slopes are allowed to be varying across both individuals and times. The key assumption for dimension reduction is that the heterogeneous slopes can be expressed as a factor structure so that the high-dimensional slope matrix...

We extend conformal inference to general settings that allow for time series data. Our proposal is developed as a randomization method and accounts for potential serial dependence by including block structures in the permutation scheme. As a result, the proposed method retains the exact,...

This paper is about the ability and means to root-n consistently and efficiently estimate linear, mean-square continuous functionals of a high dimensional, approximately sparse regression. Such objects include a wide variety of interesting parameters such as the covariance between two regression...

In this note, we propose the use of sparse methods (e.g. LASSO, Post-LASSO, p LASSO, and Post-p LASSO) to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments in the canonical Gaussian case. The methods apply even when...

We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...

We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic disturbances where the number of controls may be much larger than the...

This article is about estimation and inference methods for high dimensional sparse (HDS) regression models in econometrics. High dimensional sparse models arise in situations where many regressors (or series terms) are available and the regression function is well-approximated by a parsimonious,...

We propose methods for inference on the average effect of a treatment on a scalar outcome in the presence of very many controls. Our setting is a partially linear regression model containing the treatment/policy variable and a large number p of controls or series terms, with p that is possibly...