Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
Rasmus Søndergaard Pedersen (University of Copenhagen, Denmark)
- Econometrics Seminars and Workshop Series
Rasmus Søndergaard Pedersen (University of Copenhagen, Denmark)
Jean-Marc Robin (Sciences Po, France)
Alejandro Hirmas, Ekaterina Ugulava
Xu Cheng (University of Pennsylvania, United States) and Toru Kitagawa (Brown University, United States)
Igor Custodio Joao
Guido Imbens (Stanford University, United States)