confint.desla

Confidence intervals for desla objects

internal

Calculates the desparsified lasso as originally introduced in van de Geer et al. (2014) <doi:10.1214/14-AOS1221>, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) <arXiv:2007.10952>. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) <arXiv:2209.03218>.

Robert Adamek

desla

Desparsified Lasso Inference for Time Series

Stephan Smeekes

Ines Wilms

confint.desla function

<dl><dt>object</dt>
<dd>a <code>desla</code> object.</dd>
<dt>parm</dt>
<dd>which parameters is the confidence interval needed for.</dd>
<dt>level</dt>
<dd>confidence level(s).</dd>
<dt>...</dt>
<dd>additional arguments (ignored).</dd></dl>

Arguments

Confidence intervals for desla objects — confint.desla

<dl>

<dt>object</dt>
<dd>a <code>desla</code> object.</dd>


<dt>parm</dt>
<dd>which parameters is the confidence interval needed for.</dd>


<dt>level</dt>
<dd>confidence level(s).</dd>


<dt>...</dt>
<dd>additional arguments (ignored).</dd>

</dl>

confint.desla: Confidence intervals for desla objects

Description

Usage

Arguments