create_state_dummies_from_datamatrix

Creates state dummies from matrix-like 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

create_state_dummies_from_datamatrix function

<dl><dt>x</dt>
<dd>Matrix or data frame where each column represents a state variable.</dd></dl>

Arguments

Create State Dummies from Matrix — create_state_dummies_from_datamatrix

<dl>

<dt>x</dt>
<dd>Matrix or data frame where each column represents a state variable.</dd>

</dl>

create_state_dummies_from_datamatrix: Create State Dummies from Matrix

Description

Usage

Value

Arguments