create_state_dummies_from_vector

Creates state dummies from vectors

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_vector function

<dl><dt>x</dt>
<dd>Vector representing the state variable.</dd>
<dt>varname</dt>
<dd>Name of the state variable.</dd></dl>

Arguments

Create State Dummies from Vector — create_state_dummies_from_vector

<dl>

<dt>x</dt>
<dd>Vector representing the state variable.</dd>


<dt>varname</dt>
<dd>Name of the state variable.</dd>

</dl>

create_state_dummies_from_vector: Create State Dummies from Vector

Description

Usage

Value

Arguments