{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T17:48:06Z","timestamp":1790617686290,"version":"4.1.0"},"reference-count":42,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2018,5,24]],"date-time":"2018-05-24T00:00:00Z","timestamp":1527120000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"},{"start":{"date-parts":[[2018,5,24]],"date-time":"2018-05-24T00:00:00Z","timestamp":1527120000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":["www.cambridge.org"],"crossmark-restriction":true},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2019,4]]},"abstract":"<jats:p>We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effects dynamic panel data models. The inequalities are valid for the coefficients of the dynamic and exogenous regressors. Separate oracle inequalities are derived for the fixed effects. Next, we show how one can conduct uniformly valid inference on the parameters of the model and construct a uniformly valid estimator of the asymptotic covariance matrix which is robust to conditional heteroskedasticity in the error terms. Allowing for conditional heteroskedasticity is important in dynamic models as the conditional error variance may be nonconstant over time and depend on the covariates. Furthermore, our procedure allows for inference on high-dimensional subsets of the parameter vector of an increasing cardinality. We show that the confidence bands resulting from our procedure are asymptotically honest and contract at the optimal rate. This rate is different for the fixed effects than for the remaining parts of the parameter vector.<\/jats:p>","DOI":"10.1017\/s0266466618000087","type":"journal-article","created":{"date-parts":[[2018,5,24]],"date-time":"2018-05-24T05:46:16Z","timestamp":1527140776000},"page":"295-359","update-policy":"https:\/\/doi.org\/10.1017\/policypage","source":"Crossref","is-referenced-by-count":23,"title":["UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS"],"prefix":"10.1017","volume":"35","author":[{"given":"Anders Bredahl","family":"Kock","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Haihan","family":"Tang","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2018,5,24]]},"reference":[{"key":"S0266466618000087_ref32","doi-asserted-by":"publisher","DOI":"10.2307\/1911408"},{"key":"S0266466618000087_ref34","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA12560"},{"key":"S0266466618000087_ref5","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdt044"},{"key":"S0266466618000087_ref39","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-2545-2"},{"key":"S0266466618000087_ref33","first-page":"1","article-title":"Confidence sets based on sparse estimators are necessarily large","volume":"71","author":"P\u00f6tscher","year":"2009","journal-title":"Sankhy\u0101: The Indian Journal of Statistics, Series A"},{"key":"S0266466618000087_ref12","volume-title":"Econometric Theory","author":"Davidson","year":"2000"},{"key":"S0266466618000087_ref30","doi-asserted-by":"publisher","DOI":"10.1007\/s00440-010-0304-9"},{"key":"S0266466618000087_ref3","volume-title":"Econometric Analysis of Panel Data","volume":"vol. 1","author":"Baltagi","year":"2008"},{"key":"S0266466618000087_ref29","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176996608"},{"key":"S0266466618000087_ref15","doi-asserted-by":"publisher","DOI":"10.1214\/ECP.v17-2318"},{"key":"S0266466618000087_ref14","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"S0266466618000087_ref42","doi-asserted-by":"publisher","DOI":"10.1111\/rssb.12026"},{"key":"S0266466618000087_ref31","doi-asserted-by":"publisher","DOI":"10.1214\/12-STS400"},{"key":"S0266466618000087_ref7","doi-asserted-by":"publisher","DOI":"10.1214\/08-AOS620"},{"key":"S0266466618000087_ref1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00316"},{"key":"S0266466618000087_ref18","volume-title":"Matrix Analysis","author":"Horn","year":"1990"},{"key":"S0266466618000087_ref19","doi-asserted-by":"publisher","DOI":"10.2307\/2946651"},{"key":"S0266466618000087_ref4","doi-asserted-by":"crossref","first-page":"2369","DOI":"10.3982\/ECTA9626","article-title":"Sparse models and methods for optimal instruments with an application to eminent domain","volume":"80","author":"Belloni","year":"2012","journal-title":"Econometrica"},{"key":"S0266466618000087_ref16","doi-asserted-by":"publisher","DOI":"10.18637\/jss.v033.i01"},{"key":"S0266466618000087_ref9","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-20192-9"},{"key":"S0266466618000087_ref40","volume-title":"Econometric Analysis of Cross Section and Panel Data","author":"Wooldridge","year":"2010"},{"key":"S0266466618000087_ref17","doi-asserted-by":"publisher","DOI":"10.1016\/j.jspi.2010.05.008"},{"key":"S0266466618000087_ref26","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4149(01)00112-0"},{"key":"S0266466618000087_ref11","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2013.836104"},{"key":"S0266466618000087_ref25","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466605050036"},{"key":"S0266466618000087_ref24","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2004.05.006"},{"key":"S0266466618000087_ref23","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.06.001"},{"key":"S0266466618000087_ref10","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2017.11.005"},{"key":"S0266466618000087_ref6","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2015.1102733"},{"key":"S0266466618000087_ref2","doi-asserted-by":"publisher","DOI":"10.1093\/0199245282.001.0001"},{"key":"S0266466618000087_ref22","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466612000230"},{"key":"S0266466618000087_ref13","doi-asserted-by":"publisher","DOI":"10.1037\/a0030292"},{"key":"S0266466618000087_ref36","doi-asserted-by":"crossref","first-page":"267","DOI":"10.1111\/j.2517-6161.1996.tb02080.x","article-title":"Regression shrinkage and selection via the lasso","volume":"58","author":"Tibshirani","year":"1996","journal-title":"Journal of the Royal Statistical Society Series B"},{"key":"S0266466618000087_ref20","first-page":"2869","article-title":"Confidence intervals and hypothesis testing for high-dimensional regression","volume":"15","author":"Javanmard","year":"2014","journal-title":"Journal of Machine Learning Research"},{"key":"S0266466618000087_ref21","doi-asserted-by":"crossref","first-page":"1356","DOI":"10.1214\/aos\/1015957397","article-title":"Asymptotics for Lasso-type estimators","volume":"28","author":"Knight","year":"2000","journal-title":"The Annals of Statistics"},{"key":"S0266466618000087_ref8","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA11319"},{"key":"S0266466618000087_ref41","first-page":"2261","article-title":"High dimensional inverse covariance matrix estimation via linear programming","volume":"11","author":"Yuan","year":"2010","journal-title":"Journal of Machine Learning Research"},{"key":"S0266466618000087_ref38","doi-asserted-by":"publisher","DOI":"10.1214\/09-EJS506"},{"key":"S0266466618000087_ref35","unstructured":"Team R.C . (2000) R Language Definition. R foundation for statistical computing."},{"key":"S0266466618000087_ref27","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176347253"},{"key":"S0266466618000087_ref28","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.09.005"},{"key":"S0266466618000087_ref37","doi-asserted-by":"publisher","DOI":"10.1214\/14-AOS1221"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466618000087","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,7,6]],"date-time":"2024-07-06T23:27:13Z","timestamp":1720308433000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466618000087\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,5,24]]},"references-count":42,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2019,4]]}},"alternative-id":["S0266466618000087"],"URL":"https:\/\/doi.org\/10.1017\/s0266466618000087","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2018,5,24]]},"assertion":[{"value":"Copyright \u00a9 Cambridge University Press 2018\u00a0","name":"license","label":"License","group":{"name":"copyright_and_licensing","label":"Copyright and Licensing"}}]}}