Random Subspace Local Projections
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- Viet Hoang Dinh & Didier Nibbering & Benjamin Wong, 2024. "Random Subspace Local Projections," Papers 2406.01002, arXiv.org.
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Cited by:
- Ho, Paul & Lubik, Thomas A. & Matthes, Christian, 2024.
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Journal of Monetary Economics, Elsevier, vol. 146(C).
- Paul Ho & Thomas A. Lubik & Christian Matthes, 2023. "Averaging Impulse Responses Using Prediction Pools," Working Paper 23-04, Federal Reserve Bank of Richmond.
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More about this item
Keywords
Local Projections; Random Subspace; Impulse Response Functions; Large Data Sets;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2023-08-21 (Computational Economics)
- NEP-ECM-2023-08-21 (Econometrics)
- NEP-ETS-2023-08-21 (Econometric Time Series)
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