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We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects.
1904
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The relationship between return and market value of common stocks
1981
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Approximation theorems for strongly mixing random variables
1983
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Asset pricing and the bid-ask spread
1986
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Evidence on the characteristics of cross sectional variation in stock returns
1997
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Principal component analysis
2002
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Growth econometrics
2005
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Estimation and inference in large heterogeneous panels with a multifactor error
2006
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Panel data models with interactive fixed effects
2009
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A testing procedure for determining the number of factors in approximate factor models with large datasets
2010
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Determining the number of factors from empirical distribution of eigenvalues
2010
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Restricted eigenvalue properties for correlated Gaussian designs
2010
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Statistics for high-dimensional data: methods, theory and applications
2011
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Weak and strong cross section dependence and estimation of large panels
2011
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Panels with nonstationary multifactor error structures
2011
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Large panels with common factors and spatial correlation
2011
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Large covariance estimation by thresholding principal orthogonal complements
2013
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Oracle efficient variable selection in random and fixed effects panel data models
2013
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On the estimation and inference in factor-augmented panel regressions with correlated loadings
2013
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Inference on treatment effects after selection amongst high-dimensional controls
2014
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Confidence intervals and hypothesis testing for high-dimensional regression
2014
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On asymptotically optimal confidence regions and tests for high-dimensional models
2014
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Confidence intervals for low dimensional parameters in high dimensional linear models
CCE in panels with general unknown factors
2018
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High dimensional latent panel quantile regression with an application to asset pricing
2019
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The factor-lasso and
2019
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Uniform inference in high-dimensional dynamic panel data models with approximately sparse fixed effects
2019
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Nuclear norm regularized estimation of panel regression models
2019
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CCE in fixed-T panels
2019
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2014
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Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
2015
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High-Dimensional Inference: Confidence Intervals,
2015
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… and the cross-section of expected returns
2015
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Linear regression for panel with unknown number of factors as interactive fixed effects
2015
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Efficient estimation of approximate factor models via penalized maximum likelihood
2016
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Inference in high-dimensional panel models with an application to gun control
2016
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Empirical asset pricing via machine learning
2020
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On cross-validated lasso in high dimensions
2021
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On the robustness of the pooled CCE estimator
2021
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Estimating the lasso’s effective noise
2021
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Machine Learning in Asset Pricing
2021
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Applied causal inference powered by ML and AI
2022
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A regularization approach to common correlated effects estimation
2022
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Characteristics-based factors
2023
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Fixed effects and beyond: Bias reduction, groups, shrinkage, and factors in panel data
2024
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GMM estimation for high-dimensional panel data models
2024
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Missing data in asset pricing panels
2024
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