3 papers
econ.EM2020
High-dimensional mixed-frequency IV regression
Andrii Babii
This paper introduces a high-dimensional linear IV regression for the data sampled at mixed frequencies. We show that the high-dimensional slope parameter of a high-frequency covar…
econ.EM2019
High-Dimensional Granger Causality Tests with an Application to VIX and News
Andrii Babii, Eric Ghysels, Jonas Striaukas
We study Granger causality testing for high-dimensional time series using regularized regressions. To perform proper inference, we rely on heteroskedasticity and autocorrelation co…
math.ST2019
Isotonic Regression Discontinuity Designs
Andrii Babii, Rohit Kumar
This paper studies the estimation and inference for the isotonic regression at the boundary point, an object that is particularly interesting and required in the analysis of monoto…