2 papers
econ.EM2019
lassopack: Model selection and prediction with regularized regression in Stata
Achim Ahrens, Christian B. Hansen, Mark E. Schaffer
This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso, square-root lasso, elastic net, ridge regression, adaptive l…
math.ST2018
Inference for Heterogeneous Effects using Low-Rank Estimation of Factor Slopes
Victor Chernozhukov, Christian Hansen, Yuan Liao +1
We study a panel data model with general heterogeneous effects where slopes are allowed to vary across both individuals and over time. The key dimension reduction assumption we emp…