3 papers
econ.EM2026
Factor-Augmented Machine Learning Panel Regressions
Andrii Babii, Luca Barbaglia, Eric Ghysels +1
This paper develops the asymptotic theory for high-dimensional panel data regressions in settings with cross-sectionally dependent errors driven by common shocks. We consider a fac…
econ.EM2025
Nowcasting and aggregation: Why small Euro area countries matter
Andrii Babii, Luca Barbaglia, Eric Ghysels +1
The paper studies the nowcasting of Euro area Gross Domestic Product (GDP) growth using mixed data sampling machine learning panel data regressions with both standard macro release…
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…