2 papers
econ.EM2026
Inference for High-Dimensional Local Projection
Jiti Gao, Fei Liu, Bin Peng
This paper rigorously analyzes the properties of the local projection (LP) methodology within a high-dimensional (HD) framework, with a central focus on achieving robust long-horiz…
econ.EM2025
Panel Data Estimation and Inference: Homogeneity versus Heterogeneity
Jiti Gao, Fei Liu, Bin Peng +1
In this paper, we define an underlying data generating process that allows for different magnitudes of cross-sectional dependence, along with time series autocorrelation. This is a…