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econ.EM2024
Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions
Chengwang Liao, Ziwei Mei, Zhentao Shi
In panel predictive regressions with persistent covariates, coexistence of the Nickell bias and the Stambaugh bias imposes challenges for estimation and hypothesis testing. This pa…
stat.ME2024
LASSO Inference for High Dimensional Predictive Regressions
Zhan Gao, Ji Hyung Lee, Ziwei Mei +1
LASSO inflicts shrinkage bias on estimated coefficients, which undermines asymptotic normality and invalidates standard inferential procedures based on the t-statistic. Given cross…