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econ.EM2024
Enhanced power enhancements for testing many moment equalities: Beyond the - and -norm
Anders Bredahl Kock, David Preinerstorfer
Contemporary testing problems in statistics are increasingly complex, i.e., high-dimensional. Tests based on the - and -norm have received considerable attention in such…
econ.EM2024
Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
Anders Bredahl Kock, Rasmus Søndergaard Pedersen, Jesper Riis-Vestergaard Sørensen
Lasso-type estimators are routinely used to estimate high-dimensional time series models. The theoretical guarantees established for these estimators typically require the penalty…
econ.EM2024
Regularizing Fairness in Optimal Policy Learning with Distributional Targets
Anders Bredahl Kock, David Preinerstorfer
A decision maker typically (i) incorporates training data to learn about the relative effectiveness of treatments, and (ii) chooses an implementation mechanism that implies an ``op…