2 papers
econ.EM2026
Asymptotic Variance Theory for Trimmed Least Squares and Trimmed Least Absolute Deviations in Censored Panel Models with Fixed Effects
Denis Chetverikov, Jesper R. -V. ~Sørensen, Bo Honoré
We study inference using trimmed least squares (TLS) and trimmed least absolute deviations (TLAD) estimators of \citet{honore_trimmed_1992} in censored two-period panel-data models…
econ.EM2026
Triple/Double-Debiased Lasso
Denis Chetverikov, Jesper R. -V. Sørensen, Aleh Tsyvinski
In this paper, we propose a triple (or double-debiased) Lasso estimator for inference on a low-dimensional parameter in high-dimensional linear regression models. The estimator is…