3 papers
stat.ME2026
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…
econ.GN2025
Machine-learning Growth at Risk
Tobias Adrian, Hongqi Chen, Max-Sebastian Dovì +1
We analyse growth vulnerabilities in the US using quantile partial correlation regression, a selection-based machine-learning method that achieves model selection consistency under…
econ.EM2024
Predictive Quantile Regression with High-Dimensional Predictors: The Variable Screening Approach
Hongqi Chen, Ji Hyung Lee
This paper advances a variable screening approach to enhance conditional quantile forecasts using high-dimensional predictors. We have refined and augmented the quantile partial co…