2 papers
econ.EM2023
Standard errors when a regressor is randomly assigned
Denis Chetverikov, Jinyong Hahn, Zhipeng Liao +1
We examine asymptotic properties of the OLS estimator when the values of the regressor of interest are assigned randomly and independently of other regressors. We find that the OLS…
math.ST2016
On cross-validated Lasso in high dimensions
Denis Chetverikov, Zhipeng Liao, Victor Chernozhukov
In this paper, we derive non-asymptotic error bounds for the Lasso estimator when the penalty parameter for the estimator is chosen using -fold cross-validation. Our bounds impl…