3 papers
econ.EM2026
High-Dimensional Panel Data Models with Interactive Fixed Effects: Beyond the Linear Case
Maximilian Ruecker, Michael Vogt, Oliver Linton
Modern economic panel data sets are often high-dimensional: they contain information on a wide variety of control variables whose number may even exceed the sample size. Neverthele…
stat.ME2026
Piecewise Constant Hazard Estimation with the Fused Lasso
Manuel Rosenbaum, Jan Beyersmann, Michael Vogt
In applied time-to-event analysis, a flexible and useful approach is to model the hazard rate as a piecewise constant function of time. However, the change points and values of the…
econ.EM2025
Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects
Maximilian Ruecker, Michael Vogt, Oliver Linton +1
We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects. Our approach can be regarded as a non-trivial…