142 citations · 145 across the 5 of their papers we have counts for
3 papers · 1 filter
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…
Multiscale Comparison of Nonparametric Trend Curves
Marina Khismatullina, Michael Vogt
We develop new econometric methods for the comparison of nonparametric time trends. In many applications, practitioners are interested in whether the observed time series all have…
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…