378 citations · 954 across the 33 of their papers we have counts for
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stat.ME2016
The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications
Christian Hansen, Yuan Liao
We consider inference about coefficients on a small number of variables of interest in a linear panel data model with additive unobserved individual and time specific effects and a…
stat.ME2016
A Note on Choosing the Threshold for Large Covariance Estimations in Factor Models
Yuan Liao
This note shows that for i.i.d. data, estimating large covariance matrices in factor models can be casted using a simple plug-in method to choose the threshold: $$ μ_{jl}=\frac{c_0…
stat.ME2016★ 36 cited
Oracle Estimation of a Change Point in High Dimensional Quantile Regression
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
In this paper, we consider a high-dimensional quantile regression model where the sparsity structure may differ between two sub-populations. We develop -penalized estimator…