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econ.EM2020★ 1 cited
bootUR: An R Package for Bootstrap Unit Root Tests
Stephan Smeekes, Ines Wilms
Unit root tests form an essential part of any time series analysis. We provide practitioners with a single, unified framework for comprehensive and reliable unit root testing in th…
econ.EM2020
Lasso Inference for High-Dimensional Time Series
Robert Adamek, Stephan Smeekes, Ines Wilms
In this paper we develop valid inference for high-dimensional time series. We extend the desparsified lasso to a time series setting under Near-Epoch Dependence (NED) assumptions a…