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Beyond Sparsity: Local Projections Inference with High-Dimensional Covariates
Including many lags as controls is proposed as a means of robustness, and including a richer set of controls helps in its interpretation as a causal parameter.
Inference in high-dimensional regression models without the exact or $L^p$ sparsity
This paper proposes a new method of inference in high-dimensional regression models and high-dimensional IV regression models.
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