Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
Rasmus Søndergaard Pedersen (University of Copenhagen, Denmark)
- Econometrics Seminars and Workshop Series
Rasmus Søndergaard Pedersen (University of Copenhagen, Denmark)
Jean-Marc Robin (Sciences Po, France)
Sascha Steffen (Frankfurt School of Finance & Management, Germany)
Guido Imbens (Stanford University, United States)