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)
Keynote: Sanjeev Goyal (University of Cambridge University, United Kingdom and New York University Abu Dhabi, United Arab Emirates)
Xu Cheng (University of Pennsylvania, United States) and Toru Kitagawa (Brown University, United States)
Guido Imbens (Stanford University, United States)
Susan Athey (Stanford University, United States)
Peter Hull (Brown University, United States)