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Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators
The resulting inference procedures based on small bandwidth asymptotics were found to exhibit superior finite sample performance in simulations, but no formal theory justifying that empirical success is available in the literature.
Distributional Counterfactual Analysis in High-Dimensional Setup
Interestingly, the null distribution is quasi-pivotal in the sense that it only depends on the estimated CQF, Lp norm, and the number of post-intervention periods, but not on the size of the post-intervention period.
Bridging factor and sparse models
Factor and sparse models are two widely used methods to impose a low-dimensional structure in high-dimensions.
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