Package: desla 0.3.1

desla: Desparsified Lasso Inference for Time Series

Calculates the desparsified lasso as originally introduced in van de Geer et al. (2014) <doi:10.1214/14-AOS1221>, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) <doi:10.48550/arXiv.2007.10952>. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) <doi:10.48550/arXiv.2209.03218>.

Authors:Robert Adamek [cre, aut], Stephan Smeekes [aut], Ines Wilms [aut]