Ji Hyung Lee

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Econometric Inference for High Dimensional Predictive Regressions

Number of pages: 59 Posted: 12 Nov 2024
Zhan Gao, Ji Hyung Lee, Ziwei Mei and Zhentao Shi
University of Southern California, affiliation not provided to SSRN, The Chinese University of Hong Kong (CUHK) - Department of Economics and Department of Economics, the Chinese University of Hong Kong
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Abstract:

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Forecast, Data-rich Environment, Hypothesis testing, Shrinkage, Unit root