Robust estimation and inference for high-dimensional panel data models

doi:10.1016/j.jeconom.2026.106342

Robust estimation and inference for high-dimensional panel data models

2026-09-24

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DOI：10.1016/j.jeconom.2026.106342

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Abstract

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This paper provides the relevant literature with a complete toolkit for conducting robust estimation and inference about the parameters of interest involved in a high-dimensional panel data framework. Specifically, (1) we allow for non-Gaussian, serially and cross-sectionally correlated and heteroskedastic error processes, (2) we develop an estimation method for the high-dimensional long-run covariance matrix using a thresholded estimator, (3) we also allow for the number of regressors to grow faster than the sample size.

Keywords:

Asset pricing

Concentration inequality

Heavy-tailed distribution

High-dimensional long-run covariance matrix

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Robust estimation and inference for high-dimensional panel data models

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