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12/14/2022
On LASSO for High Dimensional Predictive Regression
In a high dimensional linear predictive regression where the number of p...
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09/20/2022
The boosted HP filter is more general than you might think
The global financial crisis and Covid recession have renewed discussion ...
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08/07/2021
Culling the herd of moments with penalized empirical likelihood
Models defined by moment conditions are at the center of structural econ...
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05/01/2019
Boosting the Hodrick-Prescott Filter
The Hodrick-Prescott (HP) filter is one of the most widely used economet...
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06/27/2018