XDlasso corrects LASSO shrinkage bias and Stambaugh bias simultaneously for valid hypothesis testing in high-dimensional predictive regressions without prior knowledge of which regressors are nonstationary.
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LASSO Inference for High Dimensional Predictive Regressions
XDlasso corrects LASSO shrinkage bias and Stambaugh bias simultaneously for valid hypothesis testing in high-dimensional predictive regressions without prior knowledge of which regressors are nonstationary.