15-019/III - Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models

• Authors
  Laurent Callot, VU University Amsterdam, the Netherlands; Mehmet Caner, North Carolina State University, United States; Anders Bredahl Kock, Aarhus University, Denmark; Juan Andres Riquelme, North Carolina State University, United States
• Publication date
  February 10, 2015

• Keywords
  Threshold model, sup-norm bound, thresholded scaled Lasso, oracle inequality, debt effect on gdp growth
• JEL
  C13, C23, C26