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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