In this paper, we estimate impulse responses by local projections in high-dimensional settings. We use the desparsified (de-biased) lasso to estimate the high-dimensional local projections, while leaving the impulse response parameter of interest unpenalized. We establish the uniform asymptotic normality of the proposed estimator under general conditions. Finally, we demonstrate small sample performance through a simulation study and consider two canonical applications in macroeconomic research on monetary policy and government spending.

翻译：本文在高维设定下通过局部投影估计脉冲响应。我们使用去稀疏化（去偏）套索估计高维局部投影，同时对感兴趣的脉冲响应参数不作惩罚。我们在一般条件下建立了所提估计量的一致渐近正态性。最后，通过模拟研究展示了小样本性能，并考虑了货币政策与政府支出宏观经济研究中的两个典型应用。