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：在本文中,我们根据高维环境中的当地预测来估计冲动反应。我们用淡化(de-biased)拉索来估计高维(de-bised)的当地预测,同时不考虑利息的冲动反应参数。我们在一般条件下确定拟议估算器的统一无症状常态。最后,我们通过模拟研究来展示小样本的性能,并考虑在关于货币政策和政府支出的宏观经济研究中应用两种大理学。