desla

Calculates the desparsified lasso as originally introduced in van de Geer et al. (2014) doi:10.1214/14-AOS1221, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) doi:10.48550/arXiv.2007.10952. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) doi:10.48550/arXiv.2209.03218.

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