Robust Postselection Inference of High-dimensional Mean Regression with Heavy-tailed Asymmetric or Heteroskedastic Errors

Published in Journal of Econometrics, 2021

Recommended citation: Dongxiao Han, Jian Huang, Yuanyuan Lin* and Guohao Shen (2021). " Robust Postselection Inference of High-dimensional Mean Regression with Heavy-tailed Asymmetric or Heteroskedastic Errors " Journal of Econometrics,230(2),416-431.