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) . Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) .