Before revision: Time series regression analysis relies on the heteroskedasticity- and autocorrelation-consistent (HAC) estimation of the asymptotic variance to conduct proper inference. This paper develops such inferential methods for high-dimensional time series regressions .
After revision: Time series regression analysis relies on the heteroskedasticity- and autocorrelation-consistent (HAC) estimation of the asymptotic variance and develop the inferential theory in the high-dimensional time series regressions .